基于因子分析法的上市公司业绩评价模型
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摘要
业绩评价是为企业的经营管理服务的,对企业的经营起着导向性的作用,直接关系到企业核心竞争力的形成与保持,影响着企业的生存和发展。
随着我国社会主义市场经济的不断发展,我国资本市场规模的不断扩大,参与证券投资的投资者越来越多,广大投资者究竟应该选择什么样的评价方法,评价模型来对上市公司的业绩进行评价,成为人们逐渐关注的重要问题。
我国目前主要使用的是1999年6月,财政部、国家经贸委、人事部、国家计委联合颁布的《国有资本金效绩评价规则》和《国有资本金效绩评价操作细则》。但存在的问题是其评价主体属于政府管理部门,而且其一些指标权重的确定过于主观化,这对于经常处于信息不对称位置的广大的中小投资者来说,影响了它的使用范围。对于EVA及其他评价方法来说,也存在着计算方法较为复杂,需要占有相当多非财务指标的信息等问题,这增加了投资者的时间成本和机会成本。因此,如何构建一个适合中小投资者使用的业绩评价模型,成为一个紧迫的课题。
本文从广大中小投资者的角度出发,立足于充分利用上市公司披露的财务信息,运用因子分析法建立一个逻辑严密,科学,客观的财务评价模型,并对公司的股价和因子综合得分进行了协调分析。发现在我国目前的市场条件下,二者不呈现显著的正相关关系。
Performance measurement serves for the enterprise management. It has an important impact on company management and it relates to the enterprise core competition's developing and maintaining. Also it influences enterprise's survival and development.
As our socialism market economy has been improving fast, our capital market has been expanding, investors that involve in securities investment have been more and more , there is a question which becomes more and more important that investors should choose which measurement model to invest in securities market.
Now the measurement model that we use was issued in June, 1999 by finance ministry, national economic and trade ministry and other ministry, called <state-owned capital performance measurement rule> and <state-owned capital performance measurement operating regulations But the problem is that the principal part of performance measurement is the government, and some weight was realized too subjectively. All of this narrows its application as to small investors who are always in the position with information asymmetry. As for EVA and other models, there are also other problems such as the computing method is complicate, it needs more information about non-financial index. Unfortunately, it spends investors more time cost and opportunity cost. So, it is urgent to construct a performance model which is apt for small investors.
This article tries to construct a logical , reasonable performance measurement model applying factor analysis method in use of the financial information disclosed by listed company and related financial ratios. This text is not only limited to construct a performance measurement model, but also make coordination analysis between its stock price and performance score. The conclusion reveals that under the present capital market environment in 2005, the performance score and stock price don't have a positive relation.
Finally, we point out the creative point and the point of shortage, and we offer the suggestion for further research.
随着我国社会主义市场经济的不断发展,我国资本市场规模的不断扩大,参与证券投资的投资者越来越多,广大投资者究竟应该选择什么样的评价方法,评价模型来对上市公司的业绩进行评价,成为人们逐渐关注的重要问题。
我国目前主要使用的是1999年6月,财政部、国家经贸委、人事部、国家计委联合颁布的《国有资本金效绩评价规则》和《国有资本金效绩评价操作细则》。但存在的问题是其评价主体属于政府管理部门,而且其一些指标权重的确定过于主观化,这对于经常处于信息不对称位置的广大的中小投资者来说,影响了它的使用范围。对于EVA及其他评价方法来说,也存在着计算方法较为复杂,需要占有相当多非财务指标的信息等问题,这增加了投资者的时间成本和机会成本。因此,如何构建一个适合中小投资者使用的业绩评价模型,成为一个紧迫的课题。
本文从广大中小投资者的角度出发,立足于充分利用上市公司披露的财务信息,运用因子分析法建立一个逻辑严密,科学,客观的财务评价模型,并对公司的股价和因子综合得分进行了协调分析。发现在我国目前的市场条件下,二者不呈现显著的正相关关系。
Performance measurement serves for the enterprise management. It has an important impact on company management and it relates to the enterprise core competition's developing and maintaining. Also it influences enterprise's survival and development.
As our socialism market economy has been improving fast, our capital market has been expanding, investors that involve in securities investment have been more and more , there is a question which becomes more and more important that investors should choose which measurement model to invest in securities market.
Now the measurement model that we use was issued in June, 1999 by finance ministry, national economic and trade ministry and other ministry, called <state-owned capital performance measurement rule> and <state-owned capital performance measurement operating regulations But the problem is that the principal part of performance measurement is the government, and some weight was realized too subjectively. All of this narrows its application as to small investors who are always in the position with information asymmetry. As for EVA and other models, there are also other problems such as the computing method is complicate, it needs more information about non-financial index. Unfortunately, it spends investors more time cost and opportunity cost. So, it is urgent to construct a performance model which is apt for small investors.
