基于面板数据的股票收益波动与价值投资关系研究

发布时间：2018-06-03 07:34

本文选题：收益 + 收益波动　；参考：《湘潭大学》2016年硕士论文

【摘要】：股票投资的最终目的在于获得收益,而要计算出获取正收益的概率是很难的。随着我国证券市场的快速发展以及开放,越来越多的投资者会加大对股市资源的配置,投资者如何能够准确、科学选出投资标的,就成为重要的分析决策了。本文综合运用统计学里的回归分析与面板数据模型基本理论、相关股票收益理论、价值投资理论,将尽可能多的影响因素纳入面板数据回归模型中,把研究视角定在投资者对于股票的选择上以及提高获取正收益的概率,尝试分析股票收益波动与价值投资的关系。本文在综述了国内外有关股票收益与收益被动的相关理论后,把收益与收益波动的正相关关系作为本文的研究基础。本文对2009年1月4日至2014年12月31日期间各股票年平均收益排名筛选出前50只股票以及后50只股票作为样本数据进行多元回归以及面板数据回归的实证分析,对股票收益波动与价值投资之间的关系进行分析研究,最后基于分析结论为股票投资者以及股票市场监管方提供相关建议。经过研究,得出以下结论:首先,股票收益波动和价值投资的关系并不是简单意义上的线性关系,而是牵扯到很多影响因素变量的复杂关系。实证表明换手率、市盈率、净利润同比增长率对股票收益波动有着正向影响。净利润同比增长率则是表明上市公司成长性好与坏的重要指标之一,因此净利润同比增长率越高,股票收益波动越大。基本每股收益同比增长率则是证明上市公司成长性的又一重要指标,但它的关键作用在于投资者假若能够获取相关收益的可能性下,降低股票所带来的风险,因此基本每股收益同比增长率越高,股票收益波动越低。关于市净率,投资者则可以根据个人实际情况加以运用。
[Abstract]:The ultimate goal of a stock investment is to earn a return, but it is difficult to calculate the probability of a positive return. With the rapid development and opening of China's securities market, more and more investors will increase the allocation of stock market resources. How investors can accurately and scientifically select the investment target has become an important analysis decision. In this paper, regression analysis, panel data model theory, stock return theory and value investment theory are used to integrate as many factors as possible into the panel data regression model. This paper attempts to analyze the relationship between the volatility of stock returns and the value investment by focusing on the investor's choice of stocks and increasing the probability of obtaining positive returns. After summarizing the relevant theories of stock returns and earnings passivity at home and abroad, this paper takes the positive correlation between returns and earnings volatility as the basis of this paper. From January 4, 2009 to December 31, 2014, this paper selects the top 50 stocks and the last 50 stocks as sample data to carry out multivariate regression and panel data regression for the period from January 4, 2009 to December 31, 2014. The relationship between the volatility of stock returns and the value investment is analyzed. Finally, based on the conclusions of the analysis, some suggestions are provided for the stock investors and the regulators of the stock market. The conclusions are as follows: firstly, the relationship between stock return volatility and value investment is not a simple linear relationship, but a complex relationship involving many factors. Empirical results show that turnover ratio, price-earnings ratio and net profit growth rate have a positive impact on stock return volatility. The growth rate of net profit is one of the important indicators of the growth of listed companies, so the higher the growth rate of net profit, the more volatility of stock returns. The growth rate of basic earnings per share is another important indicator to prove the growth of listed companies, but its key role is to reduce the risk of stocks if investors can obtain the related income. Therefore, the higher the year-on-year growth rate of basic earnings per share, the lower the volatility of stock returns. On the price-to-book ratio, investors can be used according to the actual situation of the individual.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51

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