时间序列财务信息与股票价格关系研究

发布时间：2018-08-17 17:58

【摘要】：股票价格受多种因素的影响，其中，广大投资者能够得到并有效利用的是公司对外公布的财务信息。财务信息对股票价格是否相关，不同财务信息对股票价格解释能力差异等问题一直是研究的热点。现有的研究多关注于当期的股票价格与当期财务信息的关系，忽略了历史信息和市场对未来的预期信息的影响。基于此，本文采用时间序列财务信息数据，建立我国上市公司财务信息与股票价格间的回归模型，为股票投资决策提供更全面、准确的估值建议。本文在构建时间序列财务信息与股票价格关系研究的理论框架的基础上，以生物制药行业为样本，分别建立了“当期财务信息与股票价格相关性”及“时间序列财务信息与股票价格相关性”的多元回归模型，并对两次回归进行比较分析，结果表明：第一，在我国股票市场中，以时间序列财务指标解释股票价格的变动可行，但解释能力有限。除财务信息外，，非财务信息，如宏观政策等对股票价格同样具有很大的影响，财务信息的价值相关性有待提高；第二，与历史数据相比，当期的财务信息和对未来的预期信息对股票价格有更好的价值相关性；第三，利用财务信息进行股票价格评估时，在历史信息中，应重点关注市盈率指标；在当期的财务信息中，应重点关注每股收益、速动比率和营业利润增长率指标，在预期的财务信息中，应重点关注每股收益、流动比率和销售净利率指标。
[Abstract]:The stock price is affected by many factors, among which, the investors can get and utilize the financial information released by the company. Whether the financial information is relevant to the stock price and the difference of the explaining ability of the different financial information to the stock price is always a hot research topic. The current research focuses on the relationship between the current stock price and the current financial information, and neglects the influence of historical information and market on the future expected information. Based on this, this paper uses time series financial information data to establish a regression model between financial information and stock price of listed companies in China to provide more comprehensive and accurate valuation advice for stock investment decisions. Based on the theoretical framework of the relationship between time series financial information and stock price, this paper takes the biopharmaceutical industry as a sample. The multivariate regression models of "correlation between current financial information and stock price" and "time series financial information and stock price correlation" are established respectively, and the two regression models are compared and analyzed. The results show that: first, In China's stock market, it is feasible to explain the change of stock price by time series financial index, but the explanation ability is limited. In addition to financial information, non-financial information, such as macro policies, also have a great impact on stock prices. The value relevance of financial information needs to be improved. Second, compared with historical data, The financial information of the current period and the expected information of the future have better value correlation to the stock price. Third, when using the financial information to evaluate the stock price, we should pay more attention to the price-earnings ratio index in the historical information. In the current financial information, we should focus on the index of earnings per share, liquidity ratio and operating profit growth rate. In the expected financial information, we should focus on the indicators of earnings per share, current ratio and net interest rate of sales.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51;F224

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