个股收益率波动性与经营业绩波动性

发布时间：2018-01-12 02:16

本文关键词：个股收益率波动性与经营业绩波动性　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文采用中国股票市场2003年到2012年的所有非金融类股票为样本,研究现金流波动性和盈余波动性对股票收益波动性的影响。本文意义在于探讨是否个股在金融市场的风险是否与其经营风险相匹配。个股在金融市场的风险以个股的波动性为指标,经营风险则以现金流的波动性和盈余的波动性为指标。较少学者做过个股收益率波动与现金流波动,盈余波动之间关系的研究。在一个有效的市场里,从基本面来看,股票的风险应该是和其经营风险保持一致的,因此提出假设,即个股收益率波动与现金流波动以及盈余波动显著正相关。文中采样期是2003年到2012年,分为5个样本期(每两年一期)。在此要求每只股票有两年内所有季度的财务数据以及在股票市场的季度收益数据。本文采用多元线性回归对股票收益和经营业绩的变动关系进行研究。用每两年八个季度的股票收益方差衡量股票收益波动性(因变量),现金流波动性和盈余波动性(自变量)同样如此,此外还选取了总资产,财务杠杆,流动比率和资产回报率作为控制变量。通过Pearson测试,发现现金流波动性与盈余波动性线性度很高,于是将这两个指标分别为自变量构建两个模型以消除多重共线性问题。本文除了对5个样本期汇总的全样本进行多元线性回归以外,也根据现金流波动性或盈余波动性的规模大小分别做了线性回归。结果发现,提出的假设被证实。总体而言,现金流波动性,盈余波动性与股票收益波动性显著正相关。当现金流波动性处于高位水平时,其关系显著,反之则不显著。但是余波动性和股票波动性则一直显著相关。当公司总资产越大时,股票收益波动性越小。而其他的控制变量则在某些情况下才与因变量关系显著。在线性回归中,以盈余为自变量的模型的R方相比以现金流为自变量的模型高,说明盈余的波动性比现金流波动性对个股波动性的解释性更高。从2003年到2012年,盈余和个股收益波动性之间的关系逐渐变的不显著,R方也很低,说明有更多非基本面的因素在决定着股票收益波动性。
[Abstract]:All non financial stocks by Chinese stock market from 2003 to 2012 as a sample, study the cash flow volatility effect and earnings volatility on stock return volatility. The significance is to investigate whether the risk of stocks in the financial markets and business risk match. The risk of stocks in the financial markets to volatility shares of the index, the volatility of business risk with cash flow volatility and earnings index. Few scholars have done the stock return volatility and cash flow volatility, research on the relationship between earnings fluctuations. In an efficient market, from the fundamental point of view, the stock and its business risk should be the risk is consistent, thus put forward the hypothesis that stock return volatility and cash flow volatility and earnings volatility is positively related. The sampling period is from 2003 to 2012, divided into 5 periods (two-year period) This requires each stock. Financial data all quarter in two years and in the stock market's quarterly earnings data. This paper uses multiple linear regression to study changes in the relationship between stock returns and operating performance. With the stock return variance of eight quarter every two years measure of stock returns volatility (dependent variable), cash flow volatility and earnings volatility (independent variables) the same, in addition to the selection of total assets, financial leverage, liquidity ratio and return on assets as control variables. Through Pearson test, found that the cash flow volatility linear and earnings volatility is very high, so the two indicators were constructed two models to eliminate the problem of multicollinearity. In addition to the full sample of 5 samples were pooled multivariate linear regression, also according to the cash flow volatility or earning volatility size were made Linear regression. The results showed that the hypothesis was confirmed. Overall, cash flow volatility is positively related to earnings volatility and stock return volatility. When cash flow volatility at a high level, the relationship was not significant. However, whereas the volatility and stock volatility has significant correlation. When the total assets of the company is large, the smaller the volatility of stock returns. While the other control variables in some cases only with the dependent variable relationship is significant. In linear regression, with earnings as independent variable R model compared to cash flow as the independent variables of the model, that the volatility of earnings dynamic explanation the stock volatility is higher than the cash flow. From 2003 to 2012, the relationship between earnings and stock return volatility becomes not significant, R is very low, indicating that there is more than a fundamental factor in determining stock return wave Dynamic.

【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

【共引文献】