股票定价理论中未来盈利预期是估值的重要参数。市盈率指标是目前应用很广的投资指标，但其应用于股票投资的一个主要缺陷在于无法得出该股票估值相对于盈利增速是否合理，PEG指标很好地将净利润增长率与PE估值倍数相结合，可以较全面地衡量股票的“性价比”。本文在考虑盈利预期的基础上对PEG估值法的效果进行评估，重点分析了PEG指标及风险因子的有效性、适用范围，并且尝试探究了PEG风险因子横截面收益的解释力来源。目前国内研究PEG指标与股票收益率之间相关性的文献较少，为数不多的研究所用方法也局限于构建投资组合并进行简单的对比。本文在前人基础上进行了分析，围绕“PEG是不是一个风险因子”这一中心进行分析，改进了PEG计算方法使得更适合在中国市场使用，具体来看，第一，过往的研究通常采用滞后一期的或者前一年的净利润增长率计算指标，这与PEG要求的预期收益率的内涵是相违背的，本文采用通分析师预测的Wind一致预期与过去盈利增长率结合的方法计算预测增长率，平滑增长率的波动性。本文建立整体的面板数据回归方程，发现从整体上看PEG指标与未来一个月收益率呈现显著负相关，并通过改变持有期限稳健性检验，结果保持一致；进而分行业和风格进行回归，研究发现，从行业看，PEG策略相对更适合的是能源、医疗保健、工业、材料、电信服务、信息技术、可选消费七个行业，从风格上看，研究发现对于大盘和小盘成长型股票来说，PEG指标是有效的。第三，本文构建了PEG的风险因子，对风险因子组合收益率进行测算，发现因子在2011-2016无超额收益，从2016年至2021年存在显著的月度超额收益约0.5%。进一步发现因子不能被五因子完全解释，发现账面市值比因子能解释一部分PEG因子。探究因子的收益率的来源，本文发现主要来自于错误定价，市场错误认为分析师预测准确度低，使得PEG指标存在套利空间。
Equity pricing relies on discounted future cash flows, so future earnings expectations being an important parameter in the valuation. PE ratio is a widely used investment indicator, but one of the main drawbacks of using it for equity investment is that it does not tell whether the stock valuation is reasonable in relation to the earnings growth rate. PEG Ratio overcomes the shortcomings of PE ratio by combining earnings growth rates with PE multiples. This paper evaluates the effectiveness of the PEG valuation method by considering earnings expectations, focusing on the effectiveness of the PEG valuation and comparing the effectiveness of the PEG valuation method across different sectors. In addition to this, the paper attempts to explore the source of returns for PEG ratio.There are relatively few domestic studies on the correlation between PEG ratio and stock investment returns. Besides, the very few studies have been limited to constructing portfolios and making simple comparisons. This paper makes some innovations based on the previous papers.First, previous studies have typically used past earnings growth rates, which is contrary to the expected rate of return required by PEG ratio. This paper combines the consensus estimates and the past earnings growth rate to calculate the forecast earnings growth rate, smoothing out the volatility of the growth rate. Second, previous studies have focused on analysing the impact of macro variables on PEG without considering the impact of industry and investment style on PEG size. The paper first finds that PEG ratio is significantly and negatively correlated with future one-month returns from an overall perspective by way of group testing, then runs regressions by sector and style and finds that the PEG strategy is more useful. This paper constructs a risk factor for the PEG and measures the risk factor portfolio returns and finds that the factor has no excess return from 2011-2016 and there is a significant monthly excess return of about 0.5% from 2016 to 2021. At last, finding the source of return of PEG factor.
