程永文,吴帮伟

• 1:合肥大学经济学院

摘要(Abstract)：

市场相对估值比率是衡量股票价格相对于股利、盈利和账面价值水平的重要指标，其预测能力关系到估值信号在投资决策和市场监测中的应用价值。选取具有A股大盘股代表性的沪深300指数为样本，基于2005年第二季度至2025年第四季度数据，采用HP滤波法将股利价格比（DP）、盈利价格比（EP）和账面市值比（BP）这三类相对估值比率分解为周期成分和趋势成分，并探究其价格预测能力。研究发现：双边HP分解下，周期成分与趋势变化对未来收益的作用方向相反，两类信息在原始比率中相互削弱；DP、EP周期成分分别负向预测股利和盈利增长，BP趋势变化正向预测短中期账面资本盈利能力。递归单边HP检验进一步表明，中长期正向收益信息主要集中于周期成分，并支持BP趋势变化的基本面预测关系。

关键词(KeyWords)： 相对估值比率;价格预测能力;HP滤波;沪深300指数

Abstract:

Keywords:

基金项目(Foundation): 教育部人文社会科学研究青年基金项目（25YJCZH276）

作者(Author): 程永文,吴帮伟

DOI: 10.13307/j.issn.2096-3122.2026.04.09

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