对转送股以后股票收益变化的研究

发布时间：2019-06-02 10:53

【摘要】：转增和送股是近年来我国证券市场上市公司常用的股票红利分配方式,然而对于转增和送股对上市公司带来的股价收益率影响却是多个方面的。本文选取了2012年6月至2012年12月发生转送股分红的上市公司共计496家,通过数据挖掘的方法分别分析了各种因素对于转送股分红公告日后短期、中期和长期收益率的影响,并运用证券市场上的客观规律来解释数据挖掘方法得到的模型结果。 本文通过logistic回归、分类树和神经网络方法分别对三个时间跨度的收益率类别进行模型拟合,结合实际对得到的模型参数进行解释,并对同一时间跨度的收益率类别所对应的不同模型结果进行比较和评价,从而制定出较为合理的投资策略。通过上述工作,本文得出的结论分为方法和模型结果两个部分。 在方法上,本文通过将数据挖掘得到的模型结果与现实证券市场上的客观规律相对照,认为两者在相当程度上存在对应关系,即通过数据挖掘方法得到的各种因素对于转送股公告日后收益率的影响关系,大多与现实市场上的客观规律相符,因此本文认为通过数据挖掘的方法研究证券市场中的一些现象以获取有价值的信息并将其运用于投资决策的做法是可行并且有意义的。 在模型结果方面,本文得到的关于转送分红公告后收益率变化结论如下： 1.分红公告中存在送股的股票,绝大部分能够在短期、中期和长期都获取正的相对收益率。 2.半年报收益率与收益率有正相关性。 3.市场对于高转增股票所持的态度较为保守。 4.在公布转增和送股信息的公司中,市场对于其市盈率的规模大小有一定的要求,市盈率在特定范围内的股票更有可能获取正的收益。 与其他研究转送股的文献相比,本文的特点在于引进了数据挖掘的方法,并将模型结果与实际规律相结合,制定出较为合理的投资策略和建议。因而,本文的研究工作不仅是数据挖掘方法在研究证券市场的应用方面的一次探索,而且为我国证券市场的投资操作提供了一些有价值的参考。 然而,本文的研究工作仍然有相当大改进和提升空间,首先添加更多的输入变量可以提升数据挖掘模型的预测性能；其次,本文的研究结果并没有能够揭示内幕操作对于收益率的影响作用；最后,研究影响内幕操作对于收益率的即时冲击的因素仍有很多的工作要做。
[Abstract]:In recent years, transfer and share delivery are commonly used stock dividend distribution methods for listed companies in China's securities market. However, there are many aspects of the impact of stock price return on listed companies. In this paper, a total of 496 listed companies with dividends from June 2012 to December 2012 are selected, and the effects of various factors on the short-term, medium-and long-term returns after the announcement are analyzed by means of data mining. The objective laws in the securities market are used to explain the model results obtained by the data mining method. In this paper, logistic regression, classification tree and neural network methods are used to fit the return categories with three time span, and the model parameters are explained in combination with the actual situation. The results of different models corresponding to the return categories with the same time span are compared and evaluated, and a more reasonable investment strategy is worked out. Through the above work, the conclusions of this paper are divided into two parts: method and model results. In terms of method, this paper compares the results of the model obtained by data mining with the objective laws in the real securities market, and holds that there is a corresponding relationship between the two to a certain extent. That is, the influence of various factors obtained by data mining method on the future rate of return of the transfer stock announcement is mostly consistent with the objective law in the real market. Therefore, this paper holds that it is feasible and meaningful to study some phenomena in the securities market by data mining in order to obtain valuable information and apply it to investment decision-making. In terms of the results of the model, the results of this paper are as follows: 1. There are stocks in the dividend announcement, most of which can obtain a positive relative rate of return in the short, medium and long term. two銆，

本文编号：2491039