创业板上市公司投资风险评价研究

发布时间：2018-01-01 01:14

本文关键词：创业板上市公司投资风险评价研究　出处：《贵州财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：作为配置经济资源的重要力量,投资在促进经济社会发展的同时,其自身发展也伴随着风险和收益等因素的影响。风险和收益始终相伴而生,它们既是现代投资理论的核心,也是进行投资决策必须权衡的实际因素。资产组合理论的提出奠定了现代投资理论的基石,其利用统计学中的方差衡量风险则开创了不确定情况下的投资风险分析。当前学者对投资风险的关注,主要集中在评价方面。评价研究有助于深刻认识投资风险,并揭示不同风险构成要素对投资风险的影响情况。因而,评价结论可以为推进资本市场建设,发挥投资的核心作用,构筑促进和保障国民经济持续、健康、快速发展的良性机制提供有益指导。截止目前,针对投资风险的评价研究,所选用的评价指标偏重财务指标,所用方法也大多基于风险构成要素作用于投资风险的映射关系呈线性的假设。然而,事实上风险构成因素作用于投资风险的力度与方向复杂多变,合力作用并非呈现简单的线性关系。有鉴于此,我们尝试了从宏观经济风险、市场风险、上市公司内部风险三个方面构建创业板上市公司投资风险评价指标体系。同时,为了克服评价过程的主观性、模糊性和线性评价,本文的研究选取了具有评价客观性和非线性映射逼近能力的突变级数法。通过理论研究与实证分析,本文得到以下结论：第一,投资风险评价研究的实质在于：建立风险构成要素到风险状况的映射关系；并测度各种风险要素对投资风险的影响情况；进而深刻认识上市公司投资风险的现状,准确把握投资风险规律。第二,基于理论上全面构建的37个风险指标,数理上采用主成分分析法提取重点,探求得到信息涵盖全面、维数较少且主次分明的评价指标体系,创业板上市公司投资风险可由宏观经济风险、市场风险、上市公司内部风险下的地区工业总产值、地区居民消费价格指数等16个评价指标来表征。考虑到风险构成要素与投资风险间的属性多样性、结构复杂性、影响联动性、机理非线性等特征,应选用具有评价客观性和非线性映射逼近能力的突变级数法建立评价模型。第三,基于探路者、莱美药业等12个样本上市公司的模型量化结果和准则层影响因子分析,结论表明：(1)内生于上市公司主体的创新能力、管理能力、偿债能力、盈利能力等上市公司内部因素是影响创业板上市公司投资风险的首要因素(影响程度接近于43.4%的水平),表明我国创业板上市公司投资风险具有内生型依赖特征。(2)不考虑外部风险的情况下,在影响投资风险的上市公司内部因素中,创新能力和管理能力的影响力度之和为35.81%,表明非财务风险已成为创业板上市公司投资风险的重要组成部分；偿债能力、盈利能力、营运能力和成长能力的影响力度之和为64.18%,表明财务风险仍然是影响创业板上市公司投资风险的最主要力量。(3)宏观经济因素和市场因素的影响力度之和为56.6%,超过了作为决定创业板上市公司投资风险的根本性力量上市公司内部因素的影响力度,表明创业板上市公司投资风险受外部力量牵制过大,违背了现代化的企业制度和契约精神,创业板市场改革有待进一步深化。(4)创业板上市公司投资风险的综合得分和排序情况表明我国创业板上市公司投资风险存在西高东低的地区性差异特征。(5)创业板上市公司投资风险的波动性分析表明宏观经济因素和市场因素对创业板上市公司投资风险的影响具有较大波动性,并不稳定；上市公司内部因素对创业板上市公司投资风险的影响作用具有持续性特点,较为稳定。基于分析结论,本文认为优化企业管理水平、增强企业创新能力,加强上市‘公司的内部控制、建立企业财务风险预警系统,建立完善有效的证券监管体系、规范经济市场秩序,合理配置经济资源、积极调整市场产业结构,是当前规避创业板上市公司投资风险的有效路径。本文对上市公司投资风险的评价研究,立足我国创业板市场,其可能创新之处有以下三个方面：一是基于前人成果并结合我国创业板上市公司运行实际,构建了较为全面的创业板上市公司投资风险评价指标体系,完成了对我国创业板上市公司投资风险的定量评价,弥补了对创业板上市公司投资风险评价单纯作出定性研究的不足。其中,在指标体系设计上,本文首次尝试性地针对宏观层面、市场层面和上市公司内部三个方面设计了指标。二是在建立创业板上市公司投资风险评价模型过程中,本文引入相关分析和主成分分析的方法,从系统的内在作用机理出发,对底层指标的相对重要性进行了客观的排序,以期实现对创业板上市公司的投资风险的客观评价。三是基于全文的规范分析和实证评价结论,针对性地提出了一些规避我国创业板上市公司投资风险的对策举措。遗憾的是,由于统计数据收集、针对性研究成果并不多见以及自身学术研究能力等主客观制约,本文研究还存在一些需进一步努力的地方。例如受数据可得性的约束,一些能够直接反应创业板上市公司投资风险的指标无法收集到数据而不得不采用间接指标进行替代。而笔者对创业板上市公司投资风险的认识、理解程度有限,使得评价指标体系的设计和评价结论的分析有待进一步提高。
[Abstract]:As an important force in the allocation of economic resources, investment in promoting economic and social development at the same time, its development is also accompanied by the impact of risk and income and other factors. The risks and benefits is always accompanied, which is the core of modern investment theory, the actual factors also make investment decisions must weigh. Laid the foundation of modern investment theory the proposed portfolio theory, using the variance in statistics to measure risk is creating uncertainty analysis in the condition of investment risk. Focus on the investment risk of the current scholars, mainly concentrated in the evaluation. The evaluation study contributes to a profound understanding of the investment risk, and reveal the different factors of risk impact on investment risk situation thus, the evaluation conclusion can promote the construction of capital market, play a central role in the construction of investment, promote and ensure the sustained, healthy and rapid development of the good The sexual mechanism provides useful guidance.
At present, research on Evaluation of investment risk evaluation index, the emphasis on financial indicators, the methods used are mostly the mapping relationship between the factors of risk in investment risk based on the linear assumption. However, strength and direction in fact risk factors impact on the investment risk of the complex, the resultant force is not a linear relationship simple. Therefore, we try from the macro economic risk, market risk, construct the evaluation index system of GEM listed companies investment risk three aspects of internal risk of listed companies. At the same time, in order to overcome the subjectivity of the evaluation process, fuzzy and linear evaluation, this paper selects the catastrophe progression method with nonlinear mapping and objectivity of evaluation approximation ability.
Through theoretical research and empirical analysis, this paper obtained the following conclusions: first, the essence of investment risk evaluation research is: mapping the factors of risk to the risk profile and risk factors; to measure the risk of investment; current situation and a profound understanding of the investment risk of listed companies, to accurately grasp the investment risk law. Second, 37 a comprehensive risk index theory based on mathematical using principal component analysis method to explore the extraction of key information, comprehensive, and prioritize the small dimension of the evaluation index system, the investment risk of GEM listed companies by the macroeconomic risk, market risk, in total industrial output value of the listed company's internal risk in the area the consumer price index as 16 evaluation indicators to characterize. Considering the risk