發(fā)布時間：2018-01-01 01:14

  本文關鍵詞：創(chuàng)業(yè)板上市公司投資風險評價研究　出處：《貴州財經(jīng)大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 投資風險評價 風險規(guī)避 突變級數(shù)法 主成分分析法 創(chuàng)業(yè)板上市公司

【摘要】：作為配置經(jīng)濟資源的重要力量,投資在促進經(jīng)濟社會發(fā)展的同時,其自身發(fā)展也伴隨著風險和收益等因素的影響。風險和收益始終相伴而生,它們既是現(xiàn)代投資理論的核心,也是進行投資決策必須權衡的實際因素。資產(chǎn)組合理論的提出奠定了現(xiàn)代投資理論的基石,其利用統(tǒng)計學中的方差衡量風險則開創(chuàng)了不確定情況下的投資風險分析。當前學者對投資風險的關注,主要集中在評價方面。評價研究有助于深刻認識投資風險,并揭示不同風險構成要素對投資風險的影響情況。因而,評價結論可以為推進資本市場建設,發(fā)揮投資的核心作用,構筑促進和保障國民經(jīng)濟持續(xù)、健康、快速發(fā)展的良性機制提供有益指導。 截止目前,針對投資風險的評價研究,所選用的評價指標偏重財務指標,所用方法也大多基于風險構成要素作用于投資風險的映射關系呈線性的假設。然而,事實上風險構成因素作用于投資風險的力度與方向復雜多變,合力作用并非呈現(xiàn)簡單的線性關系。有鑒于此,我們嘗試了從宏觀經(jīng)濟風險、市場風險、上市公司內(nèi)部風險三個方面構建創(chuàng)業(yè)板上市公司投資風險評價指標體系。同時,為了克服評價過程的主觀性、模糊性和線性評價,本文的研究選取了具有評價客觀性和非線性映射逼近能力的突變級數(shù)法。 通過理論研究與實證分析,本文得到以下結論：第一,投資風險評價研究的實質(zhì)在于：建立風險構成要素到風險狀況的映射關系；并測度各種風險要素對投資風險的影響情況；進而深刻認識上市公司投資風險的現(xiàn)狀,準確把握投資風險規(guī)律。第二,基于理論上全面構建的37個風險指標,數(shù)理上采用主成分分析法提取重點,探求得到信息涵蓋全面、維數(shù)較少且主次分明的評價指標體系,創(chuàng)業(yè)板上市公司投資風險可由宏觀經(jīng)濟風險、市場風險、上市公司內(nèi)部風險下的地區(qū)工業(yè)總產(chǎn)值、地區(qū)居民消費價格指數(shù)等16個評價指標來表征�？紤]到風險構成要素與投資風險間的屬性多樣性、結構復雜性、影響聯(lián)動性、機理非線性等特征,應選用具有評價客觀性和非線性映射逼近能力的突變級數(shù)法建立評價模型。第三,基于探路者、萊美藥業(yè)等12個樣本上市公司的模型量化結果和準則層影響因子分析,結論表明：(1)內(nèi)生于上市公司主體的創(chuàng)新能力、管理能力、償債能力、盈利能力等上市公司內(nèi)部因素是影響創(chuàng)業(yè)板上市公司投資風險的首要因素(影響程度接近于43.4%的水平),表明我國創(chuàng)業(yè)板上市公司投資風險具有內(nèi)生型依賴特征。(2)不考慮外部風險的情況下,在影響投資風險的上市公司內(nèi)部因素中,創(chuàng)新能力和管理能力的影響力度之和為35.81%,表明非財務風險已成為創(chuàng)業(yè)板上市公司投資風險的重要組成部分；償債能力、盈利能力、營運能力和成長能力的影響力度之和為64.18%,表明財務風險仍然是影響創(chuàng)業(yè)板上市公司投資風險的最主要力量。(3)宏觀經(jīng)濟因素和市場因素的影響力度之和為56.6%,超過了作為決定創(chuàng)業(yè)板上市公司投資風險的根本性力量上市公司內(nèi)部因素的影響力度,表明創(chuàng)業(yè)板上市公司投資風險受外部力量牽制過大,違背了現(xiàn)代化的企業(yè)制度和契約精神,創(chuàng)業(yè)板市場改革有待進一步深化。(4)創(chuàng)業(yè)板上市公司投資風險的綜合得分和排序情況表明我國創(chuàng)業(yè)板上市公司投資風險存在西高東低的地區(qū)性差異特征。(5)創(chuàng)業(yè)板上市公司投資風險的波動性分析表明宏觀經(jīng)濟因素和市場因素對創(chuàng)業(yè)板上市公司投資風險的影響具有較大波動性,并不穩(wěn)定；上市公司內(nèi)部因素對創(chuàng)業(yè)板上市公司投資風險的影響作用具有持續(xù)性特點,較為穩(wěn)定。 基于分析結論,本文認為優(yōu)化企業(yè)管理水平、增強企業(yè)創(chuàng)新能力,加強上市‘公司的內(nèi)部控制、建立企業(yè)財務風險預警系統(tǒng),建立完善有效的證券監(jiān)管體系、規(guī)范經(jīng)濟市場秩序,合理配置經(jīng)濟資源、積極調(diào)整市場產(chǎn)業(yè)結構,是當前規(guī)避創(chuàng)業(yè)板上市公司投資風險的有效路徑。 本文對上市公司投資風險的評價研究,立足我國創(chuàng)業(yè)板市場,其可能創(chuàng)新之處有以下三個方面：一是基于前人成果并結合我國創(chuàng)業(yè)板上市公司運行實際,構建了較為全面的創(chuàng)業(yè)板上市公司投資風險評價指標體系,完成了對我國創(chuàng)業(yè)板上市公司投資風險的定量評價,彌補了對創(chuàng)業(yè)板上市公司投資風險評價單純作出定性研究的不足。