我国A股市场价值型股票内在价值评估研究

发布时间：2018-01-09 22:28

本文关键词：我国A股市场价值型股票内在价值评估研究　出处：《华侨大学》2013年硕士论文　论文类型：学位论文

【摘要】：价值投资是在西方国家的证券市场投资实践中产生并发展出的一种投资理念和方法，价值投资的核心在于内在价值，价值投资理论正是建立在内在价值这一概念的基础之上，把握了这一点才是判断价值投资的唯一标准。虽然随着我国证券市场的逐步发展与成熟，价值投资理念逐步进入我国投资者的视野，但是此理念进入我国的年限较短，同时还存在很多的质疑与争论。因此，价值投资理念在我国的发展是在曲折中前进。在诸多的质疑和争论声中，，我国证券市场的投资主体，即中小投资者不能清楚、全面的了解价值投资理念的内容，更关键的是不知道运用价值投资理念如何评估我国证券市场上股票的内在价值。由于我国证券市场的特殊性，一些在国外长期使用的估值模型在我国证券市场中不一定适用。如：股利贴现模型。我国上市公司中每年都发放股利的公司较少，并且发放的股利也非常少，因而，在我国利用股利贴现模型来估算股票的内在价值是不适合的。再者，一系列的经典模型的运用都较为复杂，需要较为扎实的金融和财务知识。因此，我国中小投资者一般不能很好地运用一些理论模型评估股票的内在价值。基于此，本文根据价值投资理念，按照一定的选股标准，筛选出2003年——2011年我国A股市场上具有投资价值的价值股，并运用Pearson检验筛选出与股票价格相关性较高的7项财务指标。然后建立多元回归模型，运用逐步回归法对样本公司的年末股票收盘价与7项财务指标进行多元线性回归，得出各年的回归结果。最后合并各年样本，运用相同的回归方法，建立了较为符合我国证券市场的，又能为中小投资者提供参考价值的价值型股票内在价值评估模型，得出：股票的内在价值=0.387+0.968*每股净资产+3.844*每股收益+0.577*每股未分配利润。通过大量的实证分析，得出如下主要结论：公司基本面因素对股票价格解释力较强、我国股票市场在逐步发展与规范、价值股的股价也会受到除基本面因素以外的其他因素的影响以及我国的股票市场还有待进一步的规范、发展和完善。本文先介绍了文章的研究背景、研究意义及国内外研究状况；然后在对国内外关于公司内在价值评估理论和方法回顾的基础上，对几个经典的估值方法进行理论阐述和比较分析，包括股利贴现模型、现金流贴现模型、经济增加值模型以及相对估值法中的市盈率模型、市净率模型和市销率模型；接着选取2003年-2011年上证A股的相关样本进行实证分析；随后建立价值型股票内在价值估值的模型；最后得出了本文的结论和局限性。
[Abstract]:The value investment is a kind of investment idea and method produced and developed in the western countries' stock market investment practice. The core of the value investment lies in the intrinsic value. The theory of value investment is based on the concept of intrinsic value, which is the only criterion to judge value investment, although with the gradual development and maturity of China's securities market. The concept of value investment has gradually entered the field of vision of investors in China, but the number of years it has entered our country is relatively short, and there are still a lot of questions and arguments. The development of the concept of value investment in our country is in the twists and turns. In the voice of many doubts and arguments, the investors in the securities market in our country, that is, the small and medium-sized investors can not understand the content of the concept of value investment. More importantly, we do not know how to evaluate the intrinsic value of stock in China's stock market by using the concept of value investment. Because of the particularity of China's securities market. Some long-term valuation models used in foreign countries may not be applicable in China's securities market. For example, the discounted dividend model. The listed companies in China pay less dividends every year, and the dividend is also very small. Therefore, it is not suitable to use dividend discount model to estimate the intrinsic value of stock in China. Furthermore, the application of a series of classical models is more complex, which requires more solid financial and financial knowledge. In general, small and medium investors in China can not use some theoretical models to evaluate the intrinsic value of stocks. Based on this, according to the concept of value investment, according to certain stock selection criteria, the paper screened out the value stocks with investment value in China's A-share market from 2003 to 2011. And the Pearson test is used to screen out 7 financial indexes which have a high correlation with the stock price, and then a multivariate regression model is established. This paper applies stepwise regression method to multivariate linear regression of the stock closing price and 7 financial indexes of the sample company at the end of the year, and obtains the regression results of each year. Finally, the sample of each year is merged and the same regression method is used. The intrinsic value evaluation model of value stock is established, which is in line with the stock market of our country and can provide the reference value for the small and medium investors. It is concluded that the intrinsic value of the stock is 0.387 0.368 * net assets per share 3.844 * per share earnings per share 0.577 * undistributed profits per share. Through a large number of empirical analysis. The main conclusions are as follows: the company fundamental factors have a strong explanatory power to the stock price, and the stock market in China is developing and standardizing step by step. The stock price of value shares will also be affected by other factors besides fundamental factors, and the stock market of our country still needs to be further standardized, developed and perfected. This paper first introduces the research background, research significance and research status at home and abroad; Then on the basis of reviewing the internal valuation theories and methods at home and abroad, several classical valuation methods are expounded and compared, including dividend discount model and cash flow discount model. The economic value added model, the price-to-earnings ratio model, the price-to-book ratio model and the market sales ratio model in the relative valuation method; Then select the relevant samples of Shanghai Stock Exchange A from 2003 to 2011 to carry out empirical analysis; Then the model of intrinsic value valuation of value stock is established. Finally, the conclusion and limitation of this paper are obtained.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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