我国上市公司股票价格与财务指标相关性研究

发布时间：2018-01-04 10:43

本文关键词：我国上市公司股票价格与财务指标相关性研究　出处：《江西财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：股票价格的不断波动是股票市场的重要特征，而对股票价格波动造成影响的因素有诸多方面，其中上市公司财务指标对股票价格的影响最为重要。国内外学者对上市公司财务指标与股票价格的相关性均做了大量研究，对两者的关系有了较为透彻的认知，在投资实践中具有一定的指导意义。但是，国外的研究主要针对成熟的证券市场，对于新兴市场较少涉及，未有深入研究；国内的研究仅仅单独针对股票市场研究，未联系到我国整个宏观经济结构的变化。在我国这个未成熟的股票市场中，财务指标与股票价格的相关性是否会随时间的延长而变化？财务指标对于不同行业的影响相同吗？财务指标的稳定性会对股票收益造成影响吗？通过对这些问题的研究，可以预测未来股票市场的变化趋势，，有助于投资者做出正确的投资决策，具有一定的实际意义。本文正是从上述几个问题出发，选取了沪深两市22个行业220家A股上市公司作为本文的研究样本，对其2006年至2011年的财务指标与其下一年度即2007年至2012年股票价格之间的相关性进行了实证分析。本文共分为六个部分：第一部分是引言，提出了本文的选题背景及意义，并简述了本文的研究思路及方法，概括了本文的主要工作及创新之处；第二部分是文献综述，包括国内文献研究及国外文献研究这两个部分；第三部分是相关理论介绍，分别简述了影响股票价格的因素、有效市场理论、财务指标作用于股票市场的机理及股票的定价模型；第四部分是实证假设与设计，在对理论概括的基础上，本文提出了六个实证假设，试图从产业升级趋势及财务指标稳定性方面来寻找未来的投资对象，随后分别进行了样本的选择及数据来源、样本变量的选取与定义和变量的描述性统计分析这三个步骤，并为模型实证打下了坚实的基础；第五部分是实证分析，针对本文之前提出的六个实证假设，通过总体样本实证、分行业样本实证及财务指标稳定性与收益实证这三个步骤进行模型验证；第六部分为本文通过研究得出的结论与提出的建议。通过对本文提出的实证假设进行验证，本文得出了以下的研究结论：在总体样本情况下，历年的最优模型表明，每股收益、托宾Q比率及每股净资产对股票价格存在的正向的影响；在分行业研究方面，财务指标对新兴及大消费行业和传统及重化工行业的股票价格影响确实具有差异性，在其他条件不变的情况下，每股收益对新兴及大消费的行业股票价格的影响大于对传统及重化工业股票价格的影响，每股净资产对新兴及大消费行业股票价格的影响小于对传统及重化工业股票价格的影响；低增长组合公司的财务指标稳定性与股票收益之间存在着显著正相关，但高增长组合公司的财务稳定性和股票收益之间的关系并不显著。并对投资者提出以下投资建议：投资者在选择未来的投资对象时，应对新兴及大消费行业予以重点关注；针对新兴及大消费行业应选取每股收益较高且有良好发展前景的上市公司，针对传统及重化工行业应选取每股净资产较高抗风险能力较强的上市公司；投资者应在财务指标稳定低增长的上市公司中挖掘投资对象。
[Abstract]:Keep the stock price volatility is an important feature of the stock market, and the factors affect the stock price fluctuation has many aspects, which influence the financial index of listed companies on the stock price is the most important. Domestic and foreign scholars on the financial indicators and stock price correlation have done a lot of research on the relationship between them. Have a more thorough cognition, has certain guiding significance in investment practice. However, foreign studies mainly focus on the mature securities market, for emerging markets less involved, not in-depth study; the domestic research solely for the stock market research, not linked to changes in China's overall macroeconomic structure.
In this immature Chinese stock market, whether the relationship between financial index and stock price will change with time? Financial indicators for the effects of different industries vary? The financial stability index will affect the stock return? Based on these studies, can forecast the future trend of the stock market. To help investors make the right investment decisions, it has a certain practical significance.
This paper is starting from the above-mentioned problems, chooses 22 industries in Shanghai and Shenzhen two city 220 A shares of listed companies as a sample of this study, on the financial index from 2006 to 2011 and the next year between 2007 to 2012 the stock price correlation analysis. This paper is divided into six parts: the first part is an introduction, presents the background and significance of this paper, and introduces the ideas and methods of this study, summarizes the main work and innovation; the second part is literature review, including the domestic and foreign literature research and literature research of the two parts; the third part introduces the related theories, the influence factors of stock the price of this paper, the theory of effective market, the pricing model of financial index mechanism in the stock market and stock; the fourth part is the empirical hypothesis and design, on the general theory On the basis, this paper puts forward six hypotheses, attempts from the industry to upgrade the stability and financial indicators for the future trend of the investment object, then choose the sample selection and data sources, and descriptive statistical analysis of variables and define the three steps of sample variables, and lays a solid foundation for the empirical model; the fifth part is the empirical analysis, based on six empirical hypotheses proposed by the overall sample, empirical, empirical and financial industry sample stability index and return the three steps model of empirical verification; the sixth part is the research conclusions and suggestions.
Verified by the empirical hypothesis to put forward in this paper, we draw the following conclusion: in the overall sample, the optimal model shows that over the years, Tobin Q earnings per share, and net assets per share on the stock price have a positive influence; in industry research, financial indicators of the emerging high consumption industry and the traditional heavy chemical industry and the influence of stock price has the difference, in other conditions remain unchanged, the impact of the industry earnings per share of the emerging high consumption of stock prices is greater than the impact on the traditional heavy chemical industry and the stock price impact, net assets per share of the emerging high consumption industry stock price is less than the impact on the traditional and the heavy chemical industry stock price; there is a significant correlation between financial stability index and stock returns low growth portfolio companies, but the combination of high growth company property The relationship between business stability and stock returns is not significant.
And put forward the following investment advice to investors: investors in the choice of future investment targets, with the emerging high consumption industry to focus on; for the emerging high consumption industry should select the earnings per share is high and there are good prospects for development of listed companies, according to the traditional heavy chemical industry anti risk ability to select the net assets per share higher listed companies; investors should mining investments in the financial indicators of low and stable growth of listed companies.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51

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