Category: Money tips Release Date: 2006-02-19
Since the 20th century, 80's, high book value / market value ratio (hereinafter referred to as b / m) listed companies, investment strategy deeply concerned about the theoretical circles, and the study results also showed that the high b / m of the company has a very good investment value, can be optimistic about the stock market was higher than the return on investment. While the investors of the actual behavior of asset management, investment in high b / m class is the most important one way of value investing, using high b / m investment strategy for many investors the excess return on investment, up to Today, this investment strategy has become a description of institutions or individual investors investment style jargon.
Mining financial information is the basic method of value investing. This study will use the financial statements reveal the information to tap the investment value in China stock market that has a high b / m's. But rather use the financial statements of the heuristic information to tap the higher b / m listed companies, value investing, you must carefully analyze which could affect the company's future financial performance indicators, and test these indicators in the value investment strategy in the stability and credibility of the . To this end, we made reference to the value of foreign investment in research methods (piotroski, 2000) to study the high b / m class company the following three important questions:
(1) the use of historical financial information to distinguish between China's stock market high b / m companies, with investment value of stocks;
(2) high b / m company's stock investment returns whether there is scale?
(3), this investment strategy can be a better investment returns than the market?
High b / m Empirical Analysis of the value of companies to invest in
First, the high b / m, the average size of such companies should be significantly greater than the overall market average size of a stock. 1995-2002 by the end of a share listed companies and high b / m samples of the basic properties of these companies are the statistical results showed that high b / m, the average size of such companies should be significantly greater than the overall market average size of a stock. This shows an average sense, the high b / m class companies tend to be relatively large size of some companies. And the size of the standard deviation within each group showed no consistency in the law, the group differences in the size of just as great. But they all show up on the Chinese stock market since 1995, the size of the listed companies have significantly increased in large capitalization stocks listed on the growing trend.
Secondly, a high b / m class of listed companies there exists an obvious extraordinary return on investment. 1995-2002 high b / m portfolio investment value of such companies and the market portfolio (all samples) of the basic statistical results showed that 7-year holding a high b / m portfolio value of the company i (from early next year to the next to hold the end of ) the average annual return of 27.07 percent average return, while the seven to hold a portfolio of i-year market average return of the annual average return of 13.08%. In the holding period of seven high-b / m portfolio of these companies are higher than the market portfolio, the average annual return 13.99% average annual return. 6 to hold a year of high b / m portfolio value of the company ii (from the next to hold a mid-mid-next 2) the average annual return of 24.67 percent average return, while the six held a-year market ii the average annual portfolio return of 14.30 percent average return in the holding period of six high-b / m class portfolio of companies ii average annual income higher than the market portfolio ii average annual 10.37% return.
7 held by a year of high b / m class portfolio of i-weighted average value of the company's average annual earnings gains of 0.32%, while the seven-year market to hold a portfolio of i-weighted average return of 0.068 percent average annual earnings for high - b / m class portfolio of i-weighted average value of the company revenue over the same period the average annual income higher than the market portfolio, the weighted average yield 0.252 percent. 6 to hold a year of high b / m portfolio of a company's value-weighted average return ii the average annual return of 0.25%, while the six held a combination of ii-year market-weighted average return of 0.095 percent average annual earnings for high-b / m value of the company portfolio of ii-weighted average return over the same period the average annual income higher than the market portfolio, the weighted average yield 0.155 percent. Can be seen from the perspective of portfolio investment income, high b / m class portfolio of companies and the weighted average returns were significantly higher than the market portfolio returns.
From different combinations of sharpe ratio of view, in general, b / m portfolio average return and portfolio risk i the sharpe ratio significantly higher than the market portfolio return and portfolio risk i mean the sharpe ratio. Other combinations show the same pattern: that, in general, a high b / m portfolio performance of such companies sharpe ratio is far higher than the market portfolio performance, sharpe ratio. However, in 2001-2002, two kinds of portfolio sharpe ratio is basically the same, may be due to state-owned shares in 2001, the problems and the lack of fundamentals supporting the market, the market weakness in the basic face of high b / m class performance and the overall market portfolio of companies combination of results produced essentially the same impact. Therefore, generally speaking, high b / m portfolio investment value of such companies is higher than the overall market value of the investment portfolio, there is a certain degree of excess returns.
Third, the high b / m portfolio of companies in the investment income category does not exist on the scale. According to 1995-2002 high b / m portfolio investment value analysis of such companies, from high b / m various combinations of these companies are investment income point of view, the combined average return rate, there are significant economies of scale. Small-cap stocks portfolio investment income i mean the average annual return of 27.53 percent, the average large-cap stocks portfolio investment income i the average annual earnings of 9.83%, the former the average annual return 17.7% higher than the latter. Small-cap stocks portfolio ii average annual investment return of 26.04 percent average return, the average large-cap stocks portfolio investment income ii the average annual return of 21.59%, the former average 4.45% above the yield of the latter.
However, if just from the combination of the weighted average return, the other hand, show large capitalization stocks with a relatively high annual return on investment. Combination of small-cap stocks weighted average return on investment i the average annual return of 0.50%, the weighted average large-cap stocks combination i investment income 0.97% average annual earnings for the former's average annual income lower than the latter 0.47%. Combination of small-cap stocks weighted average of investment income ii the average annual return of 0.44%, while the combination of large-cap stocks weighted average of investment income ii the average annual return of 0.73%, the former annual income lower than the latter 0.29%.
