【作者】 余峰；

【导师】 田益祥；

【作者基本信息】 电子科技大学 ， 管理科学与工程， 2011， 博士

【摘要】 自Michael Jensen提出自由现金流量以来,各国学者对此进行了深入而广泛的研究。自由现金流量理论也运用于各个领域。所以,对自由现金流量理论在证券投资领域中的应用研究具有重要的实践意义和现实意义。20世纪90年代,Kennith Hankel和Yossi Lifant指出自由现金流分析是投资者进行投资的最重要分析工具,基于自由现金流进行投资组合能够获得超额回报。但他们的研究是建立在美国会计准则体系下的证券投资市场,而我国的证券市场具有特殊的背景,因此不一定符合我国的证券投资市场情况。因此有必要研究自由现金流量理论在我国证券投资市场中的有效性和适用性,为我国机构投资者和个人投资者从事证券分析和证券投资提供有益的参考。本文基于自由现金流量理论,以我国证券市场为研究对象,首先讨论了基于自由流量的公司价值评估方法,并以五粮液股份有限公司为例,进行了案例分析。然后通过价值评估方法筛选出好公司的股票构建投资组合,实证分析了基于自由现金流量的证券投资组合的投资效果。最后通过对公司自由现金流量的分析和计算,构造了基于自由现金流量的证券投资策略,对我国证券市场进行了动态实证分析,并对持有股票是否能获得超额收益率进行了个股和整体的显著性检验。首先,本文详细地介绍了自由现金流量理论,对自由现金流量理论中的相关概念进行了梳理。深入地分析了自由现金流量的定义及其计算与调整方法,最后分析了提出自由现金流量在我国会计实务和证券投资领域中的现实意义。其次,本文结合公司的基本面,以财务报表的调整为基础,从基本的财务资料出发,在考虑企业经营环境和行业动态的影响下,通过对公司自由现金流量的分析和计算,提出了以自由现金流量为基础来评价公司价值的方法。然后以五粮液股份有限公司为分析对象,进行案例分析。通过案例分析表明,基于自由现金流量的公司价值分析方法能够有效地评估我国上市公司价值的大小和业绩的好坏。运用这种方法筛选出来的公司股票为后文构建投资组合和投资策略打下了基础。再次,本文在获得公司自由现金流量的基础上,通过引入自由现金流量乘数(FCF Multiplier)和自由现金流量负债比(FCF Debt Ratio),结合经营现金流量(Operating Cash Flow)、市盈率(Price to Earning Ratio, P/E)和低财务杠杆(Low Financial Lever)指标,构造了基于自由现金流量的证券投资组合(Securities Portfolio Investment),对我国证券市场做出实证分析。同时对比其他投资策略的实际效果,证明了基于自由现金流量的投资策略所具有的优越性,同时证实了我国证券市场存在着低市盈率和低自由现金流量乘数的效应,并通过引入自由现金流量乘数和基于自由现金流量的公司价值评估,可以较好地改善证券投资组合的收益率。最后,本文以财务报表的调整为基础,从基本的财务数据出发,通过对公司自由现金流量的分析和计算,提出了基于自由现金流量的证券投资策略,对我国证券市场进行了动态实证分析。通过构造投资策略的筛选准则,筛选出自由现金流丰裕的上市公司股票,计算出投资组合结果,表明除了2006年,我们所筛选出的公司股票平均回报率略低于市场平均水平的回报率外,其余各年的个股平均回报率都超过了A股市场回报率。然后对持有股票是否具有超额收益率进行个股和整体的显著性检验。通过个股超额收益率的显著性检验,发现除了2006年持有的股票的年个股平均回报率与A股市场回报率无显著性差异以外,其他各年持有的股票的年个股平均回报率是高于A股市场回报率的,即存在超额收益率,并存在显著性差异;通过对所有筛选出来的股票超额收益率做整体显著性检验,结果表明,入选投资策略的股票具有超额收益率的检验结果是显著的,即自由现金流量投资策略具有超额收益率,能够取得比市场回报更好的收益率。说明基于稳定的自由现金流量、低财务杠杆、低自由现金流量乘数和参考公司价值评估的投资策略能获得高于市场平均水平的回报率。动态实证分析的结果表明,基于自由现金流量的证券投资策略显著性地高于市场的收益率。因此,证明了基于自由现金流量构造的投资策略具有良好的投资效果,从而证明基于自由现金流量的投资策略在发掘价值被低估股票方面的优越性。更多还原

