基于分析师盈余预测的现金流风险对股价的解释

发布时间：2018-01-07 03:32

本文关键词：基于分析师盈余预测的现金流风险对股价的解释　出处：《华中科技大学》2013年硕士论文　论文类型：学位论文

【摘要】：风险资产的收益是由什么确定的？资本资产定价模型中认为风险资产的收益是由系统风险决定的。系统风险通过市场组合与单个资产或资产组合的协方差的beta来测度。另一方面，对上市公司股票这一特定的风险资产，国外有学者提出的动态戈登模型将股票未来的股利价格比分解为未来收益率和未来的股息增长率的信息之和，它表明当前的股票价格中包含着未来收益率和未来的股息增长率。在此基础上，国外学者又将风险资产预期收益之外的收益分解成为现金流信息和折现率信息之和。在对现金流信息和折现率信息进行未来的模拟和估计时，国内外比较流行的方法是利用向量自回归法产生未来的变量从而达到预测和模拟的效果。本文却从另一个角度，参照前人的多方经验将股票非预期收益之外的现金流信息的部分用分析师盈余预测进行模拟，通过一个三阶段模型和一年12个月份的划分用卖方分析师对盈余（EPS）和股权回报率（ROE）的增长率的预测数据对现金流信息进行了模拟。选取上市公司490家作为样本，并进行了分组对照比较求出反映现金流风险的beta，结果表明，中盘公司和成长型公司对市场现金流变化最为敏感，即为具有比较大的系统风险。并将现金流风险beta和资本资产定价模型的beta做了比较，结论是本文所得到的beta对资产非预期收益的解释能力有，且比资本资产定价模型的beta包含更多的信息。最后为了找到支持现金流信息可以反映系统风险的证据，，还将现金流信息与宏观经济因素变量做了回归，结果表明对反映金融环境的信用利差和期限利差的变化，现金流信息是可以覆盖的，但覆盖CPI和房地产指数的信息效果不明显。本文提出的方法可以广泛的使用，并且可以将现金流信息用到其他的研究或实践中去。
[Abstract]:The return of risk assets is determined by what? The capital asset pricing model that the return of risk assets is determined by system risk. Systematic risk through the market portfolio and the covariance of individual asset or portfolio beta to measure. On the other hand, the shares of Listed Companies in this particular risk assets, foreign scholars the dynamic model of Gordon stock future dividend price ratio is decomposed into the future rate of return and future dividend growth rate information and it shows that the current stock price contains the future rate of return and future dividend growth rate. On this basis, foreign scholars will risk the expected return of assets beyond the income rate is decomposed into information and information and discounted cash flow.
In the cash flow information and discount to simulate and estimate the future information rate, popular at home and abroad is using vector future variable regression method to prediction and simulation results. This paper is from another angle, part of the multi stream information with reference to previous experience to the stock of non expected return in addition to the cash earnings forecast is simulated by dividing a three stage model and the 12 months of the year by the seller analysts on earnings and return on equity (EPS) (ROE) to simulate and forecast the cash flow information data. The growth rate of selected 490 listed companies as samples, and the the control group compared to reflect the cash flow risk of beta, the results show that the disc company and the growth firms to market cash flow is most sensitive to the change, is a system with relatively large risk and cash flow risk. Do a comparison between the beta and the capital asset pricing model beta, the conclusion is obtained in this paper, the explanation of beta on asset non expected earnings, and the ratio of the capital asset pricing model beta contains more information. Finally, in order to find the support of cash flow information can reflect the system risk evidence will also cash flow information and macro economy do the regression variables, the result shows that the variation of reflection of the financial environment of credit spreads and term spreads, cash flow information can be covered, but the coverage of CPI and the index of the real estate information effect is not obvious.
The methods proposed in this article can be widely used and can be used in other research or practice.

【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275

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