A股上市公司价值评估指标验证与体系构建

发布时间：2018-05-28 01:08

本文选题：价值投资 + 有效市场　；参考：《西南财经大学》2012年硕士论文

【摘要】：在证券投资咨询专业服务的工作实践中,因为中国证券市场投机性较强,市场氛围较为浮躁,大多数专业人士倾向于不断地追踪短期热点,进而对客户进行专业服务。但显然,这种“在花丛中飞来飞去”的工作方式效率很低,无法真正让客户的财富实现长期保值增值。尤其是对于高净值客户的证券投资咨询专业服务,我们在实际工作中也探索了很多方法,但效果并不明显,客户的忠诚度和粘性仍然很难建立。另一方面,我们工作中常用一些固定的估值指标来评判公司的投资价值,从结果看这些指标有利有弊。因此,我们想结合证券投资咨询服务的特殊性,对这一研究方法加以改进。通过寻找一些长期有效且稳定的估值指标识别出在较长时期内表现优异的标的,使得基于此构建的投资组合能在长期取得良好的投资收益。另外,现实市场并不符合完全的有效市场理论,国内大部分学者得出的结论说明我国证券市场仍处于弱势有效市场,也为我们探索上述问题提供了理论基础。国外格雷厄姆、巴菲特等投资大师以及国内绩优投资机构的行为也已经验证了主动管理获得超额收益的现实可能性。出于证券投资咨询专业服务工作的特殊性,若能通过一些长期有效且稳定的估值指标识别出在较长时期内表现优异的标的(这些标的不可能是百分之百有效的,但大概率是有效的),使得基于此构建的投资组合能在长期取得良好的投资收益,则对我们的专业服务工作具有巨大的帮助。有利于我们在平时工作中建立合适且较为稳定的公司价值评估方法,有利于增强专业服务的有效性,持续的维护和客户之间的关系,提升客户的忠诚度和粘性。因此,判断公司长期投资价值的估值指标体系构建及其运用对公司价值评判和证券投资咨询专业服务工作具有重大的意义。本文结合工作实践,首先分析了当前公司价值评估的通行做法及其利弊,并通过相关资料及文献的研究为公司价值评估的指标验证及其体系构建奠定理论基础,并在此基础上对我国证券市场的弱式有效市场进行实证分析；其次,对格雷厄姆式价值投资(好价格)和巴菲特式价值投资(好公司)在中国证券市场的投资效果作描述统计,验证长期稳定估值指标的现实可操作性,并作为后续本文构建的价值投资指标体系其投资效果的参照组。再次,通过对相关文献整理的单一估值指标进行逐一稳定性检验,寻找评判公司投资价值的主要估值指标,并通过Logistic二分类回归分析寻找核心影响因子,进而构建评判公司投资价值的指标体系。最后,以投资市场、格雷厄姆式价值投资方法、巴菲特式价值投资方法的投资效果作为参照组,检验本文构建的指标体系的投资效果并对其在现实工作中的指导效果作案例研究。加上前言部分,本文框架共由六部分组成。第一章前言部分主要论述本文研究的背景及其意义,阐明研究的基本思路和文章的结构框架,并简要描述了本文的贡献。第二章主要论述当前行业内公司价值评判的通行做法,即绝对估值和相对估值两种价值评估分析方法,简要地介绍了包括股利折现模型和折现现金流模型两种绝对估值方法,也介绍了包括市盈率法和市净率法等相对估值方法。另外,本部分也对两类估值方法的利弊进行了分析。第三章为理论分析部分,通过有效市场假说、价值投资理论和公司价值评估文献的梳理为全文奠定理论基础和实证思路。本部分梳理了有效市场假说的发展历程、涵义、假设前提以及弱式、半强式和强式有效市场的三个层次的区别与检验方法,并在此基础上通过对1992年到2011年的周收盘数据进行分析,检验了我国沪深两市的有效市场层次,明确了我国股票市场尚处于弱式有效市场的结论,为本文基于基本面分析的指标体系构建奠定了理论和现实基础。价值投资理论部分,整理了格雷厄姆和巴菲特两大价值投资学派的经典理论,同时也回顾了国内外的价值投资理论研究的现状。在此基础上,本文也梳理了国内外公司价值评估的相关资料,为下文指标的验证和体系构建奠定基础。第四章为实证研究,是本文分析的重点。本章首先主要通过理论整理,从公司的基本面选取对上市公司的投资价值分析可能相关的备选指标。在指标设计上涵盖了企业总体素质的诸多方面,包括盈利能力、成长能力、营运能力、偿债能力以及市场估值水平等,使上市公司能得到全面客观的评价；其次,对理论分析中的选择的备选指标进行稳定性非参数检验,选择了净利润复合年增长率、净资产收益率、营业收入复合年增长率、股息率、总资产净利率、总资产周转率、投入资本回报率、流动负债比率、流动资产周转率、已获利息倍数等10个稳定性较强且有效的指标作为下一步构建上市公司投资价值评估指标体系的评估指标。最后,通过Logistic二分类回归分析方法,最终选择了核心的影响因素构建最终的价值评估指标体系。基于现实投资实践的需要,本文构建了基于当年指标数据所构建的T年和T+1年的预测指标体系。本文回归模型选择了净资产收益率、营业收入复合年增长率、净利润复合年增长率以及总资产周转率四大核心指标作为匹配T年的指标体系,般形式可表示如下：其中,P为上市公司具有投资价值的概率,1-P为无投资价值的概率。