财务指标在股票投资决策中的有用性——基于中国证券市场的实证研究(pdf 12)

(北京大学光华管理学院，100871)
摘 要：本文以中国A 股上市公司为研究对象，采取因子分析和Logistic 回归分析的方法，研究财
务指标对股票超额回报的解释能力。研究发现：就A 股市场整体而言，通过财务指标预测股票超额回
报的能力没有得到有力的证明，但回归模型对超额回报预测的准确率高于随机分布的准确率，表明市场
上还是存在一定的盈利模式；影响股票超额回报的财务指标随时间变化而变化，表明中国证券市场尚未
成熟稳定；而且，反映公司发展能力的财务指标几乎出现在所有的回归结果中，表明此类财务指标对股
票投资者具有较强的指导意义。
Abstract: This paper takes A-share companies listed in Shanghai and Shenzhen Exchanges as researching
sample, adopts factor analysis and Logistic regression analysis to study the financial ratios’ interpretative
ability to the excess stock returns. The following conclusions is drawn: First, the result can’t be strongly
supported that abnormal returns can be predicted by financial ratios regarding the whole market, but the
correct percentage of abnormal returns by our model is higher than that of stochastic distribution, which means
the market has some payoff mode; Second, the financial ratios that work on abnormal returns are changing
with the period, which means Chinese security market isn’t mature and stable yet; Third, the financial ratios in
relation with growth ability almost exist in all models, which means such ratios have important instructions to
stockholders.
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