摘要
本文介绍了对公司财务状况进行综合评价的因子分析法,并利用2001年我国工业类上市公司的财务数据进行实证分析。根据样本公司财务状况综合得分的排序,我们选择财务状况较好和较差两种类型的公司组成子样本,然后通过两组子样本公司之间股票周收益率均值及方差的比较,检验公司财务状况的好坏与股票收益率高低之间的相关性。我们的研究结论是:与投资于财务状况较差公司的股票相比,投资于财务状况较好公司的股票,有着相近的期望收益率,却只需承担较小的预期风险,据此判断,我国股市尚未达到半强式有效。
In this paper we introduce the method of factor analysis which can be used to comprehensively evaluate company finance state.According to the orders of Chinese listed industrial companies’ finance state scores,we select two types of companies to construct sub-samples and test the correlations between comprehensive finance state and stock return.In the edn,we conclude that investors can gain approximately equal expected return with lower risk when they invest in the stocks whose comprehensive finance state are better,and Chinese stock market is not semistrong-form efficient.
出处
《数理统计与管理》
CSSCI
北大核心
2005年第3期86-92,共7页
Journal of Applied Statistics and Management
关键词
财务
综合评价
收益率
Finance
Comprehensive evaluation
Return
