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首先本文将股票的投资价值定义为一段时期股票的涨幅,将投机价值认定为期间股价的振幅,将股票的相对收益认定为超额收益。对2016年、2013年、2011年以及2006年沪深两市股价最高的100家公司与股价最低的100家公司分别构建指数,从短期、中期和长期三个维度分析高价股和低价股的投资价值与投机价值。实证表明整体上我国股市低价股在投资价值、投机价值和超额收益上明显强于高价股。本文能从股价结构上为普通散户投资者,融资融券类型投资者,以及基金管理人的投资标的物选择提供部分参考价值,同时也为当下量化策略的构造提供一定的指导意义。
First of all, this paper defines the investment value of the stock as the increase of the stock for a period of time, identifies the speculative value as the amplitude of the stock price during the period, and determines the relative return of the stock as excess return. For 100 index companies and 100 lowest-priced companies in Shanghai, Shenzhen, Shanghai, and Shenzhen in 2016, 2013, 2011 and 2006 respectively, construct indices to analyze the high-priced stocks and the low-priced stocks in the short, medium and long term Investment value and speculative value. Empirical evidence shows that on the whole, the low-priced stocks in the Chinese stock market are significantly stronger than the high-priced stocks in terms of investment value, speculative value and excess returns. This article can provide partial reference value for the general retail investors, margin investors and the fund managers’ choice of investment objects, and also provide some guidance for the construction of the quantitative strategy.