【作者】 张伟；

【导师】 王余丁； 王亚楠；

【作者基本信息】 河北科技大学 ， 应用经济学， 2022， 硕士

【摘要】 创业板股票市场是资本市场的重要组成部分,是创新型企业融资的场所,对股票的市场溢价研究是金融市场中一直探讨的问题。基于演进韧性理论,探究公司财务柔性对于股票市场溢价的影响,并用多因素资产定价模型来丰富创业板市场溢价,对创业板市场的平稳运行有重要作用。首先,本文从演进韧性理论出发,考虑影响股票溢价的企业综合能力,从快速性、智慧性、冗余性和鲁棒性四个维度构建指标。指标标准化处理,用等权重加权计算Resilience因子,在Resilience因子具有稳定性前提下,用2014年—2020年的数据对Resilience因子进行描述性统计分析和与股票价格的关联度分析,发现盈利能力与Resilience因子的关联性最强,然后探究Resilience因子对股票价格的解释力度,发现市场能力对股价的解释能力更强。随后在Resilience因子的基础上构建FRC因子,在Fama-French三因子模型的基础上加入FRC因子构建四因子模型,并用创业板2014年1月—2020年12月的月度数据进行回归分析,将四因子模型与三因子模型进行比较,研究FRC因子对于股票溢价的影响。数据结果表明,加入了FRC因子的模型拟合度更高,解释力度更强,绝大多数FRC因子通过了10%的显著性检验,表明FRC因子对股票溢价有一定解释作用,并增强了股票的规模效应。最终,根据上述分析结果,结合创业板市场波动幅度大,投机盛行,股票价值难以被挖掘的特点,从聚焦上市公司财务柔性水平,做好市值维护,发挥资本市场作用提升投资者水平、履行机构职责和政府监管方面提出对策建议。更多还原

【Abstract】 The GEM stock market is an important part of the capital market and a place for innovative companies to raise capital,and the study of the market premium of stocks is an issue that has been explored in the financial market.Based on the theory of evolutionary resilience,we explore the impact of financial flexibility of firms on the stock market premium and use a multi-factor asset pricing model to enrich the GEM market premium,which is important for the smooth operation of the GEM market.First,this paper starts from the theory of evolutionary resilience,considers the comprehensive ability of the firm that affects the stock premium,and constructs indicators from four dimensions: rapidity,wisdom,redundancy and robustness.The indicators are standardized and the Resilience factor is calculated with equal weighting,and on the premise that the Resilience factor has stability,descriptive statistics analysis and correlation analysis with stock prices are conducted with data from 2014-2020,and it is found that the profitability and Resilience factor has the strongest correlation,and then explore the strength of the Resilience factor’s explanation of stock prices,and find that marketability has a stronger explanation of stock prices.Subsequently,the FRC factor is constructed on the basis of the Resilience factor,and the four-factor model is constructed by adding the FRC factor to the Fama-French three-factor model,and the four-factor model is compared with the three-factor model using the monthly data of GEM from January 2014 to December 2020 to investigate the FRC factor on the stock premium.The data results show that the model with the inclusion of the FRC factor fits better and explains more strongly,and the majority of the FRC factors pass the 10% significance test,indicating that the FRC factor has some explanatory effect on the stock premium and enhances the stock size effect.Ultimately,based on the results of the above analysis,combined with the characteristics of the GEM market with high volatility,prevalent speculation and difficult to be tapped for stock value,countermeasures are proposed in terms of focusing on the level of financial flexibility of listed companies,doing a good job in maintaining market value,playing the role of capital market to enhance the level of investors,fulfilling institutional responsibilities and government supervision.更多还原