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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

  1. CFA I
  2. Equity

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？

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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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