【作者】 陆轶文；

【导师】 黄济生；

【作者基本信息】 华东师范大学 ， 金融学， 2008， 硕士

【摘要】 在现代财务管理理论中,股东权益最大化是上市公司的终极目标。据此,无论是对于企业管理层还是股票投资者而言,“股价”都是一个极其重要的核心指标。上市公司以股价作为考核经营绩效的关键性指标,而投资者则通过对上市公司财务报表的分析来选股。因此,上市公司的股价与经营绩效之间必定是有着一定的关联的。那么,作为影响股价波动的一个重要因素——会计绩效指标,是否对股价的走势起着一定的引导作用呢?两者之间的关联度究竟如何?投资者选股时常用的一些会计绩效指标的有用性究竟如何?在这样的背景下,本文试图通过研究上市公司股价与会计绩效指标之间的相关性来回答上述问题。如果股价确实与会计绩效指标间存在显著的相关性,则说明我国股市的效率较高,反映企业经营业绩的信息由于被市场诠释正确而引发了股价的相应上升或下降。反之,如果股价与会计指标之间并无太大的关联,则说明我国股市的效率还有待提高,股价波动并不是企业真实经营绩效的直接反映,而更多地可能是受到其他因素的影响。于是,本文选取了能够反映上市公司经营情况各个侧面的四个主要的会计绩效指标,即:每股收益、每股自由现金流量、净资产收益率、主营业务利润率,并利用计量经济学中相关分析的方法来考察这些指标和上市公司股价波动之间的关系,由此将会计指标和市场指标联系起来,从而考察不同的会计指标对股价高低的解释能力如何。本文的实证检验时间段选定于2005年1月1日至2007年9月30日,对在上海证券市场上市的60个大中小市值的样本企业进行检验。通过相关分析发现:“每股收益”指标方面,大市值股的该指标对其股价有一定的解释力,中等市值股的该指标对其股价的解释能力不如大市值股,而小市值股的每股收益对股价并没有解释能力。而另外三个指标,即:净资产收益率、主营业务利润率和每股自由现金流量,无论股票市值的大小,与其股价之间均不具有显著的相关性。这与成熟资本市场的要求有较大差异,由此,我们可以说,中国的股票市场有效性不足,还有待进一步的提高。另外,股票投资者在选股时更多地参考“每股收益”指标在现实操作时具有一定的合理性。本文的创新之处在于:将上海市场的股票按照市值的大小进行了分类,这样使得最终的实证结论可以对不同市值大小的股票作出全面性的解释,确保了实证结果的说服力。此外,与同类研究不同,本文更加注重对会计绩效指标的比较和分析,而不仅仅是将国内外对股票市场有效性分析的工具直接加以利用而得出结论。其中,不仅具体分析了选用这四个指标的原因,更结合上市公司的股价表现对这些指标的优劣进行了分析和比较。因此,可以这么说,本文的特色在于它兼顾了证券市场和财务管理两个角度,利用最新的股价和财务数据对我国证券市车男饰侍饨辛讼钢露钊氲姆治觥?本文的结构分为如下几个部分:第一章导论,主要阐述了选题的意义和背景及本文的研究思路和框架,此外,更利用较大篇幅介绍了国内外同类研究的成果以及所采用的研究方法;第二章说明了上市公司会计绩效指标选取的理论依据,其中重点分析了四个会计指标的意义、作用以及计算方法;第三章是对股价和会计绩效指标间相关性的检验,也是最为重要的一个部分,其中对相关性数值进行了集中的汇总,为最终得出结论奠定了基础。第四章中,根据相关性检验的数据进行全面的分析并得出研究结论以及提出相关的政策建议。更多还原

【Abstract】 According to the contemporary financial management theory, the ultimate goal of listed companies is "the maximization of stockholders’ equity". Thus, stock price becomes a very important index to both the BOD and the investors. The BOD regards "stock price" as a key indicator which reflects the operating performance while the investors choose particular stocks according to the analysis of the financial statements. Therefore, certain relations exist between "stock price" and "operating performance". As an important factor which affects stock price, do financial indicators lead the fluctuation of stock price? Are there any significant relations between the two factors? Besides, what’s the difference between various financial indicators when used as reference to choose stocks?Under this background, the article intends to answer these questions by studying the correlation between "stock price" and "financial indicators". If there is obvious relation between the two, it proves that the efficiency of China’s stock market is relatively high. On the contrary, the unobvious relation can be regarded as low efficiency, which means the fluctuation isn’t the direct reflection of the enterprise’s performance conditions. Consequently, the article selects four financial indicators which can reflect the performance conditions. They are: EPS, FCF per share, ROE and MOP (main operating profit) . Then we use empirical approach to test the correlation between "stock price" and the four financial indicators.The testing period is from Jan.1, 2005 to Sept.30, 2007 and the sample is 60 listed companies from Shanghai stock exchange, covering various market values. The correlation analysis indicates that in terms of EPS, the enterprises with large& medium-sized market value show certain relations between this indicator and stock price, while those with small market value don’t. However, in terms of the other three indicators, that is, ROE, MOP and FCF per share, there is no obvious relation between them and stock price. The study result reflects that China’s stock market is by no means mature. Consequently, we can conclude that the efficiency of our stock market should be further improved. Besides, choosing stocks by using the indicator "EPS" is to some extent reasonable in reality.The advantage of this study is to divide the stocks listed in Shanghai Stock Exchange into different categories, which ensures that the result can give a comprehensive explanation according to different market values. In addition, the study puts emphasis on the comparison and analysis of various financial indicators instead of directly using the conclusion and models. The author not only states the reason why she selects the four indicators, but also combines them with stock price. To sum up, the article conducts the survey from two perspectives, that is, stock price and financial indicators and analyzing the efficiency of our stock market with the latest financial figures.This article can be divided into several parts as follows: the first chapter is about the background, approach and framework of the study. Also, a lot of similar studies from both home and abroad are introduced in this part. The second chapter illustrates the theoretical basis of selecting the four financial indicators and analyzing the function and calculation of them. The third chapter is the most important part of the article, which conducts the empirical study of the correlation analysis between financial indicators and stock price. The last chapter forms a conclusion based on the empirical study and gives some suggestions in political terms.更多还原