我国港航上市公司股票价格行为实证研究
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摘要
本文以经验性实证研究为主要方法，旨在探索我国港航上市公司股票价格行为和影响因素，笔者收集了18家港航上市公司自上市以来的股票每日收盘价并计算出年加权平均价格，对股票信息进行了统计性描述；同时整理了这些公司公布的所有财务年报，对相关的财务指标进行了统计归类；在此基础上分析了各变量的特征和变量之间的联系；最后构建了反映港航上市公司股票定价特点的回归模型。文章首先简述了港航上市公司的股权结构、股本规模、总市值、每股净资产和市盈率指标，从静态角度分析了港航企业股票的特点，刻画了港航企业所经历的发展历程。接着笔者从长期和短期两个角度分析了我国港航上市公司的总体价格走势与上证指数之间的关系，在文章的第四部分笔者分析了港航企业股利政策的特点和影响港航企业股利政策主要因素，检验了相关理论在这个具体行业上的适用性，得出了影响我国港航企业股利政策的主要因素有收益的标准差，ROE，净资产规模和股票价格。第五部分是本文的重点，笔者运用因子分析和多元线性回归分析的方法研究了影响港航股股价的重要因素：从纵向角度来看，影响港航股总体价格趋势的因素有宏观经济因素(GDP、M_1)，盈利能力(平均每股盈利、实际利率)和股本扩张速度；从横向角度而言，造成港航上市公司股价差异的最主要的原因是每股净资产和每股盈利。最后总结全文得出结论，为投资者，企业和政府决策提供参考。
This paper explores the pricing behavior of china's port and shipping listed companies by means of experience empirical research. The daily price data is collected from the 18 listed companies since 1994 and computed by weighted average yearly pricing method; the financial ratios are established based on the income statements and balance sheets, the characteristic of each variables and the relationships between them are studied; and finally a multiple pricing linear equation is set up in order to find the trace of the pricing behavior of the port and shipping listed companies. Then this paper analyzed results mentioned above from several aspects, as follows:
Analyzed the proportion of marketable stock in the total equity;
Analyzed the instinct value and the characteristics of the stock of port and shipping industry, described its developing history through such indexes, as total market value, net asset per share, EPS, and P/E ratio.
Analyzed the relationship between the weighted average yearly price of this industry and ShangHai stock index from long term and short term respectively.
Analyzed the dividend policy of port and shipping companies, and revealed the main factors influencing its decision-making.
Analyzed the main factors which influences the price of this industry through Factor Analysis and Multiple Regression Model form vertical and horizontal respectively, in vertical aspect, GDP, M1, real interest rate, EPS, and net asset per share determines the weighted average yearly price of the this industry; in horizontal aspects, net asset per share and EPS makes the stock price of one company different from another.
Finally, conclusions have been made which shall be of great help to the investors, creditors and government decision makers.
This paper explores the pricing behavior of china's port and shipping listed companies by means of experience empirical research. The daily price data is collected from the 18 listed companies since 1994 and computed by weighted average yearly pricing method; the financial ratios are established based on the income statements and balance sheets, the characteristic of each variables and the relationships between them are studied; and finally a multiple pricing linear equation is set up in order to find the trace of the pricing behavior of the port and shipping listed companies. Then this paper analyzed results mentioned above from several aspects, as follows:
Analyzed the proportion of marketable stock in the total equity;
Analyzed the instinct value and the characteristics of the stock of port and shipping industry, described its developing history through such indexes, as total market value, net asset per share, EPS, and P/E ratio.
Analyzed the relationship between the weighted average yearly price of this industry and ShangHai stock index from long term and short term respectively.
Analyzed the dividend policy of port and shipping companies, and revealed the main factors influencing its decision-making.
