全文总字数：24263字

上市公司财务指标与证券估值相关性分析
摘要

Ball和brown(1968)首次证实了资产负债表收益与股价之间存在相关性。随后，国内外专家学者经过研究得出结论，一家公司的财务指标信息将影响公司的股权价值。由于我国金融市场信息披露的规章制度和有关法律法规不健全，对上市公司财务指标分析与证券公司估值之间关系的科学研究可以为各种投资者和监管机构提供相关的合理化建议。促进和完善我国金融市场管理制度和规章制度，这对于促进宏观经济政策的发展趋势具有关键的现实意义。

本文首先介绍了国内外财务指标与股票价格相关性的研究，而后介绍了非财务因素对股票的影响。做出了在短期内非财务因素不变的假设，深入学习了传统股票定价模型和现代股票定价模型。并沿用前人数次检验的剩余收益模型，在此基础上拓展Ohlson-Feltham股票定价模型，得到了股票价格与上市公司财务会计指标值之间线性相关的结果。在此基础上，建立了以股票价格分析和若干财务指标为自变量的多元回归分析实体模型。

本文在从几个方面详细介绍上市公司的财务指标后，选取其中12个财务指标作为解释变量，采用所有在证券会上市白酒公司2017-2020年四年样本数据组、成面板数据做实证分析。实证分析结果表明只有每股净资产、每股收益、净资产收益率、主营业务比率、应收账款周转天数五个财务指标通过了显著性检验，说明我国股民比较关心盈利能力指标，其他的指标都不太关注，也恰恰说明我国股票市场处于弱势状态，价值投资理念比较弱。所以根据实证结果，本文提出了打击财务造假、树立价值投资理念、加强监管力度等建议。

关键词：剩余收益模型；面板数据回归；价值投资

Abstract

Ball and Braun (1968) first confirmed the correlation between the balance sheet gain and the share price. Afterwards, scientists from home and abroad conclude that financial indexing information will influence the value of the company. However, the Chinese securities market is established for a short time, Whereas the information disclosure system and the relevant laws and regulations are not perfect; whereas research into the correlation between financial indicators and thevaluation of securities of listed companies can provide suggestions for all types of investors and regulatory authorities; are of practical importance for the promotion and improvement of the Chinese securities market and the promotion of macroeconomic development.

This paper first presents an analysis of the correlation between financial indicators and stock prices at home and abroad and then After the introduction of the financial indicators of listed companies from many aspects, twelve financial indicators are selected as explanatory variables.