基于区域经济视角的剩余收益模型实证研究

发布时间：2018-02-25 03:21

本文关键词： 企业价值评估剩余收益模型其他信息区域经济因素　出处：《华侨大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着市场经济的发展，证券规模的扩大，投资者队伍也不断壮大。股票投资虽然高收益，但也高风险，如果能较为准确地进行投资分析，预测出股票的价格趋势和价值发现，就很可能是股票市场投资成功关键的一步。权益估值研究有利于减小股票市场的波动，降低金融市场的风险，众多的研究学者已研究证明剩余收益模型比其他模型对股票价格有更好的解释能力。基于以上考虑，本文选择了剩余收益模型作为研究对象。但是，剩余收益模型中的其他信息仍然是模型当前研究的难题之一，Ohlson（1995）剩余收益模型中也没有说明其他信息的具体度量方法，很多后来学者在对剩余收益模型进行研究时，都直接忽略掉这一项。其他信息到底是哪些信息，又会对模型产生怎样的影响，研究剩余收益模型时考虑其他信息的研究方法目前在国内尚不多见。本文从一个新的视角区域经济信息，寻找区域经济指标来度量其他信息，在已有研究的基础之上，用不同的区域经济指标分别替代模型中的其他信息，考察考虑其他信息后是否能够提高模型对股票价格的解释能力。以我国2009-2011年沪深两市主板A股上市公司为研究样本，，首先建立股票价格对每股净资产、每股剩余收益的回归模型，然后，当考虑其他信息时，用不同的区域经济指标代替其他信息变量，建立股票价格对每股净资产、每股剩余收益和区域经济指标的回归模型，并将前后模型的回归结果进行对比，考察不同的区域经济因素可能对股票价格存在的影响。从实证结果来看，考虑其他信息后的模型对股票价格的解释能力却有提高，这说明剩余收益模型中其他信息的影响力是存在的，将其他信息忽略掉是不合适的。
[Abstract]:With the development of market economy and the expansion of the scale of securities, the group of investors is also growing. Although the stock investment is of high yield, it is also high risk. If we can accurately analyze the investment, we can predict the price trend and value of the stock. This is likely to be a key step in the success of investment in the stock market. Research on equity valuation is conducive to reducing volatility in the stock market and reducing risks in the financial market. Many researchers have proved that the residual return model has better explanation ability to the stock price than other models. Based on the above considerations, this paper chooses the residual return model as the research object. The other information in the residual income model is still one of the difficult problems in the current study of the model. (Ohlsonian 1995) there is also no specific measurement method for other information in the residual income model. Many scholars later studied the residual income model. What kind of information is the other information, and what kind of influence it will have on the model, the research method of considering other information when studying the residual income model is still rare in our country at present. From a new perspective of regional economic information, this paper looks for regional economic indicators to measure other information, on the basis of existing research, using different regional economic indicators to replace other information in the model. Considering other information, this paper investigates whether the model can improve the ability of explaining the stock price. Taking the A-share listed companies on the main board of Shanghai and Shenzhen stock markets in 2009-2011 as the research sample, the paper first establishes the stock price to net assets per share. Then, when other information is considered, the regression model of stock price to net assets per share, residual earnings per share and regional economic indicators is established by using different regional economic indicators instead of other information variables. By comparing the regression results of the models before and after, the paper investigates the possible influence of different regional economic factors on stock prices. From the empirical results, the explanatory power of the models considering other information to the stock prices is improved. This indicates that the influence of other information in the residual income model exists and it is inappropriate to ignore other information.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51

【参考文献】