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

本文以中国A股上市公司为研究对象,采用因子分析和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。

On the Usefulness of Financial Ratios in Stock Market Investment Decision-making: An Empirical Study Based on Chinese Security Markets

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' interpre- tative ability to the excess stock returns.The following conclusions are drawn:First,the result can't he strongly supported that abnormal returns can be predicted by financial ratios regarding the whole mar- ket,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 ab- normal returns are changing with the period,which means Chinese security market isn't mature and stable yet;Third,the financial ratios in relation to growth ability almost exist in all models,which means such ratios have important instructions to stockholders.