【作者】 李训；

【导师】 曹国华；

【作者基本信息】 重庆大学 ， 工商管理， 2003， 硕士

【摘要】 随着我国证券市场的不断发展和日益规范，影响证券投资者行为和股票收益的因素也不断变化和日趋复杂，正确认识我国证券市场的运行特征和股票收益的影响因素，对于建立健全证券市场运行机制、提高上市公司的自身品质以及提高投资者的投资决策水平将提供可靠的依据和科学的指导，对于促进证券市场合理配置资源具有深远的意义。 本文对影响股票收益的因素从多个层面进行理论分析，总结了国内外关于投资分析的研究方法、研究模型及研究现状。在此基础上，主要从微观层面对可能影响我国上市公司股票收益率的因素进行了实证研究。实证分析选取的20个因素中，既有国内外普遍关注的一些影响因素，又有目前实证研究中极少考虑到的一些因素。这20个因素包括了反映市场因素的β值和反映上市公司经营状况的盈利能力、资产负债管理能力、偿债能力、现金流量能力、成长能力等方面的财务指标。实证研究采用多因素模型的理论框架，结合横截面回归方法和计量经济学检验手段，对2001年6月1日-2002年5月31日我国沪深两证券市场共计157家上市公司分行业进行了分析。 经过详细的实证研究，发现除个别行业外，β值是股票收益率的最主要的显著影响因素，且两者之间呈线性负相关，而两者之间呈线性负相关这一实证结果明显与传统的理论假设相违背。在对β值进一步的实证研究表明其极不稳定，其长期预测股票收益率的能力很差。研究还发现，不同行业股票收益率的影响因素有很大区别，说明行业因素也是股票收益率很重要的影响因素。 分析还表明，当证券市场股票价格处于下降通道中，财务指标对股票收益率基本不产生影响，这也说明我国证券市场总体上存在一定程度的“羊群行为”，但在个别行业显著影响因素中出现了财务信息综合性较强的指标，在某种意义上，又表明投资者已开始综合利用财务信息。更多还原

【Abstract】 With the development and regulation of China’s stock market, the factors which influence investor’s behaviors and stock returns have become more and more complicated. To get a thorough understanding of these factors and the characters of our market will have a far-reaching significance in establishing a healthy running mechanism, improving the quality of listed companies and providing investors with reliable information and scientific guidance.The paper theoretically analyzes the factors influencing stock returns from different aspects. On the basis of that, we have an empirical research on the possible factors which may influence stock returns of the our listed companies. From a micro aspect, we choose 20 factors which contain not only those widely focused from domestic and abroad, but those rarely considered in present empirical research. These 20 factors include β that can reflect the market, and financial indicators that reflect the managing status of the listed companies, such as balance-managing ability, liquidating ability, cash flow and potentiality of growth, ect. Our research uses multifactor model combined with cross-section regression and econometrics and analyzes 157 listed companies in Shanghai and Shenzhen Securities Markets from June 1st, 2001 to May 31st, 2002.After careful empirical research, we find that β is the most dominating factor influencing the returns except one or two industries. We also find that β and stock returns are negative linearity correlativity which is obviously in contradiction with traditional theoretical hypotheses. In the meanwhile, we find β is very unstable and quite weak at long-term prediction of stock returns after the in-depth research. In addition, we also find that the factors influencing the stock returns in different industries are not the same, which shows that industry is also the important factor to influence stock returns.Our research shows that when share prices are with downward tendency, financial indicators have impact on th stock returns as well. It also shows that "flock behaviours" exist in our stock market on the whole. However, in a couple of industries, stronger comprehensive financial information appear among these prominent factors. In a sense,it indicates that investors have begun to utilize financial information in a comprehensive way.更多还原