经济增加值动量的价值相关性研究

发布时间：2018-01-14 09:00

本文关键词：经济增加值动量的价值相关性研究　出处：《北京交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：经济增加值动量(EVA Momentum)为基于经济增加值(Economic Value Added, EVA)进行改进以后的指标,然而公司以经济增加值为基础的排名与以经济增加值动量为基础的排名结果大相径庭,引起了学术界和实务界的广泛讨论。我国对于经济增加值动量研究有限,本文将以我国上市公司为样本,研究我国资本市场条件下经济增加值动量的价值相关性,探究经济增加值动量是否比其他收益指标更能体现公司价值的变化。现有对经济增加值的研究主要集中于经济增加值与传统指标价值相关性对比,部分研究认为经济增加值相关性较传统指标价值相关性较低,也有研究支持相反观点。本文将根据我国国资委指导央企计算经济增加值的方法自主计算上市公司的经济增加值及经济增加值动量,进而研究经济增加值动量的价值相关性,并与其他指标的价值相关性进行对比。本文使用2007-2012年沪深两市A股非金融类上市公司样本,采用价格模型和收益模型相结合的方式考察经济增加值动量的价值相关性,研究发现经济增加值动量与股票价格、股票收益均具有显著为正的价值相关性,但弱于每股经济增加值等指标；且经济增加值动量在股票收益的解释能力上显著强于其他平减经济增加值的指标,起到了良好的摒除经济增加值规模效应的作用。本文创新之处与研究价值为：(1)区别于已有基于会计利润指标或价值创造总量指标等对公司进行研究,本文从价值创造效率角度对于我国上市国有公司进行研究分析,提供了评价上市公司业绩的另一视角。(2)补充了国内经济增加值动量价值相关性研究的缺失。我国对于经济增加值动量的研究还在引进阶段,多集中于对于经济增加值动量的介绍阶段,本文研究了经济增加值动量与我国上市公司的价值相关性。
[Abstract]:Economic value added momentum (EVA) is an improved index based on Economic Value added (EVA). However, the ranking of companies based on economic added value is quite different from the ranking result based on economic added momentum, which has aroused extensive discussion in academic and practical circles. The research on economic value added momentum in China is limited. This paper takes listed companies in China as a sample to study the value correlation of economic value added momentum under the condition of capital market in China, and to find out whether economic added value momentum can reflect the change of company value better than other income indicators. The existing researches on economic added value mainly focus on the correlation between economic added value and traditional index value, and some studies think that the correlation of economic added value is lower than that of traditional index value correlation. There are also studies to support the opposite view. This paper will independently calculate the economic added value and the economic added value momentum of the listed companies according to the guidance of the SASAC to calculate the economic added value of the central enterprises. Then the value correlation of economic value added momentum is studied and compared with that of other indexes. This paper uses a sample of non-financial A-share listed companies in Shanghai and Shenzhen stock markets from 2007 to 2012 to investigate the value dependence of economic value added momentum by combining price model with income model. It is found that the economic value added momentum has positive value correlation with the stock price and stock return, but is weaker than the economic added value per share index. And the economic added value momentum is better than other economic value added indexes in explaining the stock returns, which plays a good role in eliminating the scale effect of economic added value. The innovation and the research value of this paper are different from the existing research based on accounting profit index or total value creation index. This paper studies and analyzes the listed state-owned companies in China from the perspective of value creation efficiency. It provides another angle of view to evaluate the performance of listed companies. It complements the lack of the research on the value correlation of economic value added momentum in China, which is still in the stage of introduction. This paper mainly focuses on the introduction of the economic value added momentum. This paper studies the correlation between the economic added value momentum and the value of listed companies in China.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275;F224

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