如果依据体系内的四大指标数据得到当年的P0.49,则该上市公司当年具有投资价值,如果得出的P=0.49,则其当年无投资价值。本文回归模型最终选择了流动负债比率和股息率两大核心指标作为匹配T+1年的指标体系,一般形式可表示如下. 其中,PT+1为次年上市公司具有投资价值的概率,1-PT+1为无投资价值的概率。如果依据体系内的四大指标数据得到次年的P0.50,则该上市公司次年具有投资价值,如果得出的P=0.50,则其次年无投资价值。另外,本章比较本文构建的价值评估指标体系的投资效果与格雷厄姆式和巴菲特式的投资方法的投资效果,验证本文构建的价值评估指标体系的有效性。格雷厄姆式的投资策略在匹配T年时,相对上证指数表现较差,年均跑输上证指数近二十个百分点,但匹配较为现实的T+1年时则取得了年均二十三个百分点的超额收益率,修正夏普指数也达到了0.48,表明该投资方法在现实操作中的投资效果取得了不错的表现。巴尔特式的投资策略在匹配T年时的年均超额收益率高达30.77%,修正夏普指数亦达0.48,充分显示了该方法对于当年的投资所取得的良好效果,同时该策略匹配T+1年也取得8.56%的年均超额收益率,意味着该策略存在较强的投资稳定性。相对于上述两种经典的价值投资方法,本文构建的上市公司投资价值评估指标体系的策略在匹配T年的投资策略时,取得了年均近十五个点的超额收益率,表现逊于巴菲特式的投资策略,但强于格雷厄姆式的投资策略匹配T年的表现。需要指出的是,本文的评估体系匹配T+1年的投资策略取得令人难以置信的年均120.62%的超额收益率,且修正夏普指数达到了惊人的0.93,达到了近乎完美的地步。究其原因,本文认为可能在于,本文的指标体系是基于历史的样本数据的统计回归分析得出了拟合度和解释能力均较强的模型,用以指导过去的投资理所当然容易取得较好成绩,因此,本文的价值评估指标体系还有待于未来的时间的检验。当然,这一抽象出的评估指标体系则至少证明到目前为止其近乎完美的投资效果。第五章总结本文在理论基础部分和实证分析部分所获得的研究结果,并对专业投资咨询服务机构提出了有益的建议,主要有：一是应加强对行业和上市公司基本面的研究,二是对上市公司基本面的研究可以注重公司投资价值与基本面指标的关系研究,三是可以尝试采用本文构建的价值评估指标体系或者格雷厄姆、巴菲特式的价值投资策略进行公司投资价值分析,引导客户理性投资,增强客户的忠诚度和粘性。最后,本文结合所在部门的职责情况,本文将所构建的上市公司价值评估指标体系应用于实际工作中作案例分析。在现实证券投资咨询服务中,若按照本文指标体系股票池交由公司的投资顾问用于指导客户投资或作咨询服务之用,则效果将十分明显,客户的忠诚度和粘性也较容易建立。同时,若能将本文的指标体系与格雷厄姆式的方法综合运用,则实际效果将更佳。
[Abstract]:In the work practice of securities investment consulting professional service, because China's securities market is highly speculative and the market atmosphere is more flicker, most professionals tend to keep track of short-term hot spots and further professional service to customers. We have also explored many methods in the actual work, but the effect is not obvious, and the loyalty and stickiness of customers are still difficult to establish. On the other hand, we often use some fixed valuations to judge the company. As a result, we want to improve the research method by combining the particularity of the securities investment advisory service. By looking for some long-term and stable valuations, we can identify the outstanding targets in a longer period of time, so that the portfolio based on this construction can be in the long run. Get good investment returns.
