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论文编号：	508
作者编号：	2120072029
上传时间：	2009/5/21 21:40:23
中文题目：	中国上市公司财务指标与股票价格
英文题目：	Rearch On the Relativity Betwe
指导老师：	王全喜 教授
中文关键字：	Ohlson模型;财务指标;股票投资价
英文关键字：	Ohlson Model;Financial Index;S
中文摘要：	随着中国证券市场的不断发展，价值投资的理念越来越深入人心。2008年中国股市的大幅下跌使投资者遭受了巨大的损失，与此同时，投资领域又引发了有关中国股票投资价值的一系列争论。 价值投资的核心思想就是对上市公司的股票投资价值进行合理评估来指导投资行为，进而趋向理性投资。影响股价的因素很多，而在分析股价变动的研究中，财务指标由于其实用性一直是人们关注的重点。在同一系统风险水平上，财务指标在很大程度上反映了公司的经营水平和盈利水平，因而直接反映了公司的投资价值。随着Ohlson在20世纪90年代提出的股票投资价值评估理论和模型，将财务指标、会计信息与公司股票投资价值相联系来分析股票价格的方法成为评估股票投资价值的最新趋势。本文以Ohlson模型为基本研究模型，结合了中国B股上市公司1997-2008年的财务指标和股价信息，通过实证研究考察了B股市场上市公司的主要财务指标与股票价格的内在联系和相关程度，验证了Ohlson模型在中国B股市场的适用性。 本文的主要研究内容包括：具体介绍了Ohlson模型的理论体系，包括其假设、模型架构、以及其理论发展过程；结合中国B股市场的特点分析了其在中国市场的适用性；引入B股市场上市公司财务指标和股价信息对Ohlson模型进行了实证检验，并得出了如下结论： 　　1. 中国B股市场上市公司的会计收益和净资产与股价显著正相关； 　　2. 二者对股票价格具有联合解释能力，总体而言，模型的拟合优度保持在比较稳定的水平上，且其水平远低于成熟市场模型的解释能力。 　　3. 净资产的增量解释力和会计收益的增量解释力呈反方向发展趋势，即会计收益增量解释力增强的阶段是净资产增量解释力减弱的阶段，反之亦然。
英文摘要：	The theory of value investment has been deeply planted in Chinese investors’ mind due to the development of Chinese stock market. The sharply decline from the top of 2008 has made a huge lost for many investors. At the same time, a new round of discussion of whether there is an effective method we could use to value the Chinese stock market has been warming up. The core idea of the value investment theory is to estimate the true value of the stock to guide for the investment activities as well as to do rational decision makings. There are a lot of factors which could work on with the stock price, however, the financial index has always been focused on for this aspect due to its practicability. On the same level of system risk, the financial indexes reflect the company’s management and profit effect, so they are also accentuate the company’s value for investment. Ohlson has brought his logic model to connect the value of the company with its financial outcomes in 1990s which also start a new period of research method, that is, to use the accounting income instead of the stock dividend to estimate the stock value. The theory now has become a new trend to research for the value of the investment. The innovation of this paper is on the revision of Ohlson model and using the latest data of 1997-2008 to examine the effect of the model in Chinese stock market. This paper uses the basic Ohlson model instead of F-O model due to the late development of Chinese stock market which is still different from the markets of western countries. The innovation of this paper is that it uses the data of B stock market of China instead of A market which is always seen in the researches of such subjects. Besides, the model of the Ohlson’s theory has already been changed according to China’s unique situation and may have some suggestions to the researches in the future. This paper will discuss several parts including the particularly introduction of the Ohlson model and its applicability in Chinese stock B market; using the tool of SPSS to analyze the financial factors of earning per share and net asset per share which determine the level of the stock price with the price data of B market from 1997 to 2008 and has come to the conclusions as follow: 1. The earning per share and net asset per share has an evidently positive effect to the stock price; 2. The two financial indexes have a strong explanation connection with the model together and maintain in a stable level during 11years, however, the level is much lower than it in the western countries which have a mature capital market; 3. The increment abilities of the two financial indexes have contrary trend of each other, that is to say, when one index’s regression R2 of the model come to a raise trend, the other go to a decline direction.
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