海南热带海洋学院学报2026，Vol.33Issue(4)：85-95,11.DOI:10.13307/j.issn.2096-3122.2026.04.09
市场相对估值比率的价格预测能力分析
Analysis of the Price Predictive Power of Market Relative Valuation Ratios:A Study Based on the CSI 300 Index
摘要
Abstract
Market relative valuation ratios are crucial indicators for measuring stock prices relative to dividends,earnings,and book values.Their predictive power determines the application value of valuation signals in investment decision-making and market monitoring.Using the CSI 300 Index—representative of large-cap A-shares—as the sample,and drawing on data from the second quarter of 2005 to the fourth quarter of 2025,this study employs the Hodrick-Prescott(HP)filter to decompose three relative valuation ratios—the dividend-price ratio(DP),earnings-price ra-tio(EP),and book-to-price ratio(BP)—into cyclical and trend components,and explores their price predictive power.The results indicate that under two-sided HP decomposition,cyclical components and trend changes exert opposite effects on future returns,so that these two types of information mutually weaken each other in the raw ratios.Furthermore,the cyclical components of DP and EP negatively predict dividend growth and earnings growth,respectively,while BP trend changes positively predict the short-to medium-term profitability of book equity.Recursive one-sided HP tests further demonstrate that medium-to long-term positive return information is primarily concentrated in the cyclical components,supporting the fundamental predictive relationship embodied in BP trend changes.关键词
相对估值比率/价格预测能力/HP滤波/沪深300指数Key words
relative valuation ratios/price predictability/HP filter/CSI 300 Index分类
管理科学引用本文复制引用
程永文,吴帮伟..市场相对估值比率的价格预测能力分析[J].海南热带海洋学院学报,2026,33(4):85-95,11.基金项目
教育部人文社会科学研究青年基金项目(25YJCZH276) （25YJCZH276）