其中,在指標體系設計上,本文首次嘗試性地針對宏觀層面、市場層面和上市公司內(nèi)部三個方面設計了指標。二是在建立創(chuàng)業(yè)板上市公司投資風險評價模型過程中,本文引入相關分析和主成分分析的方法,從系統(tǒng)的內(nèi)在作用機理出發(fā),對底層指標的相對重要性進行了客觀的排序,以期實現(xiàn)對創(chuàng)業(yè)板上市公司的投資風險的客觀評價。三是基于全文的規(guī)范分析和實證評價結論,針對性地提出了一些規(guī)避我國創(chuàng)業(yè)板上市公司投資風險的對策舉措。 遺憾的是,由于統(tǒng)計數(shù)據(jù)收集、針對性研究成果并不多見以及自身學術研究能力等主客觀制約,本文研究還存在一些需進一步努力的地方。例如受數(shù)據(jù)可得性的約束,一些能夠直接反應創(chuàng)業(yè)板上市公司投資風險的指標無法收集到數(shù)據(jù)而不得不采用間接指標進行替代。而筆者對創(chuàng)業(yè)板上市公司投資風險的認識、理解程度有限,使得評價指標體系的設計和評價結論的分析有待進一步提高。
[Abstract]:As an important force in the allocation of economic resources, investment in promoting economic and social development at the same time, its development is also accompanied by the impact of risk and income and other factors. The risks and benefits is always accompanied, which is the core of modern investment theory, the actual factors also make investment decisions must weigh. Laid the foundation of modern investment theory the proposed portfolio theory, using the variance in statistics to measure risk is creating uncertainty analysis in the condition of investment risk. Focus on the investment risk of the current scholars, mainly concentrated in the evaluation. The evaluation study contributes to a profound understanding of the investment risk, and reveal the different factors of risk impact on investment risk situation thus, the evaluation conclusion can promote the construction of capital market, play a central role in the construction of investment, promote and ensure the sustained, healthy and rapid development of the good The sexual mechanism provides useful guidance.
At present, research on Evaluation of investment risk evaluation index, the emphasis on financial indicators, the methods used are mostly the mapping relationship between the factors of risk in investment risk based on the linear assumption. However, strength and direction in fact risk factors impact on the investment risk of the complex, the resultant force is not a linear relationship simple. Therefore, we try from the macro economic risk, market risk, construct the evaluation index system of GEM listed companies investment risk three aspects of internal risk of listed companies. At the same time, in order to overcome the subjectivity of the evaluation process, fuzzy and linear evaluation, this paper selects the catastrophe progression method with nonlinear mapping and objectivity of evaluation approximation ability.