attributes and investment risk between diversity, complex structure Miscellaneous, effect of linkage, the mechanism of nonlinear characteristics, should be chosen with the evaluation of objectivity and approximation ability of nonlinear mapping of the catastrophe progression method to establish the evaluation model. Third, based on the Pathfinder, an influence factor model to quantify the results of pharmaceutical and other 12 listed companies and the criterion layer analysis, concluded that: (1) was born in the market the company's main innovation ability, management ability, solvency, profitability and other internal factors of listed companies is the main factor to affect the investment risk of GEM listed companies (the influence degree level close to 43.4%), shows that China's GEM listed companies with investment risk endogenous dependence. (2) do not consider the external risk under the condition of the internal factors of the investment risk of listed companies, the impact strength of innovation ability and management ability and is 35.81%, indicates that the financial risk has become the GEM listed companies An important part of our investment risk; solvency, profitability, operation ability and influence the ability of growth and 64.18%, shows that the financial risk is still the most important forces affecting the investment risk of GEM listed companies. (3) impact of macroeconomic factors and market factors and is 56.6%, more than as the fundamental forces determine the investment risk of GEM listed companies listed company internal factors influence, shows that the GEM listed companies investment risk containment by external force is too large, contrary to the modern enterprise system and the spirit of contract, the GEM market reform should be further deepened. (4) the investment risk of GEM listed companies comprehensive score and ranking indicates the existence of regional differences in characteristics of the East West High low investment risk of GEM listed companies in China. (5) the volatility of investment risk of GEM listed companies The analysis shows that the influence of macroeconomic factors and market factors on investment risk of GEM listed companies has great volatility and instability. The influence of internal factors of listed companies on investment risk of GEM listed companies is continuous and stable.
Based on the analysis result, the optimization of enterprise management level, enhance innovation capacity, strengthen internal control of listed company ", the establishment of financial risk early warning system of enterprise, establish effective supervision system, standardize the economic order of the market, the rational allocation of economic resources, and actively adjust the market structure of industry, it is an effective way to avoid the investment risk of the venture the board of listed companies.
This paper study on the evaluation of listed company investment risk, based on China's GEM market, the innovations of this paper are the following three aspects: one is the achievements of the predecessors and combining with China's GEM listed companies based on the actual operation, construction of the GEM listed companies comprehensive investment risk evaluation index system, the quantitative evaluation of the China's GEM listed companies investment risk, to compensate for the lack of companies listed on GEM investment risk evaluation to make simple qualitative research. Among them, the design of the index system, this paper first attempts to aiming at the macro level, the three aspects of the internal market and the listed company index is designed. Two is the establishment of gem the listed company investment risk evaluation model, this paper introduced the method of correlation analysis and principal component analysis, starting from the inner mechanism of the system, on the bottom of the important index In order to achieve an objective evaluation of the investment risk of GEM listed companies, we made an objective sorting of the nature. Three, based on the full text of the normative analysis and empirical evaluation conclusions, we put forward some countermeasures to avoid investment risks of Chinese GEM listed companies.
Unfortunately, due to the statistical data collection, the research results are rare and their own academic research ability of subjective and objective constraints, there are still some further efforts to place the research in this paper. For example, data availability constraints, some direct response to the investment risk of GEM companies are unable to collect data and index have to use the indirect index instead. But I know the companies listed on GEM investment risk, limited understanding, makes the analysis and design of evaluation index system and evaluation conclusion needs to be further improved.

【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51

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