This article tries to construct a logical , reasonable performance measurement model applying factor analysis method in use of the financial information disclosed by listed company and related financial ratios. This text is not only limited to construct a performance measurement model, but also make coordination analysis between its stock price and performance score. The conclusion reveals that under the present capital market environment in 2005, the performance score and stock price don't have a positive relation.
Finally, we point out the creative point and the point of shortage, and we offer the suggestion for further research.
引文
[1]陈毅.2000.企业业绩评价系统综述(上).外国经济与管理,4:7-10
[2]杜胜利.1999.企业经营业绩评价 北京:经济科学出版社,58-62
[3]高文海.2003.有关上市公司财务指标评价体系的实证研究.硕士学位论文.武汉:武汉理工大学
[4]谷棋,于东智.2000.E V A财务管理系统的理论分析.会计研究,11:18-20
[5]郭莉.1999.在统计分析中如何识别极端值.江苏统计,11:1 6-18
[6]何晓群.1999.现代统计分析方法与运用.北京:人民大学出版社,68-73
[7]肯尼斯.汉科尔,尤西等.2001.现金流量与证券分析.北京:华夏出版社
[8]李姗娜.2005.上市公司财务指标综合评价的实证研究.现代管理科学,1:26-30
[9]刘建翠.2001.上市公司经营业绩评价方法研究.硕士学位论文.北京:首都经济贸易大学
[10]刘贤龙.1990.对企业经济效益综合指标数学模型研究.数理统计与管理,36-39
[11]马忠.2001.经济增加值的业绩评价方法应用研究.北方交通大学学报,10:51-53
[12]毛定祥.2000.上市公司动态复合财物系数.数理统计与管理,1:23-25
[13]潘琐,程小可.2000.上市公司经营业绩的主成分评价方法.会计研究,1:32-35
[14]苏为华.2002.多指标综合评价理论与力法问题研究.北京:中国物价出版社
[15]吴明隆.2000.SPSS统计应用实务.北京:中国铁道出版社28-46
[16]万克淑.2003.上市公司业绩评价指标体系的研究.硕士学位论文.北京:北京理工大学
[17]薛薇.2001.统计分析与SPSS的应用.北京:中国人民大学出版社 250-267
[18]杨光.2000.上市公司经营业绩外部评价研究.硕士学位论文.北京:中央财经大学
[19]杨晶.2004.上市公司业绩评价的财务指标体系研究.硕士学位论文.北京:中央财经大学
[20]杨万霞.2005.基于自由现金流量对企业业绩评价的探讨.硕士学位论文.北京:华北电力大学
[21]叶国瑜.2001.上市公司评价体系研究.硕士学位论文.杭州:浙江大学
[22]叶信才,王美今.1999.上市公司经营业绩综合评分方法的探讨.预测,25-29
[23]游家兴.2003.如何正确运用因子分析法进行综合评价.统计教育,5:47-49
[24]曾卫.2002.上市公司业绩综合评价模型的构建及应用.数理经济技术经济研究,51-55
[25]张爱民,祝春山,许丹健.2001.上市公司财务失败的主成分预测模型及其实证研究.金融研究,32-35
[26]张庆.2002.上市公司业绩评价研究.硕士学位论文.武汉:武汉理工大学
[27]张蕊.2001.企业经营业绩评价理论与方法的变革.会计研究,12:16-18
[28]张蕊.2002.论企业经营业绩评价的理论依据.当代财经,4:52-55
[29]中国企业效绩评价方法研究/中国会计学会组.2002.企业经营业绩评估问题研究.北京:中国财政经济出版社
[30]Alfed M.King.1995.Total Cash Management:A Company wide System for Forecasting,Managing,and Improving Cash Flow.McGraw Hill,Inc.
[31]Antle,R.and A.Smith.1986.An empirical investigation of the relative performance evaluation of corporate executives,Journal of Accounting Research 24,1-39.
[32] Bonnic.P. Stivers, Teresa.J. Covin, Nancy.G, et,al. 1998.How Non-financial Measures are Used.Management Accounting.
[33]Coughlan, A. and R. Schmidt, 1985. Executive compensation, management turnover, and firm performance: An empirical investigation, Journal of Accounting and Economics.
[34]David Lynch.1996.Measuring Financial Sector Development: A Study OF Selected ASIA-PACIFIC Counties.The Developing Economies, XXXIV-1.
[35]David W.Blackwell, James A. Brickley and Michael S. Weisbach .1994.Accounting information and internal performance evaluation. Journal of Accounting and Economics 331～358.
