A股上市公司超额收益影响因素及其特征研究

发布时间：2018-01-15 06:06

本文关键词：A股上市公司超额收益影响因素及其特征研究　出处：《华侨大学》2017年硕士论文　论文类型：学位论文

【摘要】：本文基于多因子模型,选取公司盈利能力、成长能力及公司规模的评价指标作为候选因子,并对这些候选因子进行有效性检验,经检验,公司盈利因子-主营毛利率、公司成长因子-净利润增长率和主营业务收入增长率、公司规模因子-流通市值为有效因子,表明公司盈利能力、成长能力及规模对上市公司超额收益有显著影响,通过进一步分析,将规模因子对超额收益的影响分解为风险因素和证券市场的非有效性。得出A股上市公司超额收益的影响因素有公司盈利能力、公司成长能力、风险因素和证券市场的非有效性。接着利用公司有效因子(盈利因子及成长因子)筛选出能够获取超额收益的上市公司,通过对比分析各类超额收益公司在行业分布、总部区域分布、公司性质、重组事项及筹码集中度等方面的特征,总结得出,能够获取超额收益的上市公司在行业方面的特征有:市场环境好;政府对行业的政策支持以及信用背书;公司主营业务有利于其穿越经济周期;行业需求刚性;细分行业龙头。超额收益公司在总部区域分布方面的特征为:在北京市、上海市及深圳市地理集中度最高;行政级别高的地区集中度高;东部沿海区域经济发展良好的城市集中度较高。在公司性质方面,超额收益公司的特征为:民营企业的整体超额收益率高于国有企业;成长能力强的民营企业的超额收益率最高。在重组事项方面,超额收益公司的特征为:重组事项能够显著提升公司成长能力;传统行业的国有企业重组意愿最为强烈。筹码集中度方面,超额收益公司的主要特性为筹码集中度越高,公司超额收益越大。国内对多因子模型的研究多局限于其在国内证券市场的有效性,本文使用Python语言编写自动化程序对多因子模型在A股市场的有效性进行了检验,并进一步对有效因子筛选出的超额收益公司在行业、区域等多方面的特征进行分析总结。本文对于A股市场投资者在行业资产配置方面具有较高的参考价值,对于地方政府吸引国内外企业总部入驻(避免本地企业迁出)、监管层完善A股市场制度方面给出了政策和意见。
[Abstract]:In this paper, a multi factor model based on the selection of the company's profitability, growth capacity and the scale of the company's evaluation index as the candidate factors, and these factors are candidates to test the effectiveness, after inspection, company profit factor - the main gross margin, the company's growth factor - net profit growth rate and the growth rate of main business income, the company scale factor - market capitalization is effective factor, indicating that the company's profitability, growth capacity and size have significant influence on the listed company's excess return, through further analysis, the effect of scale factor on the effectiveness of the excess return divided into risk factors and influencing factors of the securities market. The excess return of A shares of listed companies have the profitability of the company, the company's ability to grow, risk factors and non efficiency of the securities market. Then the effective factor (company profit factor and growth factor) were selected to obtain excess returns The listed company, through the comparison and analysis of various types of excess earnings of Companies in the industry distribution, the headquarters of the regional distribution, the nature of the company, reorganization and bargaining chip features, aspects such as summarizes, in terms of the industry characteristics can obtain excess returns of listed companies: good market environment; the government of the industry policy support and endorsement of credit; the company's main business is conducive to the economic cycle through the rigid demand; industry; leading industry segments. The regional distribution characteristics at the headquarters of excess return company is in Beijing City, Shanghai city and Shenzhen city and the highest concentration; high level of centralized administrative region is high; the economic development of the eastern coastal area of good city the high degree of the company. The properties, characteristics of excess return the company is: private enterprises overall excess return rate is higher than the state-owned enterprises; the growth ability of the private enterprises of the excess income Interest rate is the highest. In the reorganization, the characteristics of the company is: excess earnings reorganization can significantly enhance the growth ability of the traditional industries of the company; the restructuring of state-owned enterprises will most strongly. The concentration of chips, the main characteristics of excess return, for the higher concentration of chips, the company returns more. Domestic research on multi the factor model is limited in its effectiveness in the domestic stock market, the program to test the effectiveness of multi factor model in A stock market using the Python language, and further to the effective factor filtered excess returns of firms in the industry, regional characteristics and other aspects of the A are analyzed and summarized. Stock market investors have higher in industry asset allocation and reference value for the local government to attract domestic and foreign enterprise headquarter (to avoid local enterprises to move out, the regulators end) The policy and opinion of the good A stock market system are given.

【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F275

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