中小板上市公司内在价值与基本面因素的实证研究

发布时间：2018-01-20 13:41

本文关键词： 中小板内在价值基本面因素估值模型逐步回归　出处：《上海社会科学院》2017年硕士论文　论文类型：学位论文

【摘要】：近年来,随着我国资本市场监管趋严以及投资者专业素养的不断提升,我国股市正朝着更加完善的方向发展。然而,2015年股市的剧烈波动反映出我国资本市场上仍存在较大的投机现象,引发了学术界对于价值投资理念的探讨。价值投资理念认为股票价格是围绕内在价值上下波动的,价值投资理念的实施前提是通过合理的价值评估方法确立上市公司的内在价值,因此,上市公司内在价值评估对投资策略选择及我国证券市场的发展具有重要的现实意义。2004年5月,深圳证券交易所在主板市场内设立中小企业板块。时至今日,中小板市场已经发展了 13年之久,上市公司数量由最初的38家增加到812家,市值总额也由413亿元增加到98825亿元。近年来,随着我国大力推进多层次资本市场的建设,中小板市场展现出越来越蓬勃的生命力。在上述背景下,本文选取2015年12月31日前上市的762家中小板上市公司作为研究对象,尝试将基本面因素估值模型的思想应用到中小板市场中来。本文采用实证研究的方法,选取的数据区间为2013-2016年,研究期间涵盖了一次完整的周期性波动,既包括股市平稳期的又包括股市波动期。本文首先对国内外股价影响因素文献及股票估值方法文献进行系统性梳理,筛选出包含公司和股本指标、股本扩张能力、盈利能力、营运能力、偿债能力、现金流量、收益质量、成长能力、创新能力以及Z值预警指标在内的10大类共34个基本面因素指标;其次,以股价作为被解释变量,以各基本面因素指标作为解释变量,采用定性分析和定量分析相结合的研究方法,分别对2013-2014年、2014-2015年以及2015-2016年股价与基本面因素数据做预处理、相关性分析、统计性检验、简单多元回归分析以及逐步回归分析,考察各基本面因素对内在价值的影响程度、影响方向及产生影响的原因,并尝试构建出中小板上市公司基本面因素估值模型;最后,本文根据基本面因素估值模型的估值结果,将样本公司分为高估组与低估组,考察高估组与低估组在未来30个交易日内股价涨跌情况,以验证模型的有效性和实践意义,为上市公司内在价值评估提供一种思路,也为证券市场投资策略的选择提供一种思路。
[Abstract]:In recent years, with the strict supervision of China's capital market and the continuous improvement of investor professionalism, China's stock market is moving towards a more perfect direction. In 2015, the sharp fluctuation of the stock market reflected that there is still a large speculative phenomenon in the capital market of our country. It leads to the discussion of the concept of value investment, which holds that the stock price fluctuates around the intrinsic value. The premise of the implementation of the concept of value investment is to establish the intrinsic value of listed companies through a reasonable method of value evaluation. The intrinsic value evaluation of listed companies is of great practical significance to the choice of investment strategy and the development of China's securities market. May 2004. The Shenzhen Stock Exchange set up small and medium-sized enterprises in the main board market. Up to now, the small and medium-sized board market has been developed for 13 years, the number of listed companies has increased from 38 to 812. Market value total from 41.3 billion yuan to nine tillion eight hundred and eighty-two billion five hundred million yuan. In recent years, with China's efforts to promote the construction of multi-level capital market, the small and medium-sized board market has shown more and more vigorous vitality. This paper selects 762 small and medium-sized board listed companies listed before December 31st 2015 as the research object. This paper attempts to apply the idea of the fundamental factor valuation model to the small and medium-sized board market. This paper adopts the method of empirical research and selects the data interval for 2013-2016. The study covers a complete period of cyclical volatility, including both the stable period of stock market and the period of volatility of stock market. Firstly, this paper systematically combs the literature on the influencing factors of stock price at home and abroad and the literature on stock valuation methods. Screening includes company and equity indicators, equity expansion capacity, profitability, operating capacity, solvency, cash flow, yield quality, growth capacity. There are 34 basic factor indexes in 10 categories, including innovation ability and Z-value early warning index. Secondly, the stock price is taken as the explanatory variable, and the basic factor index is taken as the explanatory variable. The qualitative analysis and quantitative analysis are used to analyze the relationship between 2013 and 2014. Pretreatment, correlation analysis, statistical test, simple multiple regression analysis and stepwise regression analysis of stock price and fundamental factors data for 2014-2015 and 2015-2016. To investigate the influence degree, direction and cause of each fundamental factor on the intrinsic value, and try to construct the valuation model of the fundamental factor of the small and medium-sized board listed company; Finally, according to the valuation results of the fundamental factor valuation model, the sample companies are divided into overvalued group and undervalued group, the overvalued group and the undervalued group in the next 30 trading days. In order to verify the validity and practical significance of the model, this paper provides a way to evaluate the internal value of listed companies, and also provides a way of thinking for the choice of investment strategies in the securities market.
【学位授予单位】：上海社会科学院
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F275

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