Analyzed the main factors which influences the price of this industry through Factor Analysis and Multiple Regression Model form vertical and horizontal respectively, in vertical aspect, GDP, M1, real interest rate, EPS, and net asset per share determines the weighted average yearly price of the this industry; in horizontal aspects, net asset per share and EPS makes the stock price of one company different from another.
Finally, conclusions have been made which shall be of great help to the investors, creditors and government decision makers.
引文
[1] 曹凤岐，证券投资学，第二版，2001，北京大学出版社
[2] 乐烨，我国港口类上市公司投融资分析，港口经济，2003，第6期，
[3] 王学仁，经济学中的统计方法，2000，北京科学出版社，154-167
[4] 雷钦礼，经济管理多元统计分析，第一版，2002，中国统计出版社
[5] 王益、刘波，资本市场，第一版，2002，经济科学出版社
[6] 施东晖，中国股市微观行为理论与实证，第一版，2001，上海远东出版社
[7] 钱爱民 吴革，企业财务会计报告分析，2002，中国金融出版社
[8] 严于龙，中国货币政策研究，中国软科学，1996，3，39-43
[9] 俞乔，市场有效，周期异动与股价波动，经济研究，1994，9
[10] 宋颂兴，金伟根，上海股市市场有效性实证研究，经济学家，1995，4
[11] 吴世农，上海股票市场效率分析与评价，投资研究，1994，8
[12] 肖辉赞，关于我国股市市盈率的思考，辽宁工程技术大学学报，1999，12，29-30
[13] 李宏英，中国上市公司市盈率分析，北方经贸，2002，5，64-65
[14] 都志灵、梁博、李晨辉，分配方案对股票价格影响的实证研究：中国案例，世界经济，1999，10
[15] 魏刚，我国上市公司股利分配的实证研究，经济研究，1998，6
[16] 吕长江、王克敏，上市公司股利政策的实证分析，经济研究，2000，2
[17] 刘星、李豫湘，股利决策对股价影响的研究，重庆大学学报，1997，9，
[18] 杨淑娥、王勇、白革萍，我国股利分配影响因素的实证分析，经济研究，2000，2
[19] 陈国辉、赵春光，上市公司选择股利政策动因的实证研究，财金问题研究，2000，5
[20] 张志柏、俞自由、解振鸿，物价、经济增长与货币政策，财金研究，2001，3，21-25
[21] 檀向球、周维颖、夏宽云，“绩优成长股”股票定价模型研究，财经研究，2001，
27，36-42
[22] 陈述云，基本面因素对A股股价变动影响程度的实证研究，贵州财金学院学报，2001，4，33-36
[23] 罗源潮、曹英，影响股价走势的因素分析，西安金融，2003，6，51-52
[24] 刘斌、邱国栋、姚亮，中国港航上市公司股价动态实证研究，大连海事大学学报，2004，2
[24] Dayanada D. and Wen Yao Ko, Stock Market Returns And Macroeconomic [23] Variables In Tai Wan, Advances In Pacific Basic Financial Markets, 1996, 95-110
[25] Fama. E. F., The Behavior Of Stock Market Price, Journal Of Business, 1965, January, 34-105
[26] Fama. E. F., Efficient Capital Market: A Review Of Theory And Empirical Work,Journal Of Finance, 1970, May, 383-417
[27] Fama. E. F., Stock Returns Real Activity, Inflation, And Money, American Economic Review, 1981, 71,545-564
[28] Friedam. M., Money And Stock Market, Journal Of Political Economy, 1988, April, 221-244
[29] Mookerjee. R., And Qiao Yu, An Empirical Analysis Of The Equity Markets In China, Review Of Finance Economics, 1999, 8, 41-60.
[30] Wong. A. K. And K. S. Kwong, The Behavior Of Hongkong Prices, Applied Economics, 1984,16,95-97
[31] Tobin. J. And Golub. S. S., Money, Credit And Capital, Mcgrawhill Companies Inc., 1998
[32] West. R. R., On The Differences Between Internal And External Efficiency, Financial Analysis Journal, 1975, Nov
[33] William. L. Meggiuson, Cooperate Finance Theory, 1997, Addison-Wesley Educational Publisher Inc.
