创业板股票内在价值多元回归模型的研究

发布时间：2018-06-11 17:15

本文选题：多元回归 + 内在价值　；参考：《复旦大学》2013年硕士论文

【摘要】：中国创业板于2009年10月30日推出后,由于创业板公司的估值技术的不完善,公司价值得不到较为准确的估算,因此创业板公司的股票价格一直在大幅波动。后来随着创业板股票估值分析方法和价值判断依据的逐步成熟,创业板的泡沫逐渐消退,板块市盈率也由初始的七十多左右降到目前的三十左右,投资者也逐渐认识到对创业板股票的投资应从技术面投资转到价值面投资,因此建立比较准确的创业板股票内在价值的估值模型成为最近学术界和投资界的热点话题。在目前的学术研究和实际投资策略中,对创业板股票内在价值的评估主要以市盈率估值法、市帐率估值法和市销率估值法等相对估值法为主,该类估值方法操作简单,但估计逻辑相对简单,而且估计方法比较粗糙,估值效果不大理想。随着创业板股票价格不断向价值的回归,有部分学者尝试用传统的净现值法来对创业板股票内在价值进行评估,但由于创业板股票未来收益的极大不确定性,基于未来收益预测的净现值估值法估值效果较差。后来有学者提出用经济增加值法和实物期权法来估算创业板公司的股票价格,但由于公司深度资料的缺失使得估值方法有欠精确。本文尝试用多元回归的方法建立创业板股票内在价值评估模型,从创业板股票的公司治理、股东股本、财务指标、成长指标和创新指标中筛选有效的指标,运用行业不可比调整、正向化处理、异常值调整、无量纲化处理、正态化处理和共线性处理等方法进行数据预处理,然后运用多元分析的方法分别对2009年到2011年的数据进行处理建模,并同时从统计建模层面和实战投资层面检验模型的有效性,试图找出具有稳定的解释力度的指标来解释创业板股票的内在价值,从而为投资者制定相应的投资策略。
[Abstract]:After the launch of the gem on October 30, 2009, because of the imperfection of the valuation technology of the gem, the value of the company can not be estimated accurately, so the stock price of the gem has been fluctuating sharply. Later, with the gradual maturation of the gem stock valuation analysis method and the basis of value judgment, the gem bubble gradually receded, and the price / earnings ratio of the board also dropped from about 70 at the beginning to about 30 at present. Investors have also come to realize that investment in gem stocks should shift from technical to value-oriented investments, Therefore, the establishment of a more accurate valuation model of the intrinsic value of gem stocks has become a hot topic in recent academic and investment circles. The evaluation of the intrinsic value of gem stock is mainly based on the relative valuation method, such as price-earnings ratio valuation method, market book ratio valuation method and market sales rate valuation method. This kind of valuation method is simple to operate, but the estimation logic is relatively simple, and the estimation method is relatively rough. The valuation effect is not so good. With the return of gem stock price to value, some scholars try to use the traditional net present value method to evaluate the inherent value of gem stock. However, due to the great uncertainty of the future income of gem stock, some scholars try to use the traditional net present value method to evaluate the inherent value of gem stock. The net present value (NPV) valuation method based on the forecast of future income is less effective. Later, some scholars proposed to use the economic added value method and the real option method to estimate the stock prices of gem companies. However, due to the lack of depth information, the valuation method is not accurate. This paper attempts to establish the gem stock intrinsic value evaluation model by using multiple regression method, from the gem stock corporate governance, shareholder equity, financial indicators, The growth index and innovation index are used to screen the effective indicators, and the data preprocessing methods such as industry uncomparable adjustment, forward processing, outlier value adjustment, dimensionless processing, normalizing processing and collinear processing are used for data preprocessing. Then the data from 2009 to 2011 are processed and modeled by using the method of multiple analysis, and the validity of the model is tested from the statistical modeling level and the real investment level at the same time. This paper tries to find out the index with stable explanatory force to explain the intrinsic value of gem stock, so as to formulate the corresponding investment strategy for investors.
【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

【参考文献】