In addition, the real market does not conform to the complete effective market theory. Most of the domestic scholars have concluded that the securities market in China is still in a weak and effective market. It also provides a theoretical basis for us to explore the above problems. Foreign investment masters such as Graham, Buffett and other domestic investment institutions have also been verified. Active management of the real possibility of gaining excess returns.
For the particularity of the securities investment consulting service, it is possible to identify the outstanding indicators that perform well over a long period of time through a number of effective and stable valuation indicators (these can not be one hundred percent effective, but the probability is effective), making the portfolio based on this construction good investment for a long time. Income has great help to our professional service. It is beneficial for us to establish a suitable and stable method of valuation of the company's value in normal work, to enhance the effectiveness of the professional service, to maintain the relationship between the customers and to improve the loyalty and stickiness of the customer. Therefore, to judge the long-term investment price of the company. The construction and application of the valuation index system is of great significance to the company's value judgement and the professional services of securities investment consulting.
Based on the work practice, this paper first analyzes the current practice and its advantages and disadvantages of the company's value assessment, and lays a theoretical foundation for the evaluation of the value of the company and the construction of the system through the research of relevant materials and literature, and on this basis, the empirical analysis of the weak effective market in China's securities market; secondly, to the grid. The investment effect of the value investment (good price) and Buffett type value investment (good company) in the Chinese stock market is described and statistics are described, the realistic operability of the long-term stable valuation index is verified, and the reference group for the investment effect of the value investment index system constructed in the following article. A valuation index is tested by one by one, to find the main valuations that judge the value of the company's investment, and to find the core impact factor through the Logistic two classification regression analysis, and then build an index system to judge the value of the company's investment. Finally, the investment market, Graham's value investment method and the Buffett value investment method are used. The investment effect is taken as a reference group to examine the investment effect of the index system constructed in this paper and to conduct a case study on its guiding effect in practical work.
In addition, the framework consists of six parts.
The first part of the first chapter mainly discusses the background and significance of the study, clarifies the basic ideas of the study and the structural framework of the article, and briefly describes the contribution of this article.
The second chapter mainly discusses the current practice of the value evaluation of the company's value in the current industry, namely, the absolute valuation and the relative valuation of the two valuation analysis methods, briefly introduces two kinds of absolute valuation methods including the dividend discount model and the discounted cash flow model, and also introduces the relative valuation methods, including the P / E rate method and the city net rate method. In addition, the advantages and disadvantages of the two valuation methods are also analyzed.
The third chapter is the theoretical analysis part. Through the effective market hypothesis, the value investment theory and the company value evaluation literature, the paper lays the theoretical foundation and the positive thinking. This part combs the development course of the effective market hypothesis, the meaning, the hypothesis and the three levels of the weak, semi strong and strong effective market. On the basis of the analysis of the weekly closing data from 1992 to 2011, the effective market level of the two cities in Shanghai and Shenzhen is tested and the conclusion of our stock market still in the weak efficient market is clarified, which lays a theoretical and realistic foundation for the construction of the index system based on the basic analysis. In part, it collates the classical theory of the two value investment schools of Graham and Buffett, and reviews the current situation of the research on value investment theory both at home and abroad. On this basis, this paper also combs the relevant information of the valuation of the company at home and abroad, and lays the foundation for the verification and system construction of the following indexes.
