Financial Analyst Journal, Volume74, Issue4, 2018

价值投资vs成长型投资，对价值陷阱的解释

作者：Stephen Penman (Columbia Business School)

Francesco Reggiani (University of Zurich)

摘要：一般而言，价值型股票平均收益高于成长型股票，然而“价值股”在某些情况下可能会对投资者造成不利影响。基本面分析可以解释这种所谓的价值陷阱：投资者可能会购买有风险的收益增长型股票。市盈率（E/P）和账面价格比（B/P）都起作用。E/P表示预期的收益增长，但该比率中的价格也会对这种预期收益的增长中的风险进行折现；B/P表明存在风险。一个惊人的发现：对于给定的市盈率，较高的账面价格比（“值”）表明更高的预期收益增长，但是增长是有风险的。这一发现与一般惯例相反，后者认为低账面价格比股票具有“低风险”增长的性质。

Fundamentals of Value versus Growth Investing and an Explanation for the Value Trap

Stephen Penman (Columbia Business School), Francesco Reggiani (University of Zurich)

ABSTRACT

Value stocks earn higher returns than growth stocks on average, but a “value” position can turn against the investor. Fundamental analysis can explain this so-called value trap: The investor may be buying earnings growth that is risky. Both the earnings-to-price ratio (E/P) and the book-to-price ratio (B/P) come into play. E/P indicates expected earnings growth, but price in that ratio also discounts for the risk to that growth; B/P indicates that risk. A striking finding emerges: For a given E/P, a high B/P (“value”) indicates higher expected earnings growth—but growth that is risky. This finding contrasts with the standard convention that considers a low B/P to be “growth” with lower risk.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v74.n4.6

翻译：秦秀婷