財務指標在股票投資決策中的有用性——基於中國證券市場的實證研究(pdf 12)

(北京大學光華管理學院，100871)
摘 要：本文以中國A 股上市公司為研究對象，采取因子分析和Logistic 回歸分析的方法，研究財
務指標對股票超額回報的解釋能力。研究發現：就A 股市場整體而言，通過財務指標預測股票超額回
報的能力沒有得到有力的證明，但回歸模型對超額回報預測的準確率高於隨機分布的準確率，表明市場
上還是存在一定的盈利模式；影響股票超額回報的財務指標隨時間變化而變化，表明中國證券市場尚未
成熟穩定；而且，反映公司發展能力的財務指標幾乎出現在所有的回歸結果中，表明此類財務指標對股
票投資者具有較強的指導意義。
Abstract: This paper takes A-share companies listed in Shanghai and Shenzhen Exchanges as researching
sample, adopts factor analysis and Logistic regression analysis to study the financial ratios’ interpretative
ability to the excess stock returns. The following conclusions is drawn: First, the result can’t be strongly
supported that abnormal returns can be predicted by financial ratios regarding the whole market, but the
correct percentage of abnormal returns by our model is higher than that of stochastic distribution, which means
the market has some payoff mode; Second, the financial ratios that work on abnormal returns are changing
with the period, which means Chinese security market isn’t mature and stable yet; Third, the financial ratios in
relation with growth ability almost exist in all models, which means such ratios have important instructions to
stockholders.
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