【摘要】 具体考察我国股票市场在不同的经济阶段和股权分置改革前后的价值溢价问题。研究结果表明:在经济波峰阶段,整个市场和小盘股均存在价值溢价;扩张阶段,整个市场和小盘股均不存在价值溢价;衰退阶段,整个市场存在价值溢价,小盘股中则是成长股的表现好于价值股;低谷阶段,整个市场不存在价值溢价;而小盘股中存在价值溢价。股改前,整个市场成长股的表现好于价值股,整个市场存在轻微的价值溢价,小盘股中成长股的表现好于价值股。股改后,成长股的表现也好于价值股。值得指出的是,小盘股中滚动回归得出的结论是存在价值溢价,而条件市场回归得出的结论则是几乎不存在价值溢价。更多还原

【Abstract】 In this paper,the value premium problems in China’s stock market are investigated respectively during the different business cycles as well as before and after the reform of the shareholder structures. The study results demonstrate that the value premium does exist in the whole markets and in the small-cap stocks at the peak stage while does not exist when during the expansionary process. At the recession phase of the economy,the value premium also exists in the whole markets and the growth stocks perform better than the value stocks. And at the trough stage,there are not value premium in the whole markets but it exists in the small-cap stocks. Before the shareholder structure reform,the growth stocks perform better than the value stocks and there are slight value premium in the whole market. After the reform,the growth stocks perform better than the value stocks as well. It is worth mentioning that in the small-cap stocks,the conclusion drawn from rolling regression is that the value premium does exist. However,through conditional market regression,the value premium does not exist nearly.更多还原