A股股票估值和基本面要素的實(shí)證分析
發(fā)布時(shí)間：2018-07-16 18:10
【摘要】：國(guó)內(nèi)證券市場(chǎng)已經(jīng)發(fā)展近20多年時(shí)間。市場(chǎng)上出現(xiàn)了許多新的變化,如股票的規(guī)模不斷擴(kuò)大,市場(chǎng)機(jī)制不斷完善,不斷提高股票上市公司的信息披露,機(jī)構(gòu)投資者的比例在增加。A股市場(chǎng)原先流行的坐莊方式已經(jīng)越來(lái)越難以實(shí)行,百圓褲業(yè)的鬧劇就充分說(shuō)明了缺乏基本面,僅靠好看技術(shù)形態(tài)難以吸引了后續(xù)資金的介入。基本面要素已成為投資者在對(duì)A股股票進(jìn)行估值時(shí)的重要考慮因素。通過(guò)對(duì)以往估值理論的回顧,本文發(fā)現(xiàn)過(guò)往的估值模型更多的關(guān)注基本面要素對(duì)于股價(jià)或超額收益的影響,對(duì)于估值的分析較少；以往論文給出的估值模型,很多只要稍加變換,就可以轉(zhuǎn)化成估值和基本面要素的模型。此外,在實(shí)際股票投資中,估值是投資者實(shí)實(shí)在在考慮的事情,估值是否僅僅是投資者主觀(guān)的判斷,還是與基本面要素存在相關(guān)性?這是本文主要解決的問(wèn)題。針對(duì)這個(gè)問(wèn)題,本文采用了A股近三年來(lái)的上千家上市公司數(shù)據(jù),構(gòu)建估值與基本面要素之間的多因素模型,通過(guò)主成分分析的方式來(lái)考慮估值與基本面要素之間的關(guān)系。本文主要分成三個(gè)部分,在第一部分中,本文將對(duì)國(guó)內(nèi)外主要股票估值理論以及方法進(jìn)行梳理。資本市場(chǎng)中存在著各種不同的股票估值理論和方法,這些理論和方法已經(jīng)形成嚴(yán)密的估值體系。按照這些模型的核心思想,本文可大體將這些模型分成貼現(xiàn)模型、相對(duì)估值方法、信息觀(guān)理論和計(jì)量觀(guān)估值模型等。在第二部分中,本文將基于國(guó)內(nèi)外已有實(shí)證研究,結(jié)合A股市場(chǎng)的實(shí)際情況給出了本文的研究模型。本文認(rèn)為因子分析可以很好滿(mǎn)足本文的分析需要,在選擇因變量指標(biāo)時(shí),本文選擇了PE值作為因變量,這主要是由于PE值是實(shí)際估值中最為常用的指標(biāo),在選擇了基本面指標(biāo)時(shí),本文選擇了凈利潤(rùn)增長(zhǎng)率、波動(dòng)率、行業(yè)PE等20個(gè)指標(biāo),并將這20個(gè)指標(biāo)分成股本、現(xiàn)金流量、資產(chǎn)結(jié)構(gòu)、交易活躍度等8類(lèi)。本文分析的主要步驟如下表示：1、選擇樣本數(shù)據(jù),對(duì)樣本數(shù)據(jù)進(jìn)行預(yù)處理,剔除那些異常值,對(duì)數(shù)據(jù)做無(wú)量綱化處理,調(diào)整數(shù)據(jù)中那些極端值；2、建立多因素模型,進(jìn)行回歸分析,對(duì)模型的系數(shù)進(jìn)行分析；運(yùn)用因子分析的方式,對(duì)數(shù)據(jù)做進(jìn)一步分析。在第三部分中,本文分別以2011年、2012年、2013年這三年的數(shù)據(jù)作為本文分析的樣本來(lái)源；本文選取了每年五月份的第五個(gè)交易日作為選取數(shù)據(jù)的節(jié)點(diǎn)。這主要是由于上市公司的年報(bào)更多是在3月和4月這兩個(gè)月份出來(lái),同時(shí)為了考慮市場(chǎng)對(duì)于消息的消化時(shí)間。本文最終的研究結(jié)論表明,基本面要素可以解釋了40-50%的企業(yè)估值,資產(chǎn)結(jié)構(gòu)、股本規(guī)模、經(jīng)營(yíng)能力、行情指標(biāo)等基本面指標(biāo)都對(duì)股票估值有影響；用模型給出的預(yù)測(cè)值和實(shí)際估值的差異給出低估組合和高估組合,然后對(duì)組合的未來(lái)股價(jià)表現(xiàn)進(jìn)行檢測(cè),結(jié)果證明了模型是有效,也說(shuō)明了基本面要素可以幫助投資者正確預(yù)測(cè)上市公司估值。
[Abstract]:The domestic securities market has developed for more than 20 years. There have been many new changes in the market, such as the constant expansion of the stock scale, the continuous improvement of the market mechanism, and the continuous improvement of the information disclosure of the listed companies. The proportion of institutional investors is on the rise. The A-share market has become more and more difficult to carry out, the farce of the Baiyuan pants industry fully illustrates the lack of fundamentals, relying solely on good-looking technology form to attract follow-up funds to intervene. Fundamental factors have become an important consideration for investors in the valuation of A-shares. By reviewing the previous valuation theory, this paper finds that the previous valuation models pay more attention to the influence of fundamental factors on stock price or excess return, and less to the analysis of valuation. Many can be transformed into models of valuation and fundamental elements with a little transformation. In addition, in the actual stock investment, valuation is a real consideration for investors. Is valuation only a subjective judgment of investors, or is it related to fundamental factors? This is the main problem solved in this paper. In order to solve this problem, this paper uses the data of thousands of A-share listed companies in the past three years, constructs a multi-factor model between valuation and fundamental factors, and considers the relationship between valuation and fundamental factors through principal component analysis. This paper is divided into three parts. In the first part, this paper will sort out the main stock valuation theories and methods at home and abroad. There are a variety of stock valuation theories and methods in the capital market, and these theories and methods have formed a rigorous valuation system. According to the core ideas of these models, these models can be divided into discount model, relative valuation method, information theory and econometric valuation model. In the second part, based on the domestic and foreign empirical research, combined with the actual situation of A-share market, this paper gives the research model. This paper thinks that factor analysis can well meet the needs of the analysis in this paper. In selecting the dependent variable index, this paper chooses PE value as the dependent variable, which is mainly because PE value is the most commonly used index in the actual valuation. This paper selects 20 indexes, such as net profit growth rate, volatility rate, industry PE and so on, and divides them into eight categories: equity, cash flow, asset structure, trading activity and so on. The main steps of this paper are as follows: 1, select the sample data, preprocess the sample data, eliminate the outliers, do dimensionless processing on the data, adjust the extreme values in the data, and establish a multifactor model. Regression analysis is carried out to analyze the coefficients of the model, and further analysis of the data is made by using the method of factor analysis. In the third part, the data of 2011, 2012 and 2013 are taken as the sample source of this paper, and the fifth trading day of May is selected as the node of the data. This is mainly because the annual reports of listed companies are more likely to come out in March and April, as well as to consider the timing of the market's digestion of the news. The final conclusion of this paper shows that the fundamental factors can explain 40-50% of the enterprise valuation, asset structure, equity size, business ability, market index and other fundamental indicators have an impact on stock valuation; The difference between the predicted value and the actual valuation is used to give an undervalued combination and an overvalued combination, and then the future stock price performance of the portfolio is tested. The results show that the model is effective. It also shows that fundamental factors can help investors correctly predict the valuation of listed companies.