不同市场阶段中公司投资价值评估指标的研究

上海交通大学硕士学位论文不同市场阶段中公司投资价值评估指标的研究姓名：孙莹申请学位级别：硕士专业：金融学指导教师：陶亚民200901142001-2005200620076124166470%A2001-20072001/6/142005/6/62005/6/72007/12/31AA“”——RoERoA——RESEARCHONTHEINVESTMENTVALUATIONINDICESOFCOMPANIESDURINGDIFFERENTMARKETSTAGESABSTRACTHavingexperiencedthebearishmarketfrom2001to2005,china’scapitalmarketpickedupitsupwardtrendin2006andreachedanunprecedentedhigh.Thenumberofinvestorsalsogrewdramatically.However,influencedbythesubprimecrisisandtheslow-downofglobaleconomy,domesticeconomicsituationhasbeenfacedwithgreatchallengessincetheendof2007.Investorsexpecttheearningsofdomesticcompaniestofallandthecapitalmarketbubblestartedtoburst.TheShanghaiStockExchangeIndexhaslost70%inayear,withahighpointof6124andalowpointof1664.WhiletheA-sharemarketisbecomingmoreintegratedwiththeworldmarket,thefundamentalsofthelistedcompaniesandscientificvaluationmethodologieshaveattractedmoreandmoreattentionfrominvestors,whichalsobecomeimportantconsiderationsinstockpricing.Valueinvestmenthasbecomeafamousandimportantinvestmentphilosophy.Duringtheprocessofvaluation,investorscollectallkindsofinformationaboutthetargetcompany,conductfundamentalanalysis,andmaketheinvestmentdecisions.Therefore,searchingforthefactorsinfluencingthecompany’svalueandconstructinganindexsystembasedonthesefactorsisnotonlyhelpfulfortheinvestorstoknowthecompanybetterandtoreducetherisk,butalsotoconductresearchandvaluationmoredeeply.Withtheupsanddownsofthemarket,investors’understandingofriskandreturnshasdeepenedandthemarketrulesabidedbylistedcompaniesandintermediaryinstitutionshavebecomemorestandardized.Thestockpricingmechanismhasbeenimprovingandadjustingdynamically.Therefore,it’snecessarytoresearchtherelativityandinterdependenceofstockreturnsandpublicinformationofthelistedcompanyfromasystematizedperspectiveinalongperiod.Duringdifferentmarketstages,influencedbythemarketatmosphere,investorsshowdifferentpreferences,behaviors,andaversiontorisks.Sotheoutperformersinabearishmarketusuallyhavedifferentcharacteristicsfromthoseinabullishmarket.Thispaperisrelatedtotheresearchfieldofcapitalmarketresearchonaccounting.Sothepaperstartswithareviewoftherelevanttheoriesandresearches.Thenextstepinthispaperistoselectalongtimehorizon,whichincludestwoperiods—thefallingmarket(2001/6/14-2005/6/6)andtherisingmarket(2005/6/7-2007/12/31).Thisresearchlooksintothecharacteristicsoftheoutperformersinthesetwoperiodsandmakescomparisonandsummary.Thetwosamplesindividuallyconstituteoftop50companieswiththehighestreturnsduringdifferentmarketstages.ThisresearchcomparestheselectedindicatorsoftheSample50andthewholeA-sharemarket.Besidesthefinancialindicatorswhicharepaidgreatattentiontoinmainstreamresearches,thispaperalsoconsidersnon-financialindicatorsandconductsfactoranalysistodealwiththeinterdependenceoftheindicators,inordertoconstructamorecompleteindexsystemandworkasausefulreferenceforinvestors.Themainconclusionsofthisresearchareasfollows:Investorspaymoreattentiontothecompanies’profitabilityandgrowth,ratherthantheoperationefficiency,cashflowandthesolvency.Thoseoutperformersinwhatevermarketstageshavethefollowing“SixHigh”characteristics—highreturnofassetsandcapital(sayRoEandRoA),highEPS,highnetprofitgrowth,highdividendpayoutratio,highattentionfromresearchinstitutionsandanalysts,andhighinvestmentsharesfrominstitutionalinvestors.Duringdifferentmarketstages,investorshaveshowntotallydifferentattitudetorisk—inbearishmarketinvestorsrequirehighsafetymargin,paygreatattentiontothesafetyofcapitalandtheintrinsicvalueoftheinvestmenttarget,andtheinstitutionalinvestorsalwayschoosethesamestocksandgatherintosimilarinvestments,whileinthebullishmarket,conceptsandthemeinvestmentsaremorepopular.Afterratingandsummarizingthesignificantindicators,webuildupaninvestmentvaluationindicessystem.KEYWORDSrisingmarket,fallingmarket,investmentvalue,indexsystem2-12001614-200566A50.......................102-2..........................................................................................................................132-3......................................................................142-4......................................................................152-5......................................................................162-6......................................................................172-7.......................................................182-8..............................................................................................192-9RoEt..............................................................................................................202-10RoAROICEPSt.....................................................................................212-11t...............................................................................222-12EBITDA/t...........................................222-13......................................................................................232-14..............................................................................................................24