1、復(fù)旦大學(xué)碩士學(xué)位論文投資收益與市盈率的關(guān)系——滬市A股市場(chǎng)效率的實(shí)證研究姓名：涂艷軍申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：企業(yè)管理（財(cái)務(wù)方向）指導(dǎo)教師：陳穎杰2001.5.20InvestmentPerformanceInRelationToTheirPrice—EarningsRatios：AnEmpiricalTestofTheMarketEfficiencyOfShanghaiStockExchange(AShare)AbstraetAndre

2、wwLo—Harris＆HarrisGroupProfessorintheSloanschoolofManagementatMassachusettsInstituteofTechnol093sayifasPaulSamuelsonhassuggested，financialeconomitsistilecrownjewelofthesocialSciences，theEfficientMarketsHypothesis(EMH)mus

3、taccountforhalfthefacetIngeneralterms，thetheoryofefficientmarketsisconcernedwithwhetherprices，atanypointintime，“fullyreflect”availableinformationTheChineseSecuritiesMarketshavedevelopeddrasticallyforseveralyearsandcreate

4、dmanymaterialsveryusefultoresearchesbasedoncapitalmarketsManydomesticscholarsputmereemphasisontheresearchofmarketefficiencyThisthesisissuchanempiricalresearchoftestingthemarketefficiencyfromtheviewoftherelationshipsbetwe

5、enfutureinvestmentperformanceandtheirP／EratiosPreviousresearchresultsonAmericanStockMarketrevealthatP／EratiosareindicatorsofthefutureinvestmentperformanceofasecurityThelowP／EsecuritieswilltendtooutperformthehighPIEstocks

6、ThepurposeofthisthesisistodetermineempiricallywhethertheinvestmentperformanceofcommonstocksisrelatedtotheirP／EratiosinShanghaiStockExchange(AShare)TheresultsrevealthattheinvestmentperformanceisrelatedtotheirP／Eratios：the

7、highP／EsecuritieswilltendtooutperformthelowP／EstocksFurtherresearchtestimoniesshowsucharelationshipsbetweentheinvestmentperformanceandtheirP／Eratiosisduetoinvestomover。reactingtostockswithlowandnegativeearningswhileunder

8、—reactingtostockswithhighearningsAndwefindthatinvestorsoverreacttothestocksofnewlistedcompaniesTheproprietyofperformancemeasuresemployedinthisthesisisconditionaluponthevalidityofthecapitalassetpricingmodel(CAPM)Somoretes