基于因子分析的上市银行绩效评价

发布时间：2018-04-03 11:05

本文选题：因子分析　切入点：绩效评价　出处：《中国海洋大学》2012年硕士论文

【摘要】：股票市场是联系筹资者和投资者的纽带。随着经济的发展以及人们投资意识的增强,越来越多的人们开始关注股市并进入股市投资。然而风险与收益并存,投资者必须掌握相当的知识及技能才能在最大程度上规避风险,获取收益。而在这些知识及技能中,对上市公司的绩效评价能力是不可或缺的。上市公司都会定期公布其财务报表,然而对于一般投资者,财务报表中指标繁多复杂,很难在不具备专业背景的情况下对上市公司进行有效的分析。在这种情况下,业界已经总结出了一些解决方法,最常用的就是综合评分法。综合评分法通过纳入一些常用的财务指标,并统计各行业对应财务指标的平均水平,通过二者之间的对比来给评价主体的各项表现打分。最后按照一定的方法给每个指标赋予相应的权重,加权得出综合评分,从而判断公司的综合表现。这种方法虽然简便易行,但指标的选取以及权重的确定存在一定主观性,使其综合评价的结果有失公允。考虑到上述情况,本文借鉴综合评分法,通过因子分析对于选取的财务指标进行客观赋权,进而对上市公司的绩效进行评价。由于因子分析可以通过挖掘数据内部之间的关系,分析各个数据对于最终结果的贡献率确定各个指标的权重,所以使用因子分析可以较好的克服传统评价方法对于指标赋权过于主观的缺点。同时因子分析可以将众多的分析指标归类为少数的几个因子,从而通过降维达到简化评价和解释的目的。由于因子分析法的这种特性,它在很大程度上弥补了传统综合评分法的不足。截至2012年,我国已有十六家银行上市,上市银行已经成为我国证券市场的重要一部分。本文将以十六家上市银行为例,利用因子分析法对于指标进行处理,进而对我国上市商业银行做出绩效评价。指标选取方面,本文以CAMEL评价体系为基础,从资本状况、资产质量、管理水平、盈利状况、资产流动性五个方面,选取相关评价指标。与之前用于商业银行财务分析模型不同的是,鉴于近年来的金融形势,银行体系的安全性问题日益突出,本文在选取评价指标的过程中加入了反映商业银行安全性的资本充足率、核心资本充足率等相关指标构建评价指标体系,以期更加全面地反应商业银行的绩效表现,并对我国十六家上市银行进行绩效评价。最后,本文选取2011年各上市银行的相关数据,运用上述方法对各家银行进行绩效评价,给出综合业绩评分,并对评分结果进行解释。
[Abstract]:The stock market is the link between financiers and investors.With the development of economy and the enhancement of people's investment consciousness, more and more people begin to pay attention to the stock market and invest in the stock market.However, risk and income coexist, investors must master considerable knowledge and skills in order to avoid risk to the greatest extent and gain income.In these knowledge and skills, the performance evaluation ability of listed companies is indispensable.Listed companies will publish their financial statements regularly. However, for general investors, the financial statements have many and complex indexes, so it is difficult to analyze the listed companies effectively without professional background.In this case, the industry has summed up a number of solutions, the most commonly used is the comprehensive scoring method.By incorporating some commonly used financial indicators and counting the average level of the corresponding financial indicators in various industries, the comprehensive scoring method scores the performance of the evaluation subjects through the comparison between the two.Finally, according to a certain method to give each index a corresponding weight, weighted to obtain a comprehensive score, so as to judge the comprehensive performance of the company.Although this method is simple and easy to carry out, the selection of indexes and the determination of weights are subjective, which makes the results of comprehensive evaluation unfair.In view of the above situation, this paper draws lessons from the comprehensive scoring method, carries on the objective weight to the selected financial index through the factor analysis, then carries on the appraisal to the listed company's performance.Because factor analysis can determine the weight of each index by mining the relationship between the data and analyzing the contribution rate of each data to the final result.Therefore, factor analysis can overcome the disadvantages of traditional evaluation method.At the same time, factor analysis can classify many analysis indexes as a few factors, so that the purpose of simplified evaluation and interpretation can be achieved through dimensionality reduction.Because of the characteristic of factor analysis, it makes up for the deficiency of the traditional comprehensive scoring method to a great extent.Up to 2012, 16 banks have been listed in China, and listed banks have become an important part of China's securities market.This paper will take 16 listed banks as an example, use factor analysis to deal with the indicators, and then make performance evaluation of listed commercial banks in China.On the basis of CAMEL evaluation system, this paper selects relevant evaluation indexes from five aspects: capital condition, asset quality, management level, profit condition and asset liquidity.Unlike the previous financial analysis models for commercial banks, given the financial situation in recent years, the security problems of the banking system have become increasingly prominent.In order to reflect the performance of commercial banks more comprehensively, this paper adds the capital adequacy ratio, core capital adequacy ratio and other related indicators to reflect the security of commercial banks in the process of selecting evaluation indicators.And the performance evaluation of 16 listed banks in China.Finally, this paper selects the relevant data of each listed bank in 2011, uses the above method to evaluate the performance of each bank, gives the comprehensive performance score, and explains the result of the score.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F275

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