证券投资风险与发行公司财务关联性研究

发布时间：2018-07-25 20:58

【摘要】：金融市场上，，风险管理是久谈不衰的话题，风险管理是保障金融机构良性运行的重要内容，金融风险是金融产品市场价格波动而导致未来可能发生的损失，在经济全球化和金融自由化不断深化的背景下，金融风险的表现形式也层出不穷，表现出多样化、复杂化等特点。伴随着2007年美国“次贷危机”的爆发，这次危机造成极大的危害性，更加引起人们对金融风险的关注。在面对纷繁的金融产品及金融衍生品的风险管理时，很多学者逐步将金融工程等一系列专业技术引入到风险管理活动中，从更深层次探讨风险识别和控制。面对金融市场的不稳定性，如何有效的规避风险，影响风险的因素有哪些是投资者需要关注的。在众多投资模型中，投资组合能有效的降低风险，还需要研究组合中各资产的收益与风险，以及组合资产之间的相关性等因素。所以要想有效的控制风险，必须全面了解影响风险的各种因素，分析哪些指标能显著地影响风险的大小以及影响方向。在前人研究的基础上，以上市公司财务指标与风险的关联性为依据，进行研究。在进行投资风险的计量时，采用VaR方法。对股票收益率的分布进行研究时，发现股票收益率并不严格服从正态分布，所以我们对股票收益率分布采用了更为合理的分布，在进行资产组合风险计量时，采用Copula模型，并利用Monte Carlo方法进行多次模拟，其结果更加科学合理。为了能够较为全面的反映公司的经营和财务状况，我们分别从偿债及资本结构、盈利能力和营运及成长能力三个方面选取了多个财务指标，但是为了消除各指标之间的相关性和多重共线性，利用主成分分析方法对指标进行降维，最后得到11个主要的，能够全面反映公司状况的财务指标。在进行回归分析时，由于我们选取样本为50个样本公司11个财务指标的16年数据，表现为三维的截面数据，所以需要利用面板模型进行分析，最后从统计结果得出，选取的11个财务指标中，有5个能显著的影响风险。然后，我们给投资者、上市公司和政府监管部门关于规避风险的建议。
[Abstract]:In the financial market, risk management is a topic that has long been discussed. Risk management is an important part of ensuring the benign operation of financial institutions. Financial risk is a loss that may occur in the future as a result of market price fluctuations of financial products. Under the background of economic globalization and financial liberalization, the forms of financial risk emerge in endlessly, showing the characteristics of diversification and complexity. With the outbreak of the subprime mortgage crisis in 2007, the crisis caused great harm and caused more attention to financial risks. In the face of the numerous financial products and financial derivatives risk management, many scholars gradually introduce a series of professional technology such as financial engineering into risk management activities, from a deeper level to explore risk identification and control. Faced with the instability of financial markets, how to effectively avoid risk, which factors affect risk is what investors need to pay attention to. In many investment models, portfolio can effectively reduce the risk, but also need to study the income and risk of each asset in the portfolio, as well as the correlation between portfolio assets and other factors. Therefore, in order to effectively control risk, we must understand all kinds of factors that affect risk, and analyze which indicators can significantly affect the size and direction of risk. On the basis of previous studies, the relationship between financial indicators and risks of listed companies is studied. In the measurement of investment risk, the VaR method is adopted. When we study the distribution of stock return, we find that the stock return is not strictly obeyed to normal distribution, so we adopt a more reasonable distribution for the distribution of stock return. When we measure the risk of portfolio, we adopt Copula model. The Monte Carlo method is used to simulate many times, and the results are more scientific and reasonable. In order to fully reflect the company's operating and financial situation, we have selected a number of financial indicators from three aspects: debt service and capital structure, profitability, operation and growth ability. However, in order to eliminate the correlation and multiple collinearity among the indicators, the principal component analysis (PCA) method is used to reduce the dimension of the indicators. Finally, 11 main financial indicators are obtained, which can reflect the overall situation of the company. In regression analysis, because we select 16 years' data of 11 financial indicators of 50 sample companies, so we need to make use of panel model to analyze, finally, from the statistical results, Of the 11 selected financial indicators, 5 can significantly affect the risk. Then we give investors, listed companies and government regulators advice on risk aversion.
【学位授予单位】：河南师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51

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