【Abstract】 Since the free cash flow has been proposed by Michael Jensen, scholars from various countries have conducted deep and extensive research. Free cash flow theory is used in various fields, so the applied research of free cash flow theory on investment in securities has important practical significance and reality significance. In 20th century 90s, Kennith Hankel and Yossi Lifant pointed out that free cash flow analysis is the most important analytical tools for portfolio, and investors’investment based on free cash flow can obtain excess returns. But their study is based on the securities investment market under U.S. accounting standards system, while China’s securities market has a special background, so it may not comply with China’s securities investment market conditions. Therefore, free cash flow is necessary to be studied in our securities market, and study the validity and applicability of the theory. This can provide a useful reference for our institutional investors and individual investors in securities analysis and portfolio investment.Based on free cash flow theory, to Chinese securities market as the research object, first of all, this paper discusses the company valuation method based on the free flow, and conducts a case study, using Wuliangye Co., Ltd. as an example.Then, through the valuation methods, this paper selectes the good company stock, constructes portfolio, and empirically analyzes the investment effect of the portfolio based on the free cash flow. Finally, through analysis and calculations of the company’s free cash flow, this paper constructes securities investment strategy based on free cash flow, empirically analyzes stock markets in China, and makes a significance test on the excess rate of return of holding the stock. This paper also conductes an overall significance test.Firstly, this paper introduces the theory of free cash flow, sorting out the related concepts of free cash flow theory, analyzes the definition of free cash flow and its methods of calculation and adjustments deeply, finally analyzes the practical significance of proposing free cash flow in our accounting practices and securities investment field. Secondly, combining corporation’s fundamentals, on the basis of financial statements’adjustment, according to basic financial data, in consideration to the influence of the business environment and the industry trend, this paper puts forward a free cash flow-based method to evaluate the value of the company through analysis and calculation of free cash flow. Then take the Wuliangye Co., Ltd as an analyzing object to study the case. The case studies show that the value of the company free cash flow method can effectively assess the value of Chinese listed companies’size and performance. This paper uses this method to screen out stocks that build the foundation for the portfolio and investment strategy.Thirdly,by introducing free cash flow Multiplier, free cash flow debt ratio, and integrating operating cash flow, market surplus ratio, market net ratio, low financial lever, the author constructed the securities portfolio investment of correlation index. The content validates that stock market have a effect on low market surplus ration, low market net ratio and low free cash flows multiplier. The yield ratio of portfolio investment can evidently improved by introducing free cash flows multiplier to compare with index.Finally, on the basis of financial statements’adjustment, starting from the basic financial data, through analysis and calculation of the company’s free cash flow, this paper proposes securities investment strategy which is on the basis of the amount of free cash flow, and dynamically empirically analyzes Chinese securities market. By constructing the selection criteria for investment strategy to select the listed companies with abundant free cash flow, calculating the portfolio results, this paper shows that in addition to 2006, the stock’s average return that we selected is slightly lower than the market’s average return, the average return is lareger than A-share market return in the remaining years. Then we do individual stock and overall significant test to know whether it has excess return. Through significant test of stock’s excess return, we find that in addition to 2006, average return of the shares we held is no significant differences with the A-share market returns, and in other years, average return is higher than the A-share market returns. That is to say, there is excess returns, and there is significant difference. Through doing the overall significance test of all the selected stock’s excess returns, the results show that the excess return of the selected stock by investment strategy are significant, that is, investment strategies of free cash flow have abnormal return and can gain better returns than the market return. This explains that investment strategy which based on stable free cash flow, low leverage and low free cash flow multiples and the reference of company value will gain higher return than the average market return. The results of the dynamic analysis show that the free cash flow of portfolio investment strategy is significantly higher than the market return. Therefore, this proves the investment strategy which is constructed based on free cash flow has good investment effects, and proves that the investment strategy based on free cash flow has superiority in terms of identify undervalued stocks.更多还原