摘要
价值投资作为一种长期有效的投资理念，在成熟市场中已被广泛验证，但其在中国新兴资本市场的适用性仍需深入探讨。本研究以中国股市为研究对象，基于2010年至2022年的上市公司财务数据和股票价格数据，通过构建多因子模型分析价值投资的核心指标（如市盈率、市净率、股息率等）与股票收益之间的关系。研究采用分层回归分析和组合测试方法，对比不同投资策略的绩效表现，并结合宏观经济环境和市场制度特征进行调整。结果表明，价值投资理念在中国股市具有显著的适用性，低估值股票组合在长期内能够获得超额收益，且该效应在经济稳定期更为明显。此外，研究发现市场非有效性及投资者行为偏差可能进一步放大价值投资的收益潜力。本研究的创新点在于首次将宏观经济周期纳入价值投资效果的分析框架，并提出适应中国市场特色的动态调整策略。这一研究成果不仅丰富了价值投资理论在新兴市场的实证基础，还为投资者提供了更具操作性的决策参考，同时对完善中国资本市场定价机制具有重要启示意义。
关键词：价值投资；中国股市；市盈率；宏观经济周期；动态调整策略
Abstract
Value investing, as a long-term effective investment philosophy, has been extensively validated in mature markets, yet its applicability in China's emerging capital market requires further exploration. This study takes the Chinese stock market as the research ob ject and employs listed companies' financial data and stock price data from 2010 to 2022 to analyze the relationship between core indicators of value investing (such as the price-to-earnings ratio, price-to-book ratio, and dividend yield) and stock returns through constructing a multi-factor model. By adopting stratified regression analysis and portfolio testing methods, the study compares the performance of different investment strategies while making adjustments based on macroeconomic conditions and market institutional characteristics. The results indicate that the concept of value investing is significantly applicable in the Chinese stock market, where low-valued stock portfolios can achieve excess returns over the long term, with this effect being more pronounced during periods of economic stability. Additionally, the study finds that market inefficiency and investor behavioral biases may further amplify the profit potential of value investing. A key innovation of this research lies in its first-time incorporation of macroeconomic cycles into the analytical fr amework of value investing effectiveness, along with the proposal of dynamic adjustment strategies tailored to the characteristics of the Chinese market. This research not only enriches the empirical foundation of value investing theory in emerging markets but also provides investors with more operational decision-making references, offering important implications for improving the pricing mechanism of China's capital market.
Keywords：Value Investment; Chinese Stock Market; Price-Earnings Ratio; Macroeconomic Cycle; Dynamic Adjustment Strategy
目 录
摘要 I
Abstract II
一、绪论 1
(一) 价值投资理念的研究背景与意义 1
(二) 国内外价值投资研究现状综述 1
(三) 本文研究方法与数据来源 2
二、价值投资理念的理论基础与中国股市适配性分析 2
(一) 价值投资的核心理论框架 2
(二) 中国股市的基本特征与价值投资的契合点 3
(三) 影响价值投资在中国实施的关键因素 3
三、价值投资策略在中国股市的实证检验 4
(一) 实证研究的设计与变量选择 4
(二) 不同价值投资指标的表现分析 4
(三) 市场波动对价值投资策略的影响 5
四、价值投资在中国股市的应用与优化建议 5
(一) 当前价值投资实践中的问题分析 5
(二) 提升价值投资效果的策略优化 6
(三) 面向未来的价值投资发展方向 6
结 论 8
参考文献 9
