【作者】 陈旻；

【导师】 侯恪惟；

【作者基本信息】 上海交通大学 ， 工商管理（MBA）（专业学位）， 2015， 硕士

【摘要】 本研究主要是通过理论和实践相结合的方式,分析股票投资回报率的影响因素,并探讨其相互之间的内在关系,进而更好地帮助投资者进行有效决策,同时为上市公司制定企业战略计划提供方向性建议。本研究在广泛查阅国内外对股票投资回报率领域的研究文献基础上,归纳总结出投资者情绪、企业信用评级和经济增加值是股票投资回报率的主要影响因素,并对各影响因素的理论研究和应用研究进行了深入的阐述。为进一步研究投资者情绪、企业信用评级和经济增加值对股票投资回报率的影响机理,本文选取了上证A股制造企业2009-2014年的面板数据进行分析,并利用方差分析研究了公司属性和资产总额对股票投资回报率的影响效果,相关分析和多元线性回归分析探讨出股票投资回报率与各影响因素之间的内在关系,最后利用VAR模型对各影响因素的滞后性影响进行检验。研究结果发现,投资者情绪和企业信用评级均对股票投资回报率有正的显著性影响,经济增加值的影响效果不显著,且当公司资产总额小于50亿时对投资回报率具有正向影响。VAR模型分析结果表明各因素对投资回报率的影响效果存在滞后性。本研究旨在帮助投资者更理性地进行投资策略的选择,同时为上市公司的战略制定提供方向性建议,并为我国股票市场的健康稳定发展给出合理性意见。更多还原

【Abstract】 This study is aimed towards analyzing factors that affect return of investment in stocks. In particular, the study is carried out through a combination of theoretical and practical approaches. I try to study the relationships between different factors in order to help investors make effective decisions, and help listed companies design development strategies. The study is based on a wide range of domestic and international research and articles, and provides a summary that investor sentiments, company credit ratings, and economic added values are the three major factors in return of investment. The study has further carried out an indepth investigation of these factors in both theoretical and practical perspectives. To further study mechanisms of the three factors in investment return, I have chosen the 2009-2014 Shanghai stock index for manufacturing as an example. Firstly, an variance analysis is used to explore the relationship among enterprise characteristic, total assets and the stock return. Secondly, a correlation analysis and multivariate linear regression analysis is employed to discuss the intrinsic relationship between these factors and stock return. Finally, a VAR model is employed to test the delayed effect of these factors. The research results have shown that investor sentiment and company credit ratings have a positive effect on stock return, while economic value added does not have a significant effect on stock return. Furthermore, when a company’s total assets are less than 5 billion RMB, stock return can be increased by 0.021. VAR model analysis results have shown that these factors have a delayed effect on stock return. This study aims to help investors make rational decisions in investment strategies, provides some directional guidance to help develop strategies for listed companies, and provides helpful suggestions for developing a healthy and stable stock market in our stock markets.更多还原