[2] 乐烨，我国港口类上市公司投融资分析，港口经济，2003，第6期，
[3] 王学仁，经济学中的统计方法，2000，北京科学出版社，154-167
[4] 雷钦礼，经济管理多元统计分析，第一版，2002，中国统计出版社
[5] 王益、刘波，资本市场，第一版，2002，经济科学出版社
[6] 施东晖，中国股市微观行为理论与实证，第一版，2001，上海远东出版社
[7] 钱爱民 吴革，企业财务会计报告分析，2002，中国金融出版社
[8] 严于龙，中国货币政策研究，中国软科学，1996，3，39-43
[9] 俞乔，市场有效，周期异动与股价波动，经济研究，1994，9
[10] 宋颂兴，金伟根，上海股市市场有效性实证研究，经济学家，1995，4
[11] 吴世农，上海股票市场效率分析与评价，投资研究，1994，8
[12] 肖辉赞，关于我国股市市盈率的思考，辽宁工程技术大学学报，1999，12，29-30
[13] 李宏英，中国上市公司市盈率分析，北方经贸，2002，5，64-65
[14] 都志灵、梁博、李晨辉，分配方案对股票价格影响的实证研究：中国案例，世界经济，1999，10
[15] 魏刚，我国上市公司股利分配的实证研究，经济研究，1998，6
[16] 吕长江、王克敏，上市公司股利政策的实证分析，经济研究，2000，2
[17] 刘星、李豫湘，股利决策对股价影响的研究，重庆大学学报，1997，9，
[18] 杨淑娥、王勇、白革萍，我国股利分配影响因素的实证分析，经济研究，2000，2
[19] 陈国辉、赵春光，上市公司选择股利政策动因的实证研究，财金问题研究，2000，5
[20] 张志柏、俞自由、解振鸿，物价、经济增长与货币政策，财金研究，2001，3，21-25
[21] 檀向球、周维颖、夏宽云，“绩优成长股”股票定价模型研究，财经研究，2001，
27，36-42
[22] 陈述云，基本面因素对A股股价变动影响程度的实证研究，贵州财金学院学报，2001，4，33-36
[23] 罗源潮、曹英，影响股价走势的因素分析，西安金融，2003，6，51-52
[24] 刘斌、邱国栋、姚亮，中国港航上市公司股价动态实证研究，大连海事大学学报，2004，2
[24] Dayanada D. and Wen Yao Ko, Stock Market Returns And Macroeconomic [23] Variables In Tai Wan, Advances In Pacific Basic Financial Markets, 1996, 95-110
[25] Fama. E. F., The Behavior Of Stock Market Price, Journal Of Business, 1965, January, 34-105
[26] Fama. E. F., Efficient Capital Market: A Review Of Theory And Empirical Work,Journal Of Finance, 1970, May, 383-417
[27] Fama. E. F., Stock Returns Real Activity, Inflation, And Money, American Economic Review, 1981, 71,545-564
[28] Friedam. M., Money And Stock Market, Journal Of Political Economy, 1988, April, 221-244
[29] Mookerjee. R., And Qiao Yu, An Empirical Analysis Of The Equity Markets In China, Review Of Finance Economics, 1999, 8, 41-60.
[30] Wong. A. K. And K. S. Kwong, The Behavior Of Hongkong Prices, Applied Economics, 1984,16,95-97
[31] Tobin. J. And Golub. S. S., Money, Credit And Capital, Mcgrawhill Companies Inc., 1998
[32] West. R. R., On The Differences Between Internal And External Efficiency, Financial Analysis Journal, 1975, Nov
[33] William. L. Meggiuson, Cooperate Finance Theory, 1997, Addison-Wesley Educational Publisher Inc.