【摘要】：ST股票作為我國股票市場中特有的一類股票，從1998年問世之日起便一直是市場關(guān)注的熱點，今年年初推出創(chuàng)業(yè)板退市制度以后它再次成為了市場上的熱門話題。ST股票投資具有其自身的特點，例如波動性高，風險較大等等，這些往往使得它成為投機者博弈的樂園。 本文分為六章。第一章緒論描述了選題背景、意義、研究思路以及創(chuàng)新點。第二章分析了ST股票定價的理論基礎。第三章著重分析我國ST公司的現(xiàn)狀及各ST公司的成因。第四章首先分析了ST公司股票是否存在超額收益，然后著重研究ST股票投資風險中特有的退市風險，通過實證檢驗找出影響ST公司退市的財務指標，并獲得判別方程，找出退市風險較大的股票也是理性投資的第一步。第五章是在第四章的基礎上，利用歷史數(shù)據(jù)對退市風險不同的ST公司用不同的價值評估方法對其股票進行估值，并分析每種估值法的可行性，在剔除風險標的后找出具有投資價值的股票則是最重要的一步。第六章是本文的小結(jié)部分。 本文的研究成果主要包括：ST公司的成因是復雜多樣的，應區(qū)別對待；ST公司相對于市場來說存在超額的收益，，而這些超額收益的來源包括內(nèi)因與外因兩部分；ST公司股票的退市在其退市前一至兩年公司的某些指標會出現(xiàn)明顯變化，找出這些顯著變化的財務指標對減少ST股票投資風險有著顯著的作用；在對ST股票估值時不可一概而論，應對不同類型公司采用不同的方法，從而得到更準確的估值。
[Abstract]:As a kind of special stock in Chinese stock market, ST stock has been a hot spot in the market since it came out in 1998. After the introduction of the gem delisting system at the beginning of this year, it has once again become a hot topic in the market. ST stock investment has its own characteristics, such as high volatility, high risk and so on, which often make it a paradise for speculators to play games. This paper is divided into six chapters. The first chapter describes the background, significance, research ideas and innovation. The second chapter analyzes the theoretical basis of ST stock pricing. The third chapter focuses on the analysis of the current situation of China's ST Company and the causes of each ST Company. In the fourth chapter, we analyze whether there is excess return in ST stock, and then focus on the delisting risk of ST stock investment, and find out the financial indexes that influence the delisting of ST company by empirical test, and obtain the discriminant equation. It is also the first step in rational investment to find stocks that are at greater risk of delisting. The fifth chapter is based on the fourth chapter, using historical data to evaluate the stock of ST companies with different delisting risks, and analyze the feasibility of each valuation method. The most important step is to find stocks with investment value after removing the underlying risk. The sixth chapter is the summary of this paper. The research results of this paper mainly include: the causes of ST company are complex and diverse, should be treated differently; ST company has excess income relative to the market, and the sources of these excess returns include internal cause and external factor. The delisting of ST stock will change obviously one or two years before delisting. Finding out these significant financial indexes will play a significant role in reducing the risk of ST stock investment. When valuing ST shares, one cannot generalize that different types of companies should adopt different methods to get more accurate valuations.
【學位授予單位】：華中科技大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51

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