宏观经济因素对周期性公司估值收益额影响的测度研究

发布时间：2018-03-07 04:25

本文选题：宏观经济因素　切入点：企业价值评估　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：近年来,随着国内发展和日益频繁密切的国际交往,中国经济迅速腾飞,各行业都较之前发生了翻天覆地的变化。随着中国经济步入新的发展阶段,经济增速转为中高速增长的“新常态”;同时中国经济受国际范围内不确定因素和金融危机影响,各行业也呈现出一系列问题,周期性行业普遍面临改革和兼并重组。周期性公司作为近年并购交易的主要组成部分,其与经济环境相关的周期性特征和估值定价的合理性都成为学术研究、评估实务和政府部门关注的重点。企业价值评估中收益法作为应用广泛、较为科学的方法之一,其参数收益额的测度显得尤为重要,国内外学者和业界人士也都对其较为关注。但研究多集中在某一公司,且没有得到统一的结论。为探讨周期性公司收益额指标影响因素,本文结合文献研究和实证研究方法,涉及资产评估、金融学、宏观经济学和统计学等专业,建立模型测度周期性公司收益额及增长率的影响因素,得出相关结论和建议,以期为未来周期性公司收益法估值提供一些参考。在实证研究中,本文以2006年至2016年数据为样本周期,在证监会行业分类下选取我国沪深股票市场中钢铁、有色金属、煤炭、石油化工、房地产和银行这6个具有代表性的周期性行业作为样本;选取行业中典型的公司收益额及收益额增长率作为研究对象,口径选取股权自由现金流量;同时根据经验研究结论和理论分析选取国内生产总值、消费者价格指数、长短期利差、广义货币供应量和美元兑人民币汇率这5个涵盖经济增长、物价水平和金融外贸等方面的宏观经济因素作为解释变量;在研究方法上,利用单位根检验、协整检验、描述性统计分析和面板数据混合回归模型及多元线性回归模型等统计学方法,检验宏观经济因素对不同行业上市公司收益额及增长率的影响,对比不同度量时限和行业实证研究结果,归纳得出结论与应用建议。研究结果表明:(1)我国沪深股票市场上周期性公司收益额及收益额增长率数据较为离散,波动较大,极端值较多;(2)上述宏观经济因素对6个样本行业收益额有较强的解释能力,但对周期性公司收益额增长率解释能力一般;(3)宏观经济因素的解释效果因不同行业或公司而异,因不同度量时限而异。
[Abstract]:In recent years, with the development of China and the increasingly frequent and close international contacts, China's economy has taken off rapidly, and all industries have undergone earth-shaking changes. As China's economy enters a new stage of development, Economic growth has turned into a "new normal" of medium and high growth. At the same time, China's economy is affected by uncertainties in the international arena and the financial crisis, and a series of problems have emerged in various industries. As the main component of M & A transactions in recent years, the cyclical characteristics related to the economic environment and the rationality of valuation pricing have become academic research. As one of the most widely used and scientific methods in the evaluation of enterprise value, it is very important to measure the value of its parameters. Scholars at home and abroad and people in the industry also pay more attention to it. However, most of the studies are focused on one company, and there is no uniform conclusion. In order to explore the influencing factors of the return index of periodic companies, this paper combines the literature research and empirical research methods. Related to asset assessment, finance, macroeconomics, statistics and other majors, the establishment of models to measure cyclical company earnings and growth factors, draw relevant conclusions and recommendations, In the empirical study, this paper takes the data from 2006 to 2016 as the sample cycle, and selects steel, non-ferrous metals and coal in the stock market of Shanghai and Shenzhen under the industry classification of CSRC. Six typical cyclical industries such as petrochemical industry, real estate industry and banking industry are selected as samples, the typical corporate income and income growth rate are selected as the research object, and the free cash flow of equity is chosen. At the same time, according to the conclusions of empirical research and theoretical analysis, we select GDP, consumer price index, short- and long-term interest rate difference, broad money supply and the exchange rate of USD / RMB to cover economic growth. Macroeconomic factors, such as price level and financial and foreign trade, are taken as explanatory variables; in research methods, unit root test and cointegration test are used. Descriptive statistical analysis, panel data mixed regression model and multivariate linear regression model are used to test the effect of macroeconomic factors on earnings and growth rate of listed companies in different industries. By comparing the results of empirical research on different measurement periods and industries, the conclusions and application suggestions are concluded. The results show that the data of earnings and earnings growth rate of periodic companies in Shanghai and Shenzhen stock markets are discrete and fluctuate. (2) the above macroeconomic factors have a strong explanatory power to the earnings of the six sample industries, but the explanatory ability to explain the growth rate of the earnings of cyclical companies generally varies with different industries or companies. It varies according to the time frame of measurement.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F124;F275

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