Through theoretical research and empirical analysis, this paper obtained the following conclusions: first, the essence of investment risk evaluation research is: mapping the factors of risk to the risk profile and risk factors; to measure the risk of investment; current situation and a profound understanding of the investment risk of listed companies, to accurately grasp the investment risk law. Second, 37 a comprehensive risk index theory based on mathematical using principal component analysis method to explore the extraction of key information, comprehensive, and prioritize the small dimension of the evaluation index system, the investment risk of GEM listed companies by the macroeconomic risk, market risk, in total industrial output value of the listed company's internal risk in the area the consumer price index as 16 evaluation indicators to characterize. Considering the risk attributes and investment risk between diversity, complex structure Miscellaneous, effect of linkage, the mechanism of nonlinear characteristics, should be chosen with the evaluation of objectivity and approximation ability of nonlinear mapping of the catastrophe progression method to establish the evaluation model. Third, based on the Pathfinder, an influence factor model to quantify the results of pharmaceutical and other 12 listed companies and the criterion layer analysis, concluded that: (1) was born in the market the company's main innovation ability, management ability, solvency, profitability and other internal factors of listed companies is the main factor to affect the investment risk of GEM listed companies (the influence degree level close to 43.4%), shows that China's GEM listed companies with investment risk endogenous dependence. (2) do not consider the external risk under the condition of the internal factors of the investment risk of listed companies, the impact strength of innovation ability and management ability and is 35.81%, indicates that the financial risk has become the GEM listed companies An important part of our investment risk; solvency, profitability, operation ability and influence the ability of growth and 64.18%, shows that the financial risk is still the most important forces affecting the investment risk of GEM listed companies. (3) impact of macroeconomic factors and market factors and is 56.6%, more than as the fundamental forces determine the investment risk of GEM listed companies listed company internal factors influence, shows that the GEM listed companies investment risk containment by external force is too large, contrary to the modern enterprise system and the spirit of contract, the GEM market reform should be further deepened. (4) the investment risk of GEM listed companies comprehensive score and ranking indicates the existence of regional differences in characteristics of the East West High low investment risk of GEM listed companies in China. (5) the volatility of investment risk of GEM listed companies The analysis shows that the influence of macroeconomic factors and market factors on investment risk of GEM listed companies has great volatility and instability. The influence of internal factors of listed companies on investment risk of GEM listed companies is continuous and stable.
Based on the analysis result, the optimization of enterprise management level, enhance innovation capacity, strengthen internal control of listed company ", the establishment of financial risk early warning system of enterprise, establish effective supervision system, standardize the economic order of the market, the rational allocation of economic resources, and actively adjust the market structure of industry, it is an effective way to avoid the investment risk of the venture the board of listed companies.
This paper study on the evaluation of listed company investment risk, based on China's GEM market, the innovations of this paper are the following three aspects: one is the achievements of the predecessors and combining with China's GEM listed companies based on the actual operation, construction of the GEM listed companies comprehensive investment risk evaluation index system, the quantitative evaluation of the China's GEM listed companies investment risk, to compensate for the lack of companies listed on GEM investment risk evaluation to make simple qualitative research. Among them, the design of the index system, this paper first attempts to aiming at the macro level, the three aspects of the internal market and the listed company index is designed. Two is the establishment of gem the listed company investment risk evaluation model, this paper introduced the method of correlation analysis and principal component analysis, starting from the inner mechanism of the system, on the bottom of the important index In order to achieve an objective evaluation of the investment risk of GEM listed companies, we made an objective sorting of the nature. Three, based on the full text of the normative analysis and empirical evaluation conclusions, we put forward some countermeasures to avoid investment risks of Chinese GEM listed companies.
Unfortunately, due to the statistical data collection, the research results are rare and their own academic research ability of subjective and objective constraints, there are still some further efforts to place the research in this paper. For example, data availability constraints, some direct response to the investment risk of GEM companies are unable to collect data and index have to use the indirect index instead. But I know the companies listed on GEM investment risk, limited understanding, makes the analysis and design of evaluation index system and evaluation conclusion needs to be further improved.

【學位授予單位】：貴州財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F275;F832.51

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