價值型交易策略之研究──以中國A股龍頭為例

A Study on the Value Trading Strategies-Focus on China A Shares Leading Stocks

本文目的在於探討價值型交易策略在中國A股的有效性，使用2005年4月30日至2020年2月14日的中國A股為樣本，以價值型的產業龍頭股為對象，選擇主營業務收入、淨利潤、總市值和總資產等指標，分別建構了4個龍頭股組合。而實證結果顯示，價值型交易策略在中國A股市場是可行、有效的，其中總市值龍頭股組合績效表現最為優異，打敗市場指數且能戰勝中國私募基金系列指數。進一步，以市場趨勢區間來看，除了在市場投機氣氛濃厚下，不宜採用總市值龍頭作為投資組合外，其餘市場趨勢皆為適宜，而在熊市時其風險為最低。依此結果，建議投資者於中國A股市場構建價值型龍頭股組合時，選擇績效表現最優異的總市值龍頭股組合，其可以戰勝市場指數而獲得最佳的超額收益。

This study aims to investigate the validity of the value trading strategies on China A shares, using the samples of China A shares dating from April 30^(th), 2005 to February 14^(th) 2020| with the value leading stocks and the indicators such as gross revenue, net income, total market value and total asset, the four leading stock portfolios are constructed. The empirical result indicates that the value trading strategies on China A shares areboth feasible and effective, and compared to the other three portfolios, the total market value leading stocks portfolio perform the best, outperforming the benchmark indices and prevailing the China Privately Offered Fund Serial Index. Furthermore, in terms of market trend interval, except the times during which there is strong speculative atmosphere, which in turn would be inappropriate to adopt it, the proposed portfolio is favorable during all the other market trends, its risk being the lowest during the bear market. Consequently, we advise that investors, when constructing the leading stocks portfolio in China A shares, choose the total market value leading stocks portfolio which performs the best, outperforms the benchmark indices and obtains the optimal extra return.