[36]Douglas Clinton and Shimin Chen.1998.Do New Performance Measures Up. Management Accounting, Volume 80.
[37]Gabriel D. Donleavy.1994.Cash Flow Accounting: International uses and abuses. Routledge.
[38]George M. Von Furstenberg,Michele Fratianni.1996.IndicatorsofFinancial Development. North American Journal of Economics & Finance 7(1).
[39]Gerhart, B. and G. Milkovich.1990. Organizational differences in managerial compensation and financial performance. Academy of Management Journal 33, 663-691.
[40]Han, J. C. Y.1994. Empirical Research in Earning forecasts. The Chinese Accounting Review, 42-47.
[41]Hansen, G.S.Wernerfelt.1989. Determinants of firm performance: The relative importance of economic and organizational factors. Strategic Management Journal 10,399-411.
[42]Janakiraman, S., R. Lambert and D. Larcker.1992.An empirical investigation of the relative performance evaluation hypothesis. Journal of Accounting Research.
[43]K.Bertels, J.M. Jacques, L. Neuberg, L. Gatot.1999.Qualitative company performance evaluation:Linear discriminate analysis and neural network models. European Journal of Operational Research 115.
[44]Larry H.P. Lang, Rene M. Stulz, Ralph A. Walkling.1991. A test of the free cash flow hypothesis The case of bidder returns Journal of Financial Economics 29 315-335.
[45]Levine, R, and Renelt, D.1992. A Sensitivity Analysis of Cross-Country Regressions. American Economic Review, Vol. 82, No.4.
[46]Lentz, R.T.1981. Determinants of organizational performance: An interdisciplinary review. Strategic Management Journal 2,131-154.
[47]Leonard, J.1990.Executive pay and firm performance, Industrial and Labor Relations Review 43,13-29.
[48] Lyn M.Fraser,Aileen Ormiston .2001.Understanding Financial Statements.6thed.
[49]Michel J.Gombola and J.Edward Kelz.1998.A Note on Cash Flow and Classification Patterns of Financial Ratios. The Accounting Review Vol,4.
[50]Murphy, K.1985. Corporate performance and managerial remuneration, Journal of Accounting and Economics.
[51]Robert Gibbons,Kevin J. Murphy.1990. Relative Performance Evaluation or Chief Executive Officers. Forthcoming, Industrial and Labor Relations Review.
[52]Stickel.S. E. 1990.Predicting Individual Analyst Earnings Forecasts .Journal of Accounting and Economics.
[53]William R.Dillon and Matthew Gokdstein.1999.Multivariate Analysis: method and Applications. John Wiley&Sons, 56-59.
[2]杜胜利.1999.企业经营业绩评价 北京:经济科学出版社,58-62
[3]高文海.2003.有关上市公司财务指标评价体系的实证研究.硕士学位论文.武汉:武汉理工大学
[4]谷棋,于东智.2000.E V A财务管理系统的理论分析.会计研究,11:18-20
[5]郭莉.1999.在统计分析中如何识别极端值.江苏统计,11:1 6-18
[6]何晓群.1999.现代统计分析方法与运用.北京:人民大学出版社,68-73
[7]肯尼斯.汉科尔,尤西等.2001.现金流量与证券分析.北京:华夏出版社
[8]李姗娜.2005.上市公司财务指标综合评价的实证研究.现代管理科学,1:26-30
[9]刘建翠.2001.上市公司经营业绩评价方法研究.硕士学位论文.北京:首都经济贸易大学
[10]刘贤龙.1990.对企业经济效益综合指标数学模型研究.数理统计与管理,36-39
[11]马忠.2001.经济增加值的业绩评价方法应用研究.北方交通大学学报,10:51-53
[12]毛定祥.2000.上市公司动态复合财物系数.数理统计与管理,1:23-25
[13]潘琐,程小可.2000.上市公司经营业绩的主成分评价方法.会计研究,1:32-35
[14]苏为华.2002.多指标综合评价理论与力法问题研究.北京:中国物价出版社
[15]吴明隆.2000.SPSS统计应用实务.北京:中国铁道出版社28-46
[16]万克淑.2003.上市公司业绩评价指标体系的研究.硕士学位论文.北京:北京理工大学
[17]薛薇.2001.统计分析与SPSS的应用.北京:中国人民大学出版社 250-267
[18]杨光.2000.上市公司经营业绩外部评价研究.硕士学位论文.北京:中央财经大学
[19]杨晶.2004.上市公司业绩评价的财务指标体系研究.硕士学位论文.北京:中央财经大学
[20]杨万霞.2005.基于自由现金流量对企业业绩评价的探讨.硕士学位论文.北京:华北电力大学
[21]叶国瑜.2001.上市公司评价体系研究.硕士学位论文.杭州:浙江大学
[22]叶信才,王美今.1999.上市公司经营业绩综合评分方法的探讨.预测,25-29
[23]游家兴.2003.如何正确运用因子分析法进行综合评价.统计教育,5:47-49
[24]曾卫.2002.上市公司业绩综合评价模型的构建及应用.数理经济技术经济研究,51-55
[25]张爱民,祝春山,许丹健.2001.上市公司财务失败的主成分预测模型及其实证研究.金融研究,32-35
[26]张庆.2002.上市公司业绩评价研究.硕士学位论文.武汉:武汉理工大学
[27]张蕊.2001.企业经营业绩评价理论与方法的变革.会计研究,12:16-18
[28]张蕊.2002.论企业经营业绩评价的理论依据.当代财经,4:52-55
[29]中国企业效绩评价方法研究/中国会计学会组.2002.企业经营业绩评估问题研究.北京:中国财政经济出版社
[30]Alfed M.King.1995.Total Cash Management:A Company wide System for Forecasting,Managing,and Improving Cash Flow.McGraw Hill,Inc.