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51
本文編號(hào)：2127211
[Abstract]:The domestic securities market has developed for more than 20 years. There have been many new changes in the market, such as the constant expansion of the stock scale, the continuous improvement of the market mechanism, and the continuous improvement of the information disclosure of the listed companies. The proportion of institutional investors is on the rise. The A-share market has become more and more difficult to carry out, the farce of the Baiyuan pants industry fully illustrates the lack of fundamentals, relying solely on good-looking technology form to attract follow-up funds to intervene. Fundamental factors have become an important consideration for investors in the valuation of A-shares. By reviewing the previous valuation theory, this paper finds that the previous valuation models pay more attention to the influence of fundamental factors on stock price or excess return, and less to the analysis of valuation. Many can be transformed into models of valuation and fundamental elements with a little transformation. In addition, in the actual stock investment, valuation is a real consideration for investors. Is valuation only a subjective judgment of investors, or is it related to fundamental factors? This is the main problem solved in this paper. In order to solve this problem, this paper uses the data of thousands of A-share listed companies in the past three years, constructs a multi-factor model between valuation and fundamental factors, and considers the relationship between valuation and fundamental factors through principal component analysis. This paper is divided into three parts. In the first part, this paper will sort out the main stock valuation theories and methods at home and abroad. There are a variety of stock valuation theories and methods in the capital market, and these theories and methods have formed a rigorous valuation system. According to the core ideas of these models, these models can be divided into discount model, relative valuation method, information theory and econometric valuation model. In the second part, based on the domestic and foreign empirical research, combined with the actual situation of A-share market, this paper gives the research model. This paper thinks that factor analysis can well meet the needs of the analysis in this paper. In selecting the dependent variable index, this paper chooses PE value as the dependent variable, which is mainly because PE value is the most commonly used index in the actual valuation. This paper selects 20 indexes, such as net profit growth rate, volatility rate, industry PE and so on, and divides them into eight categories: equity, cash flow, asset structure, trading activity and so on. The main steps of this paper are as follows: 1, select the sample data, preprocess the sample data, eliminate the outliers, do dimensionless processing on the data, adjust the extreme values in the data, and establish a multifactor model. Regression analysis is carried out to analyze the coefficients of the model, and further analysis of the data is made by using the method of factor analysis. In the third part, the data of 2011, 2012 and 2013 are taken as the sample source of this paper, and the fifth trading day of May is selected as the node of the data. This is mainly because the annual reports of listed companies are more likely to come out in March and April, as well as to consider the timing of the market's digestion of the news. The final conclusion of this paper shows that the fundamental factors can explain 40-50% of the enterprise valuation, asset structure, equity size, business ability, market index and other fundamental indicators have an impact on stock valuation; The difference between the predicted value and the actual valuation is used to give an undervalued combination and an overvalued combination, and then the future stock price performance of the portfolio is tested. The results show that the model is effective. It also shows that fundamental factors can help investors correctly predict the valuation of listed companies.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51
【參考文獻(xiàn)】
相關(guān)期刊論文 前2條
1 王帥;陳石清;;PE新視角審視當(dāng)前行業(yè)與估值[J];金融經(jīng)濟(jì);2008年12期
2 楊成;謝鵬程;殷旅江;;鋼鐵業(yè)上市公司財(cái)務(wù)指標(biāo)與股票價(jià)格定位實(shí)證研究[J];價(jià)值工程;2006年03期
，本文編號(hào)：2127211
本文鏈接：http://sikaile.net/jingjilunwen/guojijinrong/2127211.html
最近更新
教材專(zhuān)著
