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Min · 2023年11月05日

为什么P/E ratio和performance负相关就是market anomaly

NO.PZ2023040301000101

问题如下:

An observation that stocks with above average price-to-earnings ratios have consistently underperformed those with below average price-to-earnings ratios least likely contradicts which form of market efficiency?

选项:

A.

Weak form

B.

Semi-strong form

C.

Strong form

解释:

The observation that stocks with high above average price-to-earnings ratios have consistently underperformed those with below average price-to-earnings ratios is a cross-sectional anomaly. It is a contradiction to the semi-strong form of market efficiency and strong form market efficiency because all the information used to categorize stocks by their price-to-earnings ratios is publicly available. It is not a contradiction to weak form market efficiency.

解答说较高P/E ratio的股票比较低P/E ratio的股票表现差,是因为semi-strong form efficiency。


我的理解是:P/E是public information,在semi-strong form efficiency成立时P/E的影响应该会被考虑在stock price中。但题干只是说较高股票的P/E ratio和股票表现存在负相关性而已?哪怕P/E ratio已经被市场考虑了也是有可能的啊?我的理解哪里有问题?

2 个答案

王园圆_品职助教 · 2023年11月06日

是的同学,你的总结很正确

王园圆_品职助教 · 2023年11月05日

同学你好,你需要知道,P/E 是一个非常典型的体现股票价值的公开市场信息

在基本面分析中认为,P/E高就代表公司很可能被高估,P/E低则代表公司被低估;如果找到低P/E的公司就买入,高P/E的股票就卖出——这个策略能持续的帮助投资者盈利,那说明基本面分析是有用的,是可以给投资者创造价值的

而半强有效市场下,一个假设是基本面分析已经失效了,而题目给的情况现实基本面分析依然有效,所以就违背了半强有效市场假说

Min · 2023年11月06日

谢谢您的解答! 总结一下: 本题题干隐含的推论是:利用“买入低于平均P/E ratio的股票, 卖出高于平均P/E ratio的股票”的策略可以持续盈利,从而推断出“基本面分析有用”得到“半强有效市场不成立”的结论。

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