發(fā)布時(shí)間：2018-02-24 03:28

  本文關(guān)鍵詞： 投資者關(guān)系管理 股票收益率 非參數(shù)檢驗(yàn) 回歸分析　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：在中國證券資本市場上,投資者關(guān)系管理(investor relations management,IRM)踐行時(shí)間僅有十余年,但伴隨著中國經(jīng)濟(jì)和社會的發(fā)展,投資者關(guān)系管理越來越受到上市公司和投資者的關(guān)注,國內(nèi)外學(xué)者的研究已經(jīng)發(fā)現(xiàn)IRM對于公司的價(jià)值和公司管理方面都有重要影響,良好的IRM管理有利于提高公司價(jià)值和優(yōu)化資本結(jié)構(gòu)。 本文在根據(jù)國內(nèi)外關(guān)于IRM的相關(guān)理論及研究的基礎(chǔ)上,總結(jié)了當(dāng)前我國上市公司實(shí)施IRM管理工作的情況,并對當(dāng)前國內(nèi)IRM管理工作落后的原因進(jìn)行了分析,同時(shí)筆者結(jié)合中國的實(shí)際情況提出了以下疑問：中國上市公司價(jià)值評估受IRM因素的影響有多大?中國上市公司IRM評價(jià)指標(biāo)對股票收益率有影響嗎? 基于上述疑問,本文利用南京大學(xué)IRM研究中心2010年11月發(fā)布《中國上市公司投資者關(guān)系管理研究報(bào)告》中調(diào)研的445家上市公司數(shù)據(jù)作為研究樣本,將樣本數(shù)據(jù)按照IEM評價(jià)指標(biāo)“好”與“差”分為兩組,然后通過Wilcoxon非參數(shù)檢驗(yàn),筆者發(fā)現(xiàn)投資者關(guān)系管理指標(biāo)與公司價(jià)值具有顯著的相關(guān)性,發(fā)現(xiàn)IRM評價(jià)“好”的公司價(jià)值的價(jià)值變動更小,其公司價(jià)值評估更為穩(wěn)定；然后通過建立回歸方程定量研究IRM評價(jià)指標(biāo)對于公司價(jià)值的影響程度。 接下來,在該研究基礎(chǔ)上,本文繼續(xù)探索IRM同股票收益率的關(guān)系。通過Wilcoxon非參數(shù)檢驗(yàn),我們發(fā)現(xiàn)IRM評價(jià)指標(biāo)與上市公司股票年度收益率具有顯著的正相關(guān)性,然后根據(jù)國內(nèi)外學(xué)者經(jīng)常運(yùn)用的的Fama-Fench模型,考察上市公司股票收益率在除去市場溢價(jià)因子、規(guī)模因子和賬面市值比因子的解釋的部分以外,剩余的股票超額回報(bào)率與IRM的關(guān)系,研究結(jié)果發(fā)現(xiàn)：IRM評價(jià)“好”的組其每月超額回報(bào)率平均值比評價(jià)為“差”的組高0.73%,這意味著投資者選擇優(yōu)秀的IRM上市公司的股票會獲得更高的超額回報(bào)率。這一結(jié)果表明不僅上市公司主動實(shí)施IRM管理工作會獲得良好地回饋,投資者主動研究并發(fā)掘投資者關(guān)系管理良好的公司也會獲得收益,這對于實(shí)施IRM管理工作的主體和客體都有十分重要的意義,從而上市公司和投資者都有動力來踐行IRM管理工作,進(jìn)一步推動中國證券金融市場的發(fā)展和完善,有利于創(chuàng)建更加透明、公正、高效的金融市場。
[Abstract]:In China's securities capital market, investor relations management has only been practiced for more than ten years. However, with the development of Chinese economy and society, investor relationship management has attracted more and more attention from listed companies and investors. Scholars at home and abroad have found that IRM has an important impact on corporate value and corporate management. Good IRM management is conducive to improving corporate value and optimizing capital structure. Based on the relevant theories and researches on IRM at home and abroad, this paper summarizes the current situation of IRM management in listed companies in our country, and analyzes the reasons why the domestic IRM management work lags behind. At the same time, combined with the actual situation in China, the author raises the following questions: how big is the value evaluation of listed companies in China affected by IRM factors? Does the IRM Evaluation Index of China's listed companies have an impact on the Stock yield? Based on the above questions, this paper uses the data of 445 listed companies published by the IRM Research Center of Nanjing University on November 2010 as a sample. The sample data are divided into two groups according to IEM evaluation index "good" and "bad". Then through Wilcoxon non-parametric test, the author finds that the investor relationship management index has significant correlation with the company value. It is found that the value of the "good" company evaluated by IRM has less change and the evaluation of company value is more stable, and then the degree of influence of IRM evaluation index on company value is studied quantitatively by establishing regression equation. Then, on the basis of this study, this paper continues to explore the relationship between IRM and stock return. By Wilcoxon non-parametric test, we find that the IRM evaluation index has a significant positive correlation with the annual return of listed companies. Then, according to the Fama-Fench model, which is often used by domestic and foreign scholars, this paper investigates the relationship between the excess return rate of the remaining stocks and the IRM, except for the market premium factor, the scale factor and the book market value ratio factor, in addition to the explanation of the market premium factor, the scale factor and the book market value ratio factor. The results of the study found that the average monthly excess return of the "good" group was 0.73 higher than that of the "bad" group, which meant that investors who chose the best IRM listed company would get a higher excess return. The results show that not only do listed companies take the initiative to implement IRM management, but also they get good feedback. It is of great significance for the subject and object of IRM management to study and discover the benefits of investors who have good investor relationship management. Therefore, both listed companies and investors have motive power to practice IRM management, further promote the development and improvement of China's securities financial market, and help to create a more transparent, fair and efficient financial market.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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本文編號：1528709