股票内在价值与盈利能力、成长性关系

发布时间：2018-02-10 17:22

本文关键词： 股票内在价值盈利能力成长性价值投资　出处：《华中科技大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国的股票市场发展逐渐成熟，很多投资者也获得了非常成功的投资，股票的内在价值一直是价值投资者的研究热点。不管是使用经典的估值模型分析，采用实证研究方法，或是借鉴投资学派代表人物的成功经验，投资者都试图从中找到指导投资实践最合理最成功的方法。本文就是在这样的背景下，从经典的剩余收益估值模型（EBO模型）出发，阐述其中的涵义，并对模型进行简化分析，得出新的市净率-盈利能力模型，以代表股票内在价值的市净率（PB）、代表盈利能力的净资产收益率（ROE）、代表成长性的可持续增长率（g）为切入点，通过理论研究和实证检验，，并进行比较分析，得出三者的内在联系，以此揭示股票内在价值与盈利能力、成长性的关系，从而为价值投资提供一定的理论支持和指导意义，这就是本文的研究目的。基于剩余收入模型的理论分析，以及对中国上市A股实际数据的实证检验研究，最后发现，决定股票内在价值的是盈利能力，而不是成长性。市净率与净资产收益率正相关。理论分析结果表明市净率与增长率并非单调关系：（1）当净资产收益率小于资本成本时，成长是有害的，即增长率越高，市净率反而越低，内在价值就越低；（2）当净资产收益率大于资本成本时，成长是有益的，即增长率越高，市净率越高，内在价值就越高。这说明成长性对股票内在价值的影响可以是负面的，也可以是正面的，企业若是投入高成本的资金却只能创造低水平的报酬，那么成长就是有害的，有损股东权益。然而实证研究结果表明市净率与增长率总是正相关，与理论分析结果不一致。
[Abstract]:The stock market of our country is maturing gradually, many investors have also obtained very successful investment, the intrinsic value of the stock has been the research hotspot of the value investor all the time, whether it is using the classical valuation model analysis, adopting the empirical research method. Or learn from the successful experience of the representatives of the investment school, investors are trying to find the most reasonable and successful way to guide the investment practice. Under this background, starting from the classical residual income valuation model and EBO model, this paper expounds the meaning of the model, and makes a simplified analysis of the model, and obtains a new price-to-book ratio profitability model. Taking the price-to-book ratio, which represents the intrinsic value of the stock, as the starting point, the return on net assets which represents profitability and the sustainable growth rate of growth are taken as the starting point, through theoretical research and empirical test, and through comparative analysis, the internal relations among the three are obtained. The purpose of this paper is to reveal the relationship between the intrinsic value of the stock and the profitability and growth of the stock, so as to provide certain theoretical support and guiding significance for the value investment. Based on the theoretical analysis of the residual income model and the empirical research on the actual data of A shares listed in China, it is found that the profitability determines the intrinsic value of the stock. The theoretical analysis shows that the price-to-book ratio is not monotone with the growth rate.) when the ROE is less than the cost of capital, growth is harmful, that is, the higher the growth rate, the higher the growth rate. The lower the price-to-book ratio, the lower the intrinsic value.) when the return on equity is greater than the cost of capital, growth is beneficial, that is, the higher the growth rate, the higher the price-to-book ratio. The higher the intrinsic value is, the higher the impact of growth on the intrinsic value of stocks can be negative or positive. If an enterprise can only create a low level of remuneration if it invests high cost funds, then growth is harmful. However, the empirical results show that the price-to-book ratio is always positively correlated with the growth rate, which is inconsistent with the theoretical analysis.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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