私募股权投资项目绩效研究

发布时间：2018-06-04 15:24

本文选题：私募股权 + 投资项目　；参考：《河北工业大学》2014年硕士论文

【摘要】：近十年来，私募股权在中国从不为人知的资本游戏逐渐变为人人都想插上一手的商业模式。由于私募股权具有责任明确、税收优惠等特点，在中国近几年的商业模式中最为璀璨夺目。它是一种引导社会资源优化配置的、倡导有钱出钱有力出力的合作模式，并且能够促进社会提高效率和实现公平。在我国，对私募股权各方面展开的研究尚且不足，特别是该种投资方式绩效评价方面的研究。而这一问题却恰恰对投融资双方的决策行为具有重大的指导意义。为了给投资融资双方的项目选择予以对比标准，让其将资本发挥最大作用，因此本文的研究对象选定为私募股权投资项目绩效。本文用2000年～2010年经CVSource收录的1371个退出项目数据作为基础数据，，将其按照退出时间分为24组时间序列，汇总每组的账面收益率、内部收益率、累计投资金额。然后运用统计学中的多元回归、时间序列分解、自回归移动平均这三大方法构建模型，对私募股权投资项目绩效进行了系统的分析。论文分为五个部分。第一章绪论，对本文研究背景及意义、研究现状、研究内容和方法、创新点等进行阐述。第二章私募股权投资理论基础，对私募股权投资基本定义、私募股权资本的分类、私募股权的主要特点、私募股权市场结构与投资流程等相关理论进行了概述。第三章私募股权投资项目绩效分析，分为私募股权投资项目绩效微观决定因素、私募股权投资项目绩效宏观决定因素、绩效衡量指标选择三部分。第四章私募股权投资项目绩效实证研究，先结合上章分析得出研究假设，再分别运用多元回归模型、时间序列分解模型、自回归移动平均模型从影响因素、波动周期、自相关三方面对数据进行分析，并得出结论。第五章结论与展望，对全文的研究内容行总结，分析进一步的研究方向。本文研究得出的主要结论有：私募股权投资项目的内部收益率整体趋势是逐年略微下降，平均每半年降低3.36个百分点；私募股权投资项目的内部收益率波动周期为五年半，在这11个半年之中共有7次下降4次回升；某时间段(半年)私募股权投资项目退出的内部收益率与半年前的内部收益率正相关，与一年前内部收益率负相关；私募股权投资项目退出的内部收益率与同期人均国内生产总值指数、货币准货币供应量同比增长率、投资周期、投资金额负相关，与上证收盘指数和IPO退出概率的乘积正相关。
[Abstract]:Over the past decade, private equity in China has gone from an unknown capital game to a business model where everyone wants to get a hand in it. Private equity is the most brilliant business model in China in recent years because of its clear responsibility and preferential tax. It is a kind of guiding social resources optimal allocation, advocates the cooperation mode which has the money and the strength, and can promote the society to improve the efficiency and realize the fairness. In our country, the research on various aspects of private equity is still insufficient, especially the performance evaluation of this kind of investment. However, this problem is of great significance to the decision-making behavior of both parties. In order to compare the project selection between the two parties and make the capital play the most important role, the research object of this paper is the private equity investment project performance. Based on the data of 1371 exit items collected by CVSource from 2000 to 2010, this paper divides them into 24 groups of time series according to the withdrawal time, and summarizes the book return rate, internal rate of return and accumulated investment amount of each group. Then we use the methods of multivariate regression, time series decomposition and autoregressive moving average to construct the model and analyze the performance of private equity investment projects systematically. The paper is divided into five parts. The first chapter introduces the background and significance of this study, research status, research content and methods, innovation points. The second chapter is the theoretical basis of private equity investment, the basic definition of private equity investment, the classification of private equity capital, the main characteristics of private equity, the structure of private equity market and investment process. The third chapter is the performance analysis of private equity investment projects, which is divided into three parts: micro determinants of private equity investment performance, macro determinants of private equity investment performance and selection of performance measurement indicators. Chapter 4 empirical study of private equity investment project performance, combining with the previous chapter analysis to obtain the research hypothesis, then use multiple regression model, time series decomposition model, autoregressive moving average model from the impact factors, volatility period. The data are analyzed from three aspects of autocorrelation, and the conclusion is drawn. Chapter 5: conclusion and prospect, summarize the research content of this paper, and analyze the further research direction. The main conclusions of this paper are as follows: the overall trend of the internal yield of private equity investment projects is a slight decline year by year, the average is 3.36 percentage points lower every six months, the fluctuation cycle of private equity investment projects' internal returns is five and a half years. In the 11 six months, there are 7 times of decline and 4 times of recovery. The internal rate of return of private equity investment project exit in a certain period (half a year) is positively correlated with the internal rate of return half a year ago, and negatively correlated with the internal rate of return one year ago. The internal yield of private equity project exit is negatively correlated with GDP per capita, money supply growth rate, investment cycle, investment amount, and the product of Shanghai closing index and IPO exit probability.
【学位授予单位】：河北工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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