本文選題：多元回歸 + 內在價值�。� 參考：《復旦大學》2013年碩士論文

【摘要】：中國創(chuàng)業(yè)板于2009年10月30日推出后,由于創(chuàng)業(yè)板公司的估值技術的不完善,公司價值得不到較為準確的估算,因此創(chuàng)業(yè)板公司的股票價格一直在大幅波動。后來隨著創(chuàng)業(yè)板股票估值分析方法和價值判斷依據的逐步成熟,創(chuàng)業(yè)板的泡沫逐漸消退,板塊市盈率也由初始的七十多左右降到目前的三十左右,投資者也逐漸認識到對創(chuàng)業(yè)板股票的投資應從技術面投資轉到價值面投資,因此建立比較準確的創(chuàng)業(yè)板股票內在價值的估值模型成為最近學術界和投資界的熱點話題。 在目前的學術研究和實際投資策略中,對創(chuàng)業(yè)板股票內在價值的評估主要以市盈率估值法、市帳率估值法和市銷率估值法等相對估值法為主,該類估值方法操作簡單,但估計邏輯相對簡單,而且估計方法比較粗糙,估值效果不大理想。隨著創(chuàng)業(yè)板股票價格不斷向價值的回歸,有部分學者嘗試用傳統的凈現值法來對創(chuàng)業(yè)板股票內在價值進行評估,但由于創(chuàng)業(yè)板股票未來收益的極大不確定性,基于未來收益預測的凈現值估值法估值效果較差。后來有學者提出用經濟增加值法和實物期權法來估算創(chuàng)業(yè)板公司的股票價格,但由于公司深度資料的缺失使得估值方法有欠精確。 本文嘗試用多元回歸的方法建立創(chuàng)業(yè)板股票內在價值評估模型,從創(chuàng)業(yè)板股票的公司治理、股東股本、財務指標、成長指標和創(chuàng)新指標中篩選有效的指標,運用行業(yè)不可比調整、正向化處理、異常值調整、無量綱化處理、正態(tài)化處理和共線性處理等方法進行數據預處理,然后運用多元分析的方法分別對2009年到2011年的數據進行處理建模,并同時從統計建模層面和實戰(zhàn)投資層面檢驗模型的有效性,試圖找出具有穩(wěn)定的解釋力度的指標來解釋創(chuàng)業(yè)板股票的內在價值,從而為投資者制定相應的投資策略。
[Abstract]:After the launch of the gem on October 30, 2009, because of the imperfection of the valuation technology of the gem, the value of the company can not be estimated accurately, so the stock price of the gem has been fluctuating sharply. Later, with the gradual maturation of the gem stock valuation analysis method and the basis of value judgment, the gem bubble gradually receded, and the price / earnings ratio of the board also dropped from about 70 at the beginning to about 30 at present. Investors have also come to realize that investment in gem stocks should shift from technical to value-oriented investments, Therefore, the establishment of a more accurate valuation model of the intrinsic value of gem stocks has become a hot topic in recent academic and investment circles. The evaluation of the intrinsic value of gem stock is mainly based on the relative valuation method, such as price-earnings ratio valuation method, market book ratio valuation method and market sales rate valuation method. This kind of valuation method is simple to operate, but the estimation logic is relatively simple, and the estimation method is relatively rough. The valuation effect is not so good. With the return of gem stock price to value, some scholars try to use the traditional net present value method to evaluate the inherent value of gem stock. However, due to the great uncertainty of the future income of gem stock, some scholars try to use the traditional net present value method to evaluate the inherent value of gem stock. The net present value (NPV) valuation method based on the forecast of future income is less effective. Later, some scholars proposed to use the economic added value method and the real option method to estimate the stock prices of gem companies. However, due to the lack of depth information, the valuation method is not accurate. This paper attempts to establish the gem stock intrinsic value evaluation model by using multiple regression method, from the gem stock corporate governance, shareholder equity, financial indicators, The growth index and innovation index are used to screen the effective indicators, and the data preprocessing methods such as industry uncomparable adjustment, forward processing, outlier value adjustment, dimensionless processing, normalizing processing and collinear processing are used for data preprocessing. Then the data from 2009 to 2011 are processed and modeled by using the method of multiple analysis, and the validity of the model is tested from the statistical modeling level and the real investment level at the same time. This paper tries to find out the index with stable explanatory force to explain the intrinsic value of gem stock, so as to formulate the corresponding investment strategy for investors.
【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

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