摘要
本文采用非线性面板平滑转换(PSTR)模型就财务信息对股价的综合效应影响进行了深入研究,得到如下结论:股价对每股收益的弹性在0.287至0.929之间波动;股价对每股净资产的弹性在0.096至0.346之间波动;股价对净资产收益率的弹性在0.098至0.231之间波动。股价对主营业务利润率的弹性在0.370至0.400之间波动;股价对每股营业现金净流量的弹性在-0.143至0.245之间波动;股价对销售现金比率的弹性在-0.125至0.066之间波动;股价对存货周转率的弹性在1.037至1.173之间波动;股价对总资产周转率的弹性在-0.305至0.059之间波动。
We make research about the question of comprehensive financial information influence on the stock price by panel smooth transition model（PSTR） in this paper,and get the following conclusions： the flexibility of stock price to earnings per share is between 0.287 and 0.929,the flexibility of stock price to net asset value per share is between 0.096 and 0.346,the flexibility of stock price to return on equity is between 0.098 and 0.231,the flexibility of stock price to main operating margins is between 0.370 and 0.400,the flexibility of stock price to net cash flow per share is between-0.143 and 0.245,the flexibility of stock price to cash sales ratio is between-0.125 and 0.066,the flexibility of stock price to inventory turnover ratio is between 1.037 and 1.173,the flexibility of stock price to turnover of total capital is between-0.305 and 0.059.
出处
《统计研究》
CSSCI
北大核心
2011年第11期98-104,共7页
Statistical Research
基金
国家自然科学基金项目“基于资产价格波动的扩展货币政策规则构建及其仿真研究”(项目批准号:70873015)的阶段性研究成果
2008年度教育部回国人员科研启动金项目“资产价格波动对货币政策规则影响的实证研究”(项目批准号:教外司留[2008]890号)
2009年度东北财经大学社会与行为跨学科研究中心核心项目“社会科学跨学科定量方法研究”
2009年度辽宁省百千万人才工程入选项目“五点一线战略下大连商品期货市场的发展与实证研究”(项目批准号:2009921099)
2010年度辽宁省重点实验室项目“金融计量模型的诊断与稳健建模方法模拟”(项目批准号:WS2010003)
辽宁省教育厅2007年度创新团队项目计划“金融风险的测量与建模”(项目批准号:2007T030)共同资助
