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目前市场上评估一只股票是否被低估或高估的简单方法,就是市盈率比较法,但它的缺陷也是显而易见的。本文尝试建立多因素相对估值模型,用以识别市场中影响投资者价值判断的主要因素,并为建立具有投资价值的股票组合提供估值参考。沪深300指数成分股是沪深两市绩优蓝筹股的代表,本文以其为样本,采用逐步回归方法,分析了决定股票价值的估值因素。结果表明,影响股票估值的主要因素依次是每股收益、行业市盈率、流通股本、每股净资产、每股净资产增长率等指标。相对而言,市场成长性指标的重视要弱于盈利能力指标。本文还以基金重仓股为样本,对作为主流机构投资者的基金的选股标准进行深入分析。结果表明,影响股票估值的主要因素仍然还是集中在体现盈利能力方面的指标。基于沪深300指数和基于基金重仓股的估值模型均表明,根据模型构造的低估组合在未来一年中,能够跑赢其基准指数,而高估组合则将落后其基准指数。
The simple way to assess whether a stock is undervalued or overvalued on the market today is the P / E comparison method, but its flaws are obvious. This paper attempts to establish a multi-factor relative valuation model to identify the main factors that affect the value of investors in the market and provide a reference for the establishment of a portfolio with investment value. The constituents of the CSI 300 Index are representatives of the blue-chip blue-chip companies in Shanghai and Shenzhen. Using this sample as a sample, the paper uses a stepwise regression method to analyze the valuation factors that determine the value of the shares. The results show that the main factors affecting the stock valuation followed by earnings per share, the industry price-earnings ratio, tradable shares, net assets per share, net assets per share growth rate and other indicators. Relatively speaking, the focus of the market growth indicators should be weaker than the profitability indicators. This article also Awkwardness Fund as a sample, as the mainstream institutional investors fund stock selection criteria for in-depth analysis. The results show that the main factors that affect the stock valuation are still concentrated in the performance indicators to reflect profitability. The valuation models based on CSI300 and Awkwardness Fund all show that undervalued portfolios constructed according to the model can outperform their benchmark indices in the coming year while overvalued portfolios will lag their benchmark indices.