[31]Antle,R.and A.Smith.1986.An empirical investigation of the relative performance evaluation of corporate executives,Journal of Accounting Research 24,1-39.
[32] Bonnic.P. Stivers, Teresa.J. Covin, Nancy.G, et,al. 1998.How Non-financial Measures are Used.Management Accounting.
[33]Coughlan, A. and R. Schmidt, 1985. Executive compensation, management turnover, and firm performance: An empirical investigation, Journal of Accounting and Economics.
[34]David Lynch.1996.Measuring Financial Sector Development: A Study OF Selected ASIA-PACIFIC Counties.The Developing Economies, XXXIV-1.
[35]David W.Blackwell, James A. Brickley and Michael S. Weisbach .1994.Accounting information and internal performance evaluation. Journal of Accounting and Economics 331～358.
[36]Douglas Clinton and Shimin Chen.1998.Do New Performance Measures Up. Management Accounting, Volume 80.
[37]Gabriel D. Donleavy.1994.Cash Flow Accounting: International uses and abuses. Routledge.
[38]George M. Von Furstenberg,Michele Fratianni.1996.IndicatorsofFinancial Development. North American Journal of Economics & Finance 7(1).
[39]Gerhart, B. and G. Milkovich.1990. Organizational differences in managerial compensation and financial performance. Academy of Management Journal 33, 663-691.
[40]Han, J. C. Y.1994. Empirical Research in Earning forecasts. The Chinese Accounting Review, 42-47.
[41]Hansen, G.S.Wernerfelt.1989. Determinants of firm performance: The relative importance of economic and organizational factors. Strategic Management Journal 10,399-411.
[42]Janakiraman, S., R. Lambert and D. Larcker.1992.An empirical investigation of the relative performance evaluation hypothesis. Journal of Accounting Research.
[43]K.Bertels, J.M. Jacques, L. Neuberg, L. Gatot.1999.Qualitative company performance evaluation:Linear discriminate analysis and neural network models. European Journal of Operational Research 115.
[44]Larry H.P. Lang, Rene M. Stulz, Ralph A. Walkling.1991. A test of the free cash flow hypothesis The case of bidder returns Journal of Financial Economics 29 315-335.
[45]Levine, R, and Renelt, D.1992. A Sensitivity Analysis of Cross-Country Regressions. American Economic Review, Vol. 82, No.4.
[46]Lentz, R.T.1981. Determinants of organizational performance: An interdisciplinary review. Strategic Management Journal 2,131-154.
[47]Leonard, J.1990.Executive pay and firm performance, Industrial and Labor Relations Review 43,13-29.
[48] Lyn M.Fraser,Aileen Ormiston .2001.Understanding Financial Statements.6thed.
[49]Michel J.Gombola and J.Edward Kelz.1998.A Note on Cash Flow and Classification Patterns of Financial Ratios. The Accounting Review Vol,4.
[50]Murphy, K.1985. Corporate performance and managerial remuneration, Journal of Accounting and Economics.
[51]Robert Gibbons,Kevin J. Murphy.1990. Relative Performance Evaluation or Chief Executive Officers. Forthcoming, Industrial and Labor Relations Review.
[52]Stickel.S. E. 1990.Predicting Individual Analyst Earnings Forecasts .Journal of Accounting and Economics.
[53]William R.Dillon and Matthew Gokdstein.1999.Multivariate Analysis: method and Applications. John Wiley&Sons, 56-59.
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