基于HLM的我国金融行业股票价值评估研究

发布时间：2018-04-18 15:17

本文选题：股票估值 + HLM多层线性模型　；参考：《首都经济贸易大学》2017年硕士论文

【摘要】：近年来,随着经济的飞速发展和证券市场的日趋成熟,我国上市公司数量剧增,股票发行量和筹资额逐年增加。如何对股票的价值进行准确的评估,是投资者关注的重点,也是上市公司非常关注的问题。随着大数据、云计算等热门技术的兴起,传统金融行业正逐渐创新、不断变革,这使得金融行业上市公司的股票估值也面临新的挑战。股票是当今资本市场最主要的金融工具之一,其估值受宏观市场环境(如经济周期变动、政府宏观经济政策变动)、行业发展状况、企业自身内在因素(如成长性、资产营运能力、公司规模、抗风险能力)等多方面因素的影响。本文在阅读大量国内外文献的基础上,结合我国现有的股票估值理论方法和模型,深入分析传统的股票估值方法在实务中应用时存在的局限性,引入研究嵌套数据的统计分析方法——HLM(Hierarchical Linear Model)多层线性模型,介绍HLM模型的基本原理和应用发展情况,并分析其在股票估值研究的适用性。基于适当的模型假设,如有效市场假说、股价与会计信息指标的相关性等,选取我国金融行业67家上市公司的近5年财务数据,选取适当的财务指标,建立基于HLM的我国金融行业上市公司股票估值模型,对股票价格变动的影响因素进行客观量化的研究,并运用实例进行检验。最后将该模型与运用传统估值方法的结果进行对比,分析其估值差异。
[Abstract]:In recent years, with the rapid development of economy and the maturity of the securities market, the number of listed companies in China has increased dramatically, and the stock issue and the amount of capital raised have increased year by year.How to accurately evaluate the value of stocks is the focus of investors' attention, and it is also a very concerned issue of listed companies.With the rise of big data, cloud computing and other popular technologies, the traditional financial industry is gradually innovating and changing, which makes the stock valuation of listed companies in the financial industry face new challenges.Stock is one of the most important financial instruments in the capital market nowadays, and its valuation is affected by the macroeconomic market environment (such as economic cycle change, government macroeconomic policy change, industry development, internal factors such as growth, etc.)Assets operating ability, company size, risk-resistant ability) and other factors.On the basis of reading a large number of domestic and foreign literatures and combining the existing theoretical methods and models of stock valuation in our country, this paper deeply analyzes the limitations of the traditional stock valuation methods when they are applied in practice.This paper introduces the statistical analysis method of nested data, the HLM hierarchical Linear Model multilayer linear model, introduces the basic principle and application development of HLM model, and analyzes its applicability in stock valuation research.Based on appropriate model assumptions, such as efficient market hypothesis, the correlation between stock price and accounting information index, this paper selects the financial data of 67 listed companies in China's financial industry in recent 5 years, and selects appropriate financial indicators.This paper establishes the stock valuation model of listed companies in financial industry based on HLM, and makes an objective and quantitative study on the influencing factors of stock price changes.Finally, the model is compared with the results of the traditional valuation method to analyze the valuation differences.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.3;F830.42;F832.51

【参考文献】