The fourth chapter is an empirical study, which is the key point of this paper. First of all, this chapter mainly through the theoretical arrangement, from the basic side of the company to select the possible alternative indicators of the value analysis of the listed companies. In the design of the index, it covers many aspects of the overall quality of the enterprise, including profitability, growth, operation and debt service. And the market valuation level and so on, make the listed company get a comprehensive and objective evaluation. Secondly, the choice of the selected indicators in the theoretical analysis of the stability of the non parameter test, selected the net profit compound annual growth rate, the net asset yield, the business income compound annual growth rate, the share rate, the total asset net interest rate, the total asset turnover rate, investment capital. The return rate, the current debt ratio, the turnover rate of the current assets, the interest multiple and so on are 10 strong and effective indexes as the next step to construct the evaluation index of the evaluation index system of the investment value of the listed company. Finally, the final value of the core influence factors is constructed by the Logistic two classification regression analysis method. Based on the needs of real investment practice, this paper constructs a forecast index system based on the year index data of T and T+1. This regression model selects the net assets yield, the annual growth rate of the operating income, the combined annual growth rate of net profit and the four key index of total assets turnover as the matching T. In the form of the year's index system, the following can be expressed as follows:
Among them, P has the probability of investment value for listed companies, and 1-P is the probability of no investment value. If the four major index data in the system are obtained at the same year's P0.49, then the listed company has the value of investment in the same year, if the P=0.49 is obtained, then it has no investment value in the same year.
The regression model finally chose the two core indicators of the current debt ratio and the dividend rate as the index system to match T+1. The general form can be expressed as follows.
Among them, PT+1 is the probability of the investment value of the listed company in the following year, and 1-PT+1 is the probability of no investment value. If the four big index data in the system are obtained the next year's P0.50, then the listed company has the investment value in the next year, if the P=0.50 is obtained, then the next year has no investment value.
In addition, this chapter compares the investment effect of the value evaluation index system and the investment method of Graham and Buffett, verifies the effectiveness of the value evaluation index system constructed in this paper. When the Graham's investment strategy is matched for T years, the relative index performance is poor, and the annual average running transmission index index is the same. Nearly twenty percentage points, but with more realistic T+1 years, the average annual rate of excess return is twenty-three percentage points, and the revised SHARP index has reached 0.48. It shows that the investment method of the investment method has achieved good performance in the actual operation. The BART investment strategy has high annual excess return rate in the match of T years. Up to 30.77%, the revised SHARP index also reached 0.48, which fully demonstrated the good effect of the method on the investment of the year, and the strategy matched the T+1 year of 8.56% of the average annual excess return, which means that the strategy has a strong investment stability. Compared with the above two classic value investment methods, the listed public is built in this paper. The strategy of the investment value evaluation index system of the company, when matching the investment strategy of T years, obtained the excess return rate of nearly fifteen points per year, showing a performance inferior to the Buffett type investment strategy, but better than the Graham type investment strategy matching the performance of T years. It is necessary to point out that the evaluation system of this paper matches the investment strategy of T+1 years. The unbelievable annual average of 120.62% of the excess rate of return and the revised SHARP index reached an astonishing 0.93, reaching an almost perfect place. The investment of the past is of course easy to achieve better results, so the evaluation index system in this paper remains to be tested in the future. Of course, this abstract evaluation index system is at least proof of its near perfect investment effect so far.
The fifth chapter summarizes the research results obtained in the theoretical basis and the empirical analysis, and puts forward some useful suggestions for the professional investment advisory service institutions. The first is to strengthen the research on the fundamentals of the industry and the listed companies, and the two is that the research on the fundamentals of the listed companies can pay attention to the value and basic of the company's investment. The study of the relationship between surface indicators, three, we can try to use the value evaluation index system constructed in this article or Graham, Buffett's value investment strategy to analyze the value of the company investment value, guide the rational investment of customers, and enhance the loyalty and stickiness of the customers.
In the end, this paper combines the responsibilities of the Department, and applies the value evaluation index system of the listed company to case analysis in actual work. In the actual securities investment advisory service, if the investment consultant is used to guide the customer investment or to serve as a consulting service according to the stock pool of this index system, the company's investment consultant is used. It will be obvious that the customer's loyalty and stickiness are easier to build. At the same time, the practical effect will be better if the index system of this article is integrated with the Graham method.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】