财务风险对股票价格影响的实证研究

发布时间：2018-01-12 17:43

本文关键词：财务风险对股票价格影响的实证研究　出处：《西安工程大学》2013年硕士论文　论文类型：学位论文

【摘要】：近年来，我国的股票市场受到越来越多投资者的青睐，不论是市场规模还是市场地位都得到极大提升。但是，随着我国股票市场的不断发展，其自身仍存在较大的波动和风险，上市公司的股票价格仍无法完全反映出公司的生产经营状况和财务状况。而上市公司股票价格的变动会给投资者和公司本身带来较大的影响，所以，研究公司股票价格究竟受哪方面财务风险的影响是十分必要的。本文从财务风险对公司股票价格影响的两个方面：内部影响因素和外部影响因素入手，先进行定性分析，然后在此基础上采用定量分析的方法，分析出公司主要面临哪些财务风险。同时，分析在不同来源财务风险的影响下，公司应采取哪些相应措施稳定并提升股票价格；投资者是否应该进行股票投资；进行股票投资前，应该关注哪些影响公司股票价格的因素；这些因素是否可控，投资者能否获得预期收益。本文首先总结了前人对财务风险与股票价格之间关系的研究，在此基础上，阐述了学者们对广义财务风险的界定；其次进行了财务风险对股票价格影响的理论分析和经验分析，并基于此提出本文的研究假设；再次选取2009-2012年间在上证A股市场中交易的上市公司为研究对象，采用SPSS17.0分析软件进行实证分析，指标筛选后的样本共计556家。在实证研究中，本文将分析时确定的财务风险对股票价格影响的内外部因素分别采取不同的方法进行衡量。对于外部影响因素，本文采取相关性分析的方法，确定外部影响因素与股票价格之间的关系；对于内部影响因素，本文先通过因子分析将25项公司指标进行处理，通过筛选后，将11项指标综合成4个公共因子。再将得出的4个公共因子和其余14项指标代入多元线性回归方程进行回归分析，通过筛选和检验，最终得出影响股票价格的指标；最后，本文得出研究结论，并在研究结论的基础上，分别从投资者、公司自身、监管者角度提出建议。本文的研究结论是：通过相关性分析研究结果来看，上证A股指数与企业家信心指数、汇率呈较高的正相关关系。分析多元线性回归结果可以看出，从长期来说财务风险对股票价格的内部影响因素为每股经营活动现金净流量、前十大股东持股比例、国有股持股比例、总资产周转率、短期偿债因子F1、盈利因子F2、长期偿债因子F3、股东获利因子F4。总体来看：上市公司股票价格受公司偿债能力的影响并不大，不论是长期偿债能力还是短期偿债能力；上市公司股票价格受公司盈利能力和股东获利能力指标影响较大；上市公司股票价格受到营运能力和每股经营活动现金净流量的影响，然而，公司现金充足与否对股票价格的影响不大。财务风险内、外部因素对股票价格均是存在影响的，财务风险内部因素对股票价格变动的解释程度只有50%以上，，说明外部因素也发挥了很大作用。
[Abstract]:In recent years, the stock market of our country is favored by more and more investors, whether the market scale or the market position has been greatly improved. However, with the continuous development of the stock market in China. There are still large fluctuations and risks. The stock price of the listed company still can not fully reflect the production and operation of the company and the financial situation. However, the change of the stock price of the listed company will have a great impact on the investors and the company itself, so. It is necessary to study which aspects of financial risk affect the stock price of the company. This article from the financial risk to the company stock price influence two aspects: the internal influence factor and the external influence factor, first carries on the qualitative analysis, then uses the quantitative analysis method in this foundation. At the same time, under the influence of different sources of financial risks, the company should take the corresponding measures to stabilize and raise the stock price; Whether investors should invest in stocks; Before investing in stocks, we should pay attention to the factors that affect the company's stock price; Whether these factors are controllable and whether investors can get expected returns. Firstly, this paper summarizes the previous researches on the relationship between financial risk and stock price, and then expounds the definition of generalized financial risk by scholars. Secondly, the theoretical analysis and empirical analysis of the influence of financial risk on stock price are carried out, and based on this, the research hypotheses of this paper are put forward. Thirdly, the listed companies traded in the A-share market of Shanghai Stock Exchange from 2009-2012 are selected as the research objects, and the empirical analysis is carried out by using the SPSS17.0 analysis software. A total of 556 samples were selected. This paper will determine the financial risk of the stock price impact of internal and external factors are measured by different methods. For external factors, this paper adopts the method of correlation analysis. Determine the relationship between external factors and stock prices; For internal factors, this paper first through factor analysis to deal with 25 corporate indicators, after screening. The 11 indexes were synthesized into 4 common factors, and the 4 common factors and the other 14 indexes were added to the multivariate linear regression equation for regression analysis. Finally, the index that affects the stock price is obtained. Finally, this paper draws a conclusion, and on the basis of the conclusions, respectively from the investors, the company itself, the perspective of regulators. The conclusion of this paper is: according to the results of correlation analysis, there is a high positive correlation between Shanghai Stock Exchange A-share Index and entrepreneur confidence index, exchange rate, and the result of multiple linear regression can be seen. In the long run, the internal influencing factors of financial risk to the stock price are net cash flow per share, the proportion of the top ten shareholders, the proportion of state-owned shares, the total asset turnover, and the short-term debt repayment factor F1. Profit factor F2, long-term solvency factor F3, shareholder profit factor F4. in general, the stock price of listed companies is not greatly affected by the company's solvency, whether long-term or short-term solvency; The stock price of listed companies is greatly affected by the profitability of the company and the profitability of shareholders. The stock price of the listed company is affected by the operating ability and the net cash flow per share. However, the cash adequacy of the company has little effect on the stock price. The external factors have an influence on the stock price, and the internal factors of financial risk explain the stock price change only more than 50%, which indicates that the external factors also play a great role.
【学位授予单位】：西安工程大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275

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