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  本文關(guān)鍵詞：A股上市公司超額收益影響因素及其特征研究　出處：《華僑大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 超額收益 多因子模型 量化投資 上市公司 影響因素

【摘要】：本文基于多因子模型,選取公司盈利能力、成長能力及公司規(guī)模的評價指標(biāo)作為候選因子,并對這些候選因子進(jìn)行有效性檢驗,經(jīng)檢驗,公司盈利因子-主營毛利率、公司成長因子-凈利潤增長率和主營業(yè)務(wù)收入增長率、公司規(guī)模因子-流通市值為有效因子,表明公司盈利能力、成長能力及規(guī)模對上市公司超額收益有顯著影響,通過進(jìn)一步分析,將規(guī)模因子對超額收益的影響分解為風(fēng)險因素和證券市場的非有效性。得出A股上市公司超額收益的影響因素有公司盈利能力、公司成長能力、風(fēng)險因素和證券市場的非有效性。接著利用公司有效因子(盈利因子及成長因子)篩選出能夠獲取超額收益的上市公司,通過對比分析各類超額收益公司在行業(yè)分布、總部區(qū)域分布、公司性質(zhì)、重組事項及籌碼集中度等方面的特征,總結(jié)得出,能夠獲取超額收益的上市公司在行業(yè)方面的特征有:市場環(huán)境好;政府對行業(yè)的政策支持以及信用背書;公司主營業(yè)務(wù)有利于其穿越經(jīng)濟周期;行業(yè)需求剛性;細(xì)分行業(yè)龍頭。超額收益公司在總部區(qū)域分布方面的特征為:在北京市、上海市及深圳市地理集中度最高;行政級別高的地區(qū)集中度高;東部沿海區(qū)域經(jīng)濟發(fā)展良好的城市集中度較高。在公司性質(zhì)方面,超額收益公司的特征為:民營企業(yè)的整體超額收益率高于國有企業(yè);成長能力強的民營企業(yè)的超額收益率最高。在重組事項方面,超額收益公司的特征為:重組事項能夠顯著提升公司成長能力;傳統(tǒng)行業(yè)的國有企業(yè)重組意愿最為強烈。籌碼集中度方面,超額收益公司的主要特性為籌碼集中度越高,公司超額收益越大。國內(nèi)對多因子模型的研究多局限于其在國內(nèi)證券市場的有效性,本文使用Python語言編寫自動化程序?qū)Χ嘁蜃幽Ｐ驮贏股市場的有效性進(jìn)行了檢驗,并進(jìn)一步對有效因子篩選出的超額收益公司在行業(yè)、區(qū)域等多方面的特征進(jìn)行分析總結(jié)。本文對于A股市場投資者在行業(yè)資產(chǎn)配置方面具有較高的參考價值,對于地方政府吸引國內(nèi)外企業(yè)總部入駐(避免本地企業(yè)遷出)、監(jiān)管層完善A股市場制度方面給出了政策和意見。
[Abstract]:In this paper, a multi factor model based on the selection of the company's profitability, growth capacity and the scale of the company's evaluation index as the candidate factors, and these factors are candidates to test the effectiveness, after inspection, company profit factor - the main gross margin, the company's growth factor - net profit growth rate and the growth rate of main business income, the company scale factor - market capitalization is effective factor, indicating that the company's profitability, growth capacity and size have significant influence on the listed company's excess return, through further analysis, the effect of scale factor on the effectiveness of the excess return divided into risk factors and influencing factors of the securities market. The excess return of A shares of listed companies have the profitability of the company, the company's ability to grow, risk factors and non efficiency of the securities market. Then the effective factor (company profit factor and growth factor) were selected to obtain excess returns The listed company, through the comparison and analysis of various types of excess earnings of Companies in the industry distribution, the headquarters of the regional distribution, the nature of the company, reorganization and bargaining chip features, aspects such as summarizes, in terms of the industry characteristics can obtain excess returns of listed companies: good market environment; the government of the industry policy support and endorsement of credit; the company's main business is conducive to the economic cycle through the rigid demand; industry; leading industry segments. The regional distribution characteristics at the headquarters of excess return company is in Beijing City, Shanghai city and Shenzhen city and the highest concentration; high level of centralized administrative region is high; the economic development of the eastern coastal area of good city the high degree of the company. The properties, characteristics of excess return the company is: private enterprises overall excess return rate is higher than the state-owned enterprises; the growth ability of the private enterprises of the excess income Interest rate is the highest. In the reorganization, the characteristics of the company is: excess earnings reorganization can significantly enhance the growth ability of the traditional industries of the company; the restructuring of state-owned enterprises will most strongly. The concentration of chips, the main characteristics of excess return, for the higher concentration of chips, the company returns more. Domestic research on multi the factor model is limited in its effectiveness in the domestic stock market, the program to test the effectiveness of multi factor model in A stock market using the Python language, and further to the effective factor filtered excess returns of firms in the industry, regional characteristics and other aspects of the A are analyzed and summarized. Stock market investors have higher in industry asset allocation and reference value for the local government to attract domestic and foreign enterprise headquarter (to avoid local enterprises to move out, the regulators end) The policy and opinion of the good A stock market system are given.

【學(xué)位授予單位】：華僑大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51;F275

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