中国股市市盈率影响因素的实证研究

发布时间：2018-01-14 22:16

本文关键词：中国股市市盈率影响因素的实证研究　出处：《哈尔滨工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：市盈率涵盖了股票投资最主要的两个因素：股价和收益，而且其计算简单，是投资者在投资决策时进行价值判断的重要指标之一。本文考虑到市盈率不是孤立指标，深入研究了市盈率主要的影响因素及各因素对市盈率的影响关系。本文从经典的股票定价模型出发，结合前人已有的研究结果，得到影响市盈率的10个主要因素分别为贝塔系数、主营业务收入增长率、净资产收益率、流动比率、资产负债率、流通市值、换手率、行业市盈率、初始市盈率和股利发放率。并利用沪深300指数股为样本，通过描述性统计分析，相关性分析及多元回归分析等方法对市盈率的影响因素进行实证研究。通过从整体和行业的角度建立市盈率与其相关影响因素的回归模型，，得到一些结论：市盈率与贝塔系数、主营业务收入增长率和净资产收益率大体呈负相关关系；与资产负债率、流动比率、换手率、行业市盈率、初始市盈率呈正相关，与流通市值和股利发放率的关系不能确定。除此之外，从拟合系数和检验结果看，发现分行业建立的回归模型都要比整体回归模型好，说明投资者在对公司市盈率进行预测时，深入到行业的角度的去考虑是十分必要的。
[Abstract]:The price-earnings ratio covers two of the most important factors in stock investment: stock prices and earnings, and their calculations are simple. Considering that the price / earnings ratio is not an isolated index, this paper makes a thorough study of the main influencing factors of the price / earnings ratio and the relationship between the various factors on the price / earnings ratio. Based on the classical stock pricing model and previous research results, this paper obtains the 10 main factors that affect the price-earnings ratio are Beta coefficient, main business revenue growth rate and net asset return. Current ratio, asset-liability ratio, current market value, turnover ratio, industry price-earnings ratio, initial price-earnings ratio and dividend issuance ratio. Correlation analysis and multiple regression analysis are used to study the influencing factors of P / E ratio. The regression model of P / E ratio and its related factors is established from the perspective of the whole and the industry. Some conclusions are drawn: there is a negative correlation between P / E ratio and beta coefficient, growth rate of main business income and return on net assets; It has a positive correlation with asset-liability ratio, current ratio, turnover ratio, industry price-earnings ratio, initial price-earnings ratio, and the relationship with circulation market value and dividend distribution ratio. In addition, from the fitting coefficient and test results. It is found that the regression model established by industry is better than the whole regression model, which shows that it is necessary for investors to go deep into the perspective of industry when forecasting the company's P / E ratio.
【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】：2014
【分类号】：F832.51;F224

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