【作者】 汪冬华；

【导师】 龚朴；

【作者基本信息】 华中科技大学 ， 企业管理， 2004， 博士

【摘要】 随着中国证券市场逐步向规范化运作的方向发展,投资者或投资机构对证券投资的理念已从投机心理回归到更加注重证券内在的投资价值分析。如何对众多上市公司进行全方位投资价值分析,如何选择公司股票进行投资,是投资者目前面临的首要问题。为了全面和科学地研究证券内在的投资价值,在对现有的证券投资价值研究方法局限性分析的基础上,建立了一规范的上市公司行业投资价值评估集成体系框架,通过此评估体系框架从行业的角度把握上市公司内在的投资价值;针对中国证券市场违约的具体情况,建立了违约风险预警模型,在此基础上,提出了基于违约风险的上市公司投资价值研究方法,并进一步从上市公司违约风险的角度对上市公司内在的投资价值进行研究。利用证券市场的实际数据,本文从上市公司所处的行业和违约风险的角度对上市公司的内在投资价值进行了实证研究。同时,利用违约风险预警模型的思想对中国期货市场的违约状况进行了研究。上市公司行业投资价值评估集成体系框架中提出了上市公司行业投资价值分析的本构关系方法,通过此评估体系框架从行业的角度研究上市公司投资价值。评估体系框架中的上市公司行业投资价值本构关系分析方法综合考虑了行业所处的宏观、中观和微观环境的影响,将定性分析方法和定量分析方法结合在一起,应用模糊数学的理论,对上市公司行业投资价值进行分析评价。运用文中提出的行业投资价值评估体系框架具体地对房地产行业投资价值进行了实证分析和评价,所得分析结果与房地产行业的实际表现相一致,从而验证了该方法的有效性。本文根据我国上市公司违约的条件,利用违约风险评估的思想,创新地将违约风险引入到上市公司投资价值的研究中,引入违约距离的概念,建立了上市公司违约风险预警模型。通过Wind金融资讯系统获取上市公司丰富的信息资源,依据上市公司股价的信息,采用多元GARCH—M模型对上市公司股票回报的波动率进行估计,运用违约风险预警模型获得中国股票市场上市公司的违约概率;以中国股票市场上市公司的违约概率为样本数据,利用统计学中的非参数次序统计量理论获得中国股票市场上市公司违约概率临界值以及其置信区间。以上市公司违约概率临界值为标准,将其与计算所得的中国股票市场上市公司违约概率进行比较,进而从上市公司违约概率大小的角度来分析判断其内在的投资价值,获取业绩不佳以及有可能被ST的上市公司的信息,起到早期预警的作用。根据文中提出的上市公司违约风险预警模型,从上市公司违约风险的角度对中国股票市场上市公司的投资价值进行了实证研究,得到了有意义、有价值的结论。最后,本文利用上市公司违约风险预警模型的思想,将违约风险模型推广应用到期货市场违约的研究中,根据期货市场违约的特点和性质,建立了期货市场违约风险预警模型。应用期货市场违约风险预警模型对郑州商品交易所的硬冬白小麦WT0309的“多头弃盘”违约现象进行了实证研究,所得分析结<WP=4>果与实际市场情况相一致。更多还原

【Abstract】 With the development of the securities market in China to a normative operations model, regarding security investment, investors and investment institution focused on speculative psychology, but have transferred to analysis on intrinsic investment value of security. So, it is the most important problem facing investors at present that how to analyze so many listed companies generally and how to select stocks to invest. To make a study on intrinsic investment value of security comprehensively and scientifically, on the basis of analysis on limits about present research methods of investment value of security, this paper have made a frame of integrated evaluation system about industry investment value of listed company. At the same time, on the basis of analysis on the concrete situation about default risk of the securities market in China, the default risk-warning model is presented in this paper. On the basis of the above, this paper makes a study on investment value of listed company from the industry of listed company and its default risk. And this paper makes a study on default risk of futures market in China.In the frame of integrated evaluation system about industry investment value of listed company, it presents an analysis method of constitutive relation about industrial investment value of listed company, and further researches into such value from its industry. The constitutive relation method takes account of all effects of the industry environment from macro to micro, as well as combines qualitative analysis with quantitative analysis. In addition, this paper has applied fuzzy mathematics to analysis and evaluation on industrial investment value of listed company. Also, validity of the evaluation frame is verified by comparison between results from empirical analysis and evaluation of investment value in real estate and its actual performance. Furthermore, according to the default condition in Chinese listed company, this paper introduces the concept of default risk into research on investment value of listed company and consequently achieves a default risk-warning model of listed company, which is so far an innovative idea. According to information about stock price of listed company from Wind consultative system, volatility of stock return of listed company can be estimated through multivariate GARCH—M model, so the default probability of listed company can be attained by employing the evaluating model in this paper. Then, considering such probability as the sample data, critical of the default probability and its confidence interval can be achieved by employing non-parameter OS in statistics. Further, this critical, as a criterion, is compared with the default probability calculated, and accordingly this paper gains information about poor-behaved listed company and even ST listed company by <WP=6>looking into their investment value from default probability. Thus the default risk-warning model of listed company can be a default risk early warning system for listed company. To sum up, according to the default risk-warning model of listed company, some significant and valuable conclusions have been achieved by empirically investigating into investment value of the listed company in Chinese security market from their default risk. In the end, the default risk model of listed company is generalized into research on default situations in futures market, and sequentially get the default risk warning model in futures market with its own feature and property, which is furthermore applied into the empirical study of the default phenomenon of “the long parties quitting delivering” about WT0309 in Zhengzhou commodity exchange and its analysis result is a close correspondence with the actual market situation.更多还原