| Value investment strategy mainly depends on analyzing the inter value of the stock, and comparing the stock price to determine whether to buy. The core of thought of the value of investment strategy is that the inter value of the stock determine the stock price, and only when the stock price was lower than the inter value of the stock, which mean that there is margin of safety, to buy.Based on the theory of the relevant theory at home and abroad, divide into the value investment strategy of value investment strategy and growth investment strategy. According the E/P indicator and earning growth ratio, we divided the Shanghai 180 plate into of the value investment strategy equity portfolio and growth investment strategy equity stock portfolio.According to Efficient Market Hypothesis, the extra return cannot be existed. There are many explains for the extra value. We may conclude these explaining into three main theories. For the one part is Overreaction Hypothesis. This theory is put forward by De Bondt and Thaler, these points out that the extra is come from overreaction of stock price. For the second part is Fama's Risk-adjusted Hypothesis. They acknowledge the different return between value stock portfolio and growth stock portfolio, but they think the difference is caused by the different risk in the two portfolios'testing period and building period, or is because of the unilateral of traditional CAPM model.Based on the shanghai 180 stocks plate ,our paper research the market exhibition of taking and holding value stock portfolio and growth stock portfolio for one year by E/P and earning growth ratio. The main conclusion is shown as follow: Firstly, growth stock portfolio significantly outperforms value stock portfolio in the testing period, and the performances of both portfolio take on no reversal pattern. The result is not consistent with the Overreaction Hypothesis. Secondly, the empirical results show no supportive evidences for Risk-adjusted Hypothesis. |
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