PB的落后因素與偏差因素對未來ROE的影響研究
發(fā)布時間：2018-07-22 14:44
【摘要】：凈資產(chǎn)收益率是衡量企業(yè)盈利能力的重要指標之一，投資人在考慮投資回報時重點關注未來凈資產(chǎn)收益率。目前，在預測未來凈資產(chǎn)收益率方面主要是通過對企業(yè)所處的外部因素（宏觀環(huán)境、行業(yè)環(huán)境、經(jīng)營環(huán)境）與內(nèi)部因素（企業(yè)內(nèi)部資源、企業(yè)能力、市場競爭力）進行分析，得出未來的投入與產(chǎn)出，從而預測凈資產(chǎn)收益率。本文旨在通過將市凈率進行分解，得到提高預測能力的方法，通過量化的方法從另一個角度預測未來凈資產(chǎn)收益率,為投資人提供決策依據(jù)。 本文主要研究市凈率的落后因素與偏差因素以及二因素對未來凈資產(chǎn)收益率預測能力，通過將市凈率分解成落后因素與偏差因素，以求找到提高預測未來凈資產(chǎn)收益率的方法。在研究過程中，先將市凈率進行分解，將影響市凈率暫時不為1的因素歸入到落后因素，將影響市凈率長期不為1的因素歸入到偏差因素，分別求落后因素與偏差因素。求解出落后因素與偏差因素后，分別求出市凈率的落后因素與未來凈資產(chǎn)收益率負相關，而市凈率的偏差因素與未來凈資產(chǎn)收益率正相關。 在計算出落后因素與偏差因素后，，再求解未分解前市凈率對未來凈資產(chǎn)收益率的預測能力和分解成落后因素與偏差因素后的市凈率對未來凈資產(chǎn)收益率的預測能力。實證過程主要對面板數(shù)據(jù)進行分析，采用系統(tǒng)廣義矩估計法�？紤]到我國二級市場成立才20余年，尚未成熟，在實證分析中僅選取更具代表性的滬深300指數(shù)成份股。通過實證研究發(fā)現(xiàn)，市凈率對未來凈資產(chǎn)收益率預測幾乎無預測能力，而分解成落后因素與偏差因素后的市凈率對未來凈資產(chǎn)收益率有著更強的預測能力。
[Abstract]:The ROE is one of the most important measures to measure the profitability of an enterprise. Investors focus on the future ROE when considering the return on investment. At present, in predicting the rate of return on net assets in the future, we mainly analyze the external factors (macro environment, industry environment, business environment) and internal factors (internal resources, enterprise capability, market competitiveness) of the enterprise. Get the future input and output, so as to predict the return on net assets. The purpose of this paper is to obtain a method to improve the forecasting ability by decomposing the price-to-book ratio, and to predict the future return on net assets from another angle through the quantitative method, which provides the basis for investors to make decisions. This paper mainly studies the backward factors and deviation factors of the price-to-book ratio and the ability of two factors to predict the future return of net assets. By decomposing the price-to-book ratio into backward factors and deviations, we can find a way to improve the forecast of the future return of net assets. In the course of the study, the price-to-book ratio is decomposed first, the factors that affect the price-to-book ratio are classified as the backward factors, the factors that affect the price-to-book ratio are classified into the deviation factors, and the backward factors and the deviation factors are obtained respectively. After solving the backward factors and deviation factors, the backward factors of price-to-book ratio are found to be negatively correlated with the future return on net assets, while the deviation factors of the price-to-book ratio are positively correlated with the future return on net assets. After the backward factors and deviation factors are calculated, the prediction ability of P / E ratio to the future net asset return rate before decomposition and the forecasting ability of P / E ratio to the future net asset return rate after being decomposed into backward factors and deviation factors are solved. The empirical process mainly analyzes the panel data and adopts the system generalized moment estimation method. Considering that China's secondary market has only been established for more than 20 years and has not yet matured, only the more representative Shanghai and Shenzhen 300 index stocks are selected in the empirical analysis. Through the empirical study, it is found that the price-to-book ratio has little ability to predict the future return of net assets, but the price-to-book ratio, which is decomposed into backward factors and deviation factors, has a stronger ability to predict the future return of net assets.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F275;F832.51
本文編號：2137799
[Abstract]:The ROE is one of the most important measures to measure the profitability of an enterprise. Investors focus on the future ROE when considering the return on investment. At present, in predicting the rate of return on net assets in the future, we mainly analyze the external factors (macro environment, industry environment, business environment) and internal factors (internal resources, enterprise capability, market competitiveness) of the enterprise. Get the future input and output, so as to predict the return on net assets. The purpose of this paper is to obtain a method to improve the forecasting ability by decomposing the price-to-book ratio, and to predict the future return on net assets from another angle through the quantitative method, which provides the basis for investors to make decisions. This paper mainly studies the backward factors and deviation factors of the price-to-book ratio and the ability of two factors to predict the future return of net assets. By decomposing the price-to-book ratio into backward factors and deviations, we can find a way to improve the forecast of the future return of net assets. In the course of the study, the price-to-book ratio is decomposed first, the factors that affect the price-to-book ratio are classified as the backward factors, the factors that affect the price-to-book ratio are classified into the deviation factors, and the backward factors and the deviation factors are obtained respectively. After solving the backward factors and deviation factors, the backward factors of price-to-book ratio are found to be negatively correlated with the future return on net assets, while the deviation factors of the price-to-book ratio are positively correlated with the future return on net assets. After the backward factors and deviation factors are calculated, the prediction ability of P / E ratio to the future net asset return rate before decomposition and the forecasting ability of P / E ratio to the future net asset return rate after being decomposed into backward factors and deviation factors are solved. The empirical process mainly analyzes the panel data and adopts the system generalized moment estimation method. Considering that China's secondary market has only been established for more than 20 years and has not yet matured, only the more representative Shanghai and Shenzhen 300 index stocks are selected in the empirical analysis. Through the empirical study, it is found that the price-to-book ratio has little ability to predict the future return of net assets, but the price-to-book ratio, which is decomposed into backward factors and deviation factors, has a stronger ability to predict the future return of net assets.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F275;F832.51
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