Research On Stock Valuation And Validity Of APT Model Based On Industry Price Earnings Ratio

Since the establishment of the Shanghai and Shenzhen exchanges in 1990,as of 2016,China's securities market from scratch,from disorder to orderly,from the policy market to the Non-tradable Shares Reform,margin trading,QFII,stock index futures,Experienced a rapid development process.n the 26 years of development in Shanghai,the average annual growth rate of 14.27%,up from 833.8 in 1993 to the highest point of 5261.56 points in 2007,but then in 2008,fell to 1820.56 points,down more than 65 %,the rate of decline is a historical record.In the context of China's sharp fluctuations in the stock price,fund companies and other institutional investors how to value management,as well as the value of the existence of stock valuation;China's recent macro-policy to guide investors to invest in value for the stable and sustainable development of China's securities market plays an important role.At the same time,in the context of the theory of value management,how to establish the standard of stock valuation and the validity of valuation is the core problem of value management theory,and also the development and perfection of value management theory.In this realistic and theoretical context,this paper proposes to build stock valuation criteria with opportunity cost.At the same time,in the study of the Shanghai and Shenzhen stock index and the A stock price earnings ratio,it is found that in the practice and theory,the price earnings ratio is widely used to evaluate the stock value,This paper uses the industry price-earnings ratio to replace the opportunity cost,to build different sectors of the stock valuation standards,reflects the growth of the stock through the difference of expected returns in the same industry.Finally,the stock valuation model based on industry price-earnings ratio and expected return is constructed,and the validity of stock valuation is tested.Therefore,this paper puts forward the APT model and the validity of stock valuation based on industry price-earnings ratio,The research content involves six chapters,First of all,the paper analyzes the distribution characteristics of China's A share market;Secondly,it explores the value driving factors of the industry price earnings ratio by APT multivariate model;Thirdly,according to the value driving factors of various industry P / E ratios,the model of P / E is constructed,and the stock value is evaluated according to the expected return of individual stocks.The stock is divided into reasonable interval,overvalued interval and underestimated interval according to the valuation conclusion.Finally,according to the value deviation method to analyze the investment performance of the overvalued area and the underestimated area stock portfolio and carry on the empirical analysis to test the validity of the stock valuation.In this paper,the main innovation is reflected in the following aspects:One of the main innovations: the main innovation for stock valuation standards.The existing literature on the use of P / E ratio in the study of stock valuation,the focus is on the direct use of the stock market earnings ratio to build the stock valuation criteria,but the conclusions show that the valuation criteria are extremely unstable.And this article assumes that individual p/e ratio is subject to the conditions of the industry p/e ratio,with the industry earnings instead of stock earnings to construct stock valuation standard,industry earnings not only leveled the same industry the opportunity cost,but also establish different valuation standards in different industries,the valuation standard can fully show competition standards,prospects for the development of different industries,establish a benchmark for the valuation standard,and industry earnings valuation standard to build better stability.The use of the industry price earnings ratio of the stock valuation criteria,which is not in the current literature,this paper can be made to compensate for the limitations of this study.In the industry,through the expected income differences reflect the degree of competition of individual stocks,using the product of the industry p/e ratio and earnings valuation model,to evaluate the value,then sorted on the stock value,And the reasonable range of the stock value,the overvalued interval and the undervalued interval are divided to provide rational decision-making basis for investors.The main innovation two,which is reflected in the quantitative analysis of the driving factors of the P / E of the industry.In this paper,the APT multi-factor model is used to extract the value driving factor of P / E,but because APT multi-factor model is difficult to define in the effective boundary of multiple factors,the application value is not high in practice,this paper defines the multi-factor effective boundary of the P / E of the industry from the macroeconomic factors and the financial characteristics of the industry.First of all,the existing literature are established with various macroeconomic factors and the industry p/e ratio model,but the results showed that the explanatory power of macroeconomic factors on the industry p/e ratio is not strong,the instability of the model and statistical significance.And this paper,based on the perspective of the a-share market,build the macroeconomic factors and the a-share market p/e ratio of regression model,then the a-share market p/e ratio should be brought into the industry p/e valuation model,improve the stability and the significance of the model,it made up for the limitations of existing literature research conclusion.Second,the existing literature mainly for a certain feature of the industry or a certain aspect to explore the industry P / E ratio of multiple factors,not systematic and comprehensive,lack of theoretical basis,making the conclusions can not be unified.In this paper,through the predictive factor analysis method,analysing systematically and comprehensively the multi-factor effective boundary of the industry price-earning ratio,multi-collinearity test,mining the industry price-earnings ratio of the driving force factors,and establishing the industry value driving factors effective boundary.Therefore,this article on the definition of the industry price-earnings ratio of the multi-factor effective boundary,witch not only develops arbitrage pricing theory,but also make up for the lack of existing literature.The main innovation three: There are many studies on the valuation of stock in the existing literature,but the research on the validity of stock valuation is rarely involved in the existing literature.This paper systematically demonstrates the validity of stock valuation from the perspective of investment performance and empirical analysis,According to the value deviation method,the stock value is divided into reasonable interval,overvalued interval H and underestimation interval L.The validity of the stock valuation is tested by the investment performance level of the H group and the L group,and the validity of the stock valuation is tested by theoretical and empirical analysis of the stock internal rate of return.Therefore,this article based on the industry price-earnings ratio of the valuation of stock valuation to make up for the lack of research in this area.