上市公司投资者关系管理与股票收益率的关系研究

发布时间：2018-02-24 03:28

本文关键词： 投资者关系管理股票收益率非参数检验回归分析　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：在中国证券资本市场上,投资者关系管理(investor relations management,IRM)践行时间仅有十余年,但伴随着中国经济和社会的发展,投资者关系管理越来越受到上市公司和投资者的关注,国内外学者的研究已经发现IRM对于公司的价值和公司管理方面都有重要影响,良好的IRM管理有利于提高公司价值和优化资本结构。本文在根据国内外关于IRM的相关理论及研究的基础上,总结了当前我国上市公司实施IRM管理工作的情况,并对当前国内IRM管理工作落后的原因进行了分析,同时笔者结合中国的实际情况提出了以下疑问：中国上市公司价值评估受IRM因素的影响有多大?中国上市公司IRM评价指标对股票收益率有影响吗? 基于上述疑问,本文利用南京大学IRM研究中心2010年11月发布《中国上市公司投资者关系管理研究报告》中调研的445家上市公司数据作为研究样本,将样本数据按照IEM评价指标“好”与“差”分为两组,然后通过Wilcoxon非参数检验,笔者发现投资者关系管理指标与公司价值具有显著的相关性,发现IRM评价“好”的公司价值的价值变动更小,其公司价值评估更为稳定；然后通过建立回归方程定量研究IRM评价指标对于公司价值的影响程度。接下来,在该研究基础上,本文继续探索IRM同股票收益率的关系。通过Wilcoxon非参数检验,我们发现IRM评价指标与上市公司股票年度收益率具有显著的正相关性,然后根据国内外学者经常运用的的Fama-Fench模型,考察上市公司股票收益率在除去市场溢价因子、规模因子和账面市值比因子的解释的部分以外,剩余的股票超额回报率与IRM的关系,研究结果发现：IRM评价“好”的组其每月超额回报率平均值比评价为“差”的组高0.73%,这意味着投资者选择优秀的IRM上市公司的股票会获得更高的超额回报率。这一结果表明不仅上市公司主动实施IRM管理工作会获得良好地回馈,投资者主动研究并发掘投资者关系管理良好的公司也会获得收益,这对于实施IRM管理工作的主体和客体都有十分重要的意义,从而上市公司和投资者都有动力来践行IRM管理工作,进一步推动中国证券金融市场的发展和完善,有利于创建更加透明、公正、高效的金融市场。
[Abstract]:In China's securities capital market, investor relations management has only been practiced for more than ten years. However, with the development of Chinese economy and society, investor relationship management has attracted more and more attention from listed companies and investors. Scholars at home and abroad have found that IRM has an important impact on corporate value and corporate management. Good IRM management is conducive to improving corporate value and optimizing capital structure. Based on the relevant theories and researches on IRM at home and abroad, this paper summarizes the current situation of IRM management in listed companies in our country, and analyzes the reasons why the domestic IRM management work lags behind. At the same time, combined with the actual situation in China, the author raises the following questions: how big is the value evaluation of listed companies in China affected by IRM factors? Does the IRM Evaluation Index of China's listed companies have an impact on the Stock yield? Based on the above questions, this paper uses the data of 445 listed companies published by the IRM Research Center of Nanjing University on November 2010 as a sample. The sample data are divided into two groups according to IEM evaluation index "good" and "bad". Then through Wilcoxon non-parametric test, the author finds that the investor relationship management index has significant correlation with the company value. It is found that the value of the "good" company evaluated by IRM has less change and the evaluation of company value is more stable, and then the degree of influence of IRM evaluation index on company value is studied quantitatively by establishing regression equation. Then, on the basis of this study, this paper continues to explore the relationship between IRM and stock return. By Wilcoxon non-parametric test, we find that the IRM evaluation index has a significant positive correlation with the annual return of listed companies. Then, according to the Fama-Fench model, which is often used by domestic and foreign scholars, this paper investigates the relationship between the excess return rate of the remaining stocks and the IRM, except for the market premium factor, the scale factor and the book market value ratio factor, in addition to the explanation of the market premium factor, the scale factor and the book market value ratio factor. The results of the study found that the average monthly excess return of the "good" group was 0.73 higher than that of the "bad" group, which meant that investors who chose the best IRM listed company would get a higher excess return. The results show that not only do listed companies take the initiative to implement IRM management, but also they get good feedback. It is of great significance for the subject and object of IRM management to study and discover the benefits of investors who have good investor relationship management. Therefore, both listed companies and investors have motive power to practice IRM management, further promote the development and improvement of China's securities financial market, and help to create a more transparent, fair and efficient financial market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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