A股市场价值投资实证检验及影响上市公司股价的财务因素分析

发布时间：2018-02-17 04:22

本文关键词： 价值投资内在价值安全边际长期投资多元线性回归分析　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：A股市场作为我国最重要的资本市场,经过多年的发展,规模不断扩大,规则日益完善,在优化资源配置,促进实体经济发展方面起到了重要作用。在投资理念上,价值投资日益深入人心。本文尝试从理论和实证分析两方面来研究A股市场价值投资的适用性及相关影响因素。本文首先对有关投资概念和投资理念的变迁做了简单的介绍,接着对价值投资之父本杰明.格雷厄姆的主要思想进行了简介,着重介绍了格雷厄姆针对不同类型的投资者所提出的四种不同的选股标准。接下来针对这四种不同的标准在A股市场的短期和长期表现进行了实证检验,证明了运用格雷厄姆价值投资理念在A股市场进行长期投资是能够获得不错的超额收益的。在此基础上,作者尝试通过多年大样本数据的多元线性回归分析,对影响A股上市公司股价表现的财务因素进行了研究,结果表明对于全部A股样本,价值投资的指标有着比较强的解释能力,但还不够稳定,有的指标在某些年份甚至成为价值的反向指标,说明我国证券市场价值投资理念整体上还不够成熟和科学,单一的价值指标不足以作为选股标准,必须通过多重标准进行筛选。在时间序列上,我们也看到随着A股市场的不断完善和发展,对股价有解释能力的价值指标越来越多,解释能力也在逐渐增强,这也表明A股市场在不断地成熟完善之中,投资价值不断凸显,未来价值投资理念必将发挥越来越重要的作用。
[Abstract]:As the most important capital market in China, the A-share market has played an important role in optimizing the allocation of resources and promoting the development of the real economy. Value investment is becoming more and more popular. This paper attempts to study the applicability and related factors of value investment in A share market from two aspects: theoretical and empirical analysis. This paper first introduces the concept of investment and the change of investment concept, and then introduces the main ideas of Benjamin Graham, the father of value investment. This paper mainly introduces four different stock selection standards put forward by Graham for different types of investors, and then makes an empirical test on the short- and long-term performance of these four standards in the A-share market. It is proved that it is possible to obtain good excess returns by using Graham's value investment concept in A share market. On this basis, the author attempts to use multiple linear regression analysis of large sample data for many years. The financial factors affecting the performance of A-share listed companies are studied. The results show that the index of value investment has strong explanatory power for all A-share samples, but it is not stable enough. Some indicators have even become the reverse index of value in some years, which shows that the concept of value investment in China's securities market is not mature and scientific as a whole, and a single value index is not enough to be used as a stock selection standard. We must screen through multiple criteria. In time series, we also see that with the constant improvement and development of the A-share market, there are more and more value indicators that can explain the stock price, and the explanatory power is gradually increasing. This also indicates that the A-share market is constantly maturing and perfecting, the investment value is constantly prominent, and the concept of value investment in the future will play an increasingly important role.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275

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