本文關鍵詞：個股收益率波動性與經營業(yè)績波動性　出處：《復旦大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 個股收益率波動性 現(xiàn)金流波動性 盈余波動性

【摘要】：本文采用中國股票市場2003年到2012年的所有非金融類股票為樣本,研究現(xiàn)金流波動性和盈余波動性對股票收益波動性的影響。本文意義在于探討是否個股在金融市場的風險是否與其經營風險相匹配。個股在金融市場的風險以個股的波動性為指標,經營風險則以現(xiàn)金流的波動性和盈余的波動性為指標。較少學者做過個股收益率波動與現(xiàn)金流波動,盈余波動之間關系的研究。在一個有效的市場里,從基本面來看,股票的風險應該是和其經營風險保持一致的,因此提出假設,即個股收益率波動與現(xiàn)金流波動以及盈余波動顯著正相關。文中采樣期是2003年到2012年,分為5個樣本期(每兩年一期)。在此要求每只股票有兩年內所有季度的財務數(shù)據以及在股票市場的季度收益數(shù)據。本文采用多元線性回歸對股票收益和經營業(yè)績的變動關系進行研究。用每兩年八個季度的股票收益方差衡量股票收益波動性(因變量),現(xiàn)金流波動性和盈余波動性(自變量)同樣如此,此外還選取了總資產,財務杠桿,流動比率和資產回報率作為控制變量。通過Pearson測試,發(fā)現(xiàn)現(xiàn)金流波動性與盈余波動性線性度很高,于是將這兩個指標分別為自變量構建兩個模型以消除多重共線性問題。本文除了對5個樣本期匯總的全樣本進行多元線性回歸以外,也根據現(xiàn)金流波動性或盈余波動性的規(guī)模大小分別做了線性回歸。結果發(fā)現(xiàn),提出的假設被證實�？傮w而言,現(xiàn)金流波動性,盈余波動性與股票收益波動性顯著正相關。當現(xiàn)金流波動性處于高位水平時,其關系顯著,反之則不顯著。但是余波動性和股票波動性則一直顯著相關。當公司總資產越大時,股票收益波動性越小。而其他的控制變量則在某些情況下才與因變量關系顯著。在線性回歸中,以盈余為自變量的模型的R方相比以現(xiàn)金流為自變量的模型高,說明盈余的波動性比現(xiàn)金流波動性對個股波動性的解釋性更高。從2003年到2012年,盈余和個股收益波動性之間的關系逐漸變的不顯著,R方也很低,說明有更多非基本面的因素在決定著股票收益波動性。
[Abstract]:All non financial stocks by Chinese stock market from 2003 to 2012 as a sample, study the cash flow volatility effect and earnings volatility on stock return volatility. The significance is to investigate whether the risk of stocks in the financial markets and business risk match. The risk of stocks in the financial markets to volatility shares of the index, the volatility of business risk with cash flow volatility and earnings index. Few scholars have done the stock return volatility and cash flow volatility, research on the relationship between earnings fluctuations. In an efficient market, from the fundamental point of view, the stock and its business risk should be the risk is consistent, thus put forward the hypothesis that stock return volatility and cash flow volatility and earnings volatility is positively related. The sampling period is from 2003 to 2012, divided into 5 periods (two-year period) This requires each stock. Financial data all quarter in two years and in the stock market's quarterly earnings data. This paper uses multiple linear regression to study changes in the relationship between stock returns and operating performance. With the stock return variance of eight quarter every two years measure of stock returns volatility (dependent variable), cash flow volatility and earnings volatility (independent variables) the same, in addition to the selection of total assets, financial leverage, liquidity ratio and return on assets as control variables. Through Pearson test, found that the cash flow volatility linear and earnings volatility is very high, so the two indicators were constructed two models to eliminate the problem of multicollinearity. In addition to the full sample of 5 samples were pooled multivariate linear regression, also according to the cash flow volatility or earning volatility size were made Linear regression. The results showed that the hypothesis was confirmed. Overall, cash flow volatility is positively related to earnings volatility and stock return volatility. When cash flow volatility at a high level, the relationship was not significant. However, whereas the volatility and stock volatility has significant correlation. When the total assets of the company is large, the smaller the volatility of stock returns. While the other control variables in some cases only with the dependent variable relationship is significant. In linear regression, with earnings as independent variable R model compared to cash flow as the independent variables of the model, that the volatility of earnings dynamic explanation the stock volatility is higher than the cash flow. From 2003 to 2012, the relationship between earnings and stock return volatility becomes not significant, R is very low, indicating that there is more than a fundamental factor in determining stock return wave Dynamic.

【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

【共引文獻】

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本文編號：1412246