本文選題：因子分析　切入點：績效評價　出處：《中國海洋大學(xué)》2012年碩士論文

【摘要】：股票市場是聯(lián)系籌資者和投資者的紐帶。隨著經(jīng)濟的發(fā)展以及人們投資意識的增強,越來越多的人們開始關(guān)注股市并進入股市投資。然而風(fēng)險與收益并存,投資者必須掌握相當(dāng)?shù)闹R及技能才能在最大程度上規(guī)避風(fēng)險,獲取收益。而在這些知識及技能中,對上市公司的績效評價能力是不可或缺的。 上市公司都會定期公布其財務(wù)報表,然而對于一般投資者,財務(wù)報表中指標(biāo)繁多復(fù)雜,很難在不具備專業(yè)背景的情況下對上市公司進行有效的分析。在這種情況下,業(yè)界已經(jīng)總結(jié)出了一些解決方法,最常用的就是綜合評分法。綜合評分法通過納入一些常用的財務(wù)指標(biāo),并統(tǒng)計各行業(yè)對應(yīng)財務(wù)指標(biāo)的平均水平,通過二者之間的對比來給評價主體的各項表現(xiàn)打分。最后按照一定的方法給每個指標(biāo)賦予相應(yīng)的權(quán)重,加權(quán)得出綜合評分,從而判斷公司的綜合表現(xiàn)。這種方法雖然簡便易行,但指標(biāo)的選取以及權(quán)重的確定存在一定主觀性,使其綜合評價的結(jié)果有失公允。 考慮到上述情況,本文借鑒綜合評分法,通過因子分析對于選取的財務(wù)指標(biāo)進行客觀賦權(quán),進而對上市公司的績效進行評價。由于因子分析可以通過挖掘數(shù)據(jù)內(nèi)部之間的關(guān)系,分析各個數(shù)據(jù)對于最終結(jié)果的貢獻率確定各個指標(biāo)的權(quán)重,所以使用因子分析可以較好的克服傳統(tǒng)評價方法對于指標(biāo)賦權(quán)過于主觀的缺點。同時因子分析可以將眾多的分析指標(biāo)歸類為少數(shù)的幾個因子,從而通過降維達(dá)到簡化評價和解釋的目的。由于因子分析法的這種特性,它在很大程度上彌補了傳統(tǒng)綜合評分法的不足。 截至2012年,我國已有十六家銀行上市,上市銀行已經(jīng)成為我國證券市場的重要一部分。本文將以十六家上市銀行為例,利用因子分析法對于指標(biāo)進行處理,進而對我國上市商業(yè)銀行做出績效評價。指標(biāo)選取方面,本文以CAMEL評價體系為基礎(chǔ),從資本狀況、資產(chǎn)質(zhì)量、管理水平、盈利狀況、資產(chǎn)流動性五個方面,選取相關(guān)評價指標(biāo)。與之前用于商業(yè)銀行財務(wù)分析模型不同的是,鑒于近年來的金融形勢,銀行體系的安全性問題日益突出,本文在選取評價指標(biāo)的過程中加入了反映商業(yè)銀行安全性的資本充足率、核心資本充足率等相關(guān)指標(biāo)構(gòu)建評價指標(biāo)體系,以期更加全面地反應(yīng)商業(yè)銀行的績效表現(xiàn),并對我國十六家上市銀行進行績效評價。 最后,本文選取2011年各上市銀行的相關(guān)數(shù)據(jù),運用上述方法對各家銀行進行績效評價,給出綜合業(yè)績評分,并對評分結(jié)果進行解釋。
[Abstract]:The stock market is the link between financiers and investors.With the development of economy and the enhancement of people's investment consciousness, more and more people begin to pay attention to the stock market and invest in the stock market.However, risk and income coexist, investors must master considerable knowledge and skills in order to avoid risk to the greatest extent and gain income.In these knowledge and skills, the performance evaluation ability of listed companies is indispensable.Listed companies will publish their financial statements regularly. However, for general investors, the financial statements have many and complex indexes, so it is difficult to analyze the listed companies effectively without professional background.In this case, the industry has summed up a number of solutions, the most commonly used is the comprehensive scoring method.By incorporating some commonly used financial indicators and counting the average level of the corresponding financial indicators in various industries, the comprehensive scoring method scores the performance of the evaluation subjects through the comparison between the two.Finally, according to a certain method to give each index a corresponding weight, weighted to obtain a comprehensive score, so as to judge the comprehensive performance of the company.Although this method is simple and easy to carry out, the selection of indexes and the determination of weights are subjective, which makes the results of comprehensive evaluation unfair.In view of the above situation, this paper draws lessons from the comprehensive scoring method, carries on the objective weight to the selected financial index through the factor analysis, then carries on the appraisal to the listed company's performance.Because factor analysis can determine the weight of each index by mining the relationship between the data and analyzing the contribution rate of each data to the final result.Therefore, factor analysis can overcome the disadvantages of traditional evaluation method.At the same time, factor analysis can classify many analysis indexes as a few factors, so that the purpose of simplified evaluation and interpretation can be achieved through dimensionality reduction.Because of the characteristic of factor analysis, it makes up for the deficiency of the traditional comprehensive scoring method to a great extent.Up to 2012, 16 banks have been listed in China, and listed banks have become an important part of China's securities market.This paper will take 16 listed banks as an example, use factor analysis to deal with the indicators, and then make performance evaluation of listed commercial banks in China.On the basis of CAMEL evaluation system, this paper selects relevant evaluation indexes from five aspects: capital condition, asset quality, management level, profit condition and asset liquidity.Unlike the previous financial analysis models for commercial banks, given the financial situation in recent years, the security problems of the banking system have become increasingly prominent.In order to reflect the performance of commercial banks more comprehensively, this paper adds the capital adequacy ratio, core capital adequacy ratio and other related indicators to reflect the security of commercial banks in the process of selecting evaluation indicators.And the performance evaluation of 16 listed banks in China.Finally, this paper selects the relevant data of each listed bank in 2011, uses the above method to evaluate the performance of each bank, gives the comprehensive performance score, and explains the result of the score.
【學(xué)位授予單位】：中國海洋大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.33;F275

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