影响ST股摘帽后投资收益的因素分析

Analysis of Factors Affecting ST Stocks after Cap Investment Returns

通过对2014~2021年我国A股市场上ST股票的历史数据进行研究,从定性和定量两个角度分析影响ST股票投资收益的因素。通过定性分析,得出区域差异对ST股投资收益的影响正逐渐减弱,行业差异和是否国有对ST股的投资收益有着较为显著的影响,行业上占有资源能源、固定资产比例高、产品需求弹性小的ST股和公司性质为国有企业的ST股的摘帽机会更大,投资收益更高。从定量角度分析影响ST股票投资收益的因素,采用多元回归分析了ST股票摘帽事件的样本,实证分析了解释变量对累计超额收益率的影响。其中,以累计超额收益率为被解释变量,选取了公司性质变量、公司规模变量、公司盈利能力变量和股票变量这四个方面共计10个解释变量进行回归分析,最后得出市净率,分属产业,净利润增长率,每股收益,股价,总市值,流通市值这6个变量对累计超额收益率有着显著影响。本文通过定量分析,最终得出影响ST股投资收益的主要因素有:股价及市净率、所属行业、公司规模、公司盈利能力。

Through the research on the historical data of ST stocks in China's A-share market from 2014 to 2021, the factors affecting the return on investment of ST stocks are analyzed from both qualitative and quantitative perspectives. Through qualitative analysis, it is concluded that the impact of re-gional differences on the investment income of ST shares is gradually weakening, and industry dif-ferences and whether the state-owned enterprises have a more significant impact on the invest-ment income of ST shares. ST shares that occupy resources and energy in the industry have a high proportion of fixed assets and have a small elasticity of product demand, and those that are state-owned enterprises have a greater chance of decanting and higher investment income. This paper analyzes the factors that affect the return on ST stock investment from a quantitative per-spective uses multiple regression to analyze the sample of ST stock decapitation event, and empiri-cally analyzes the influence of explanatory variables on the cumulative excess return. Among them, taking the cumulative abnormal rate of return as the explained variable, a total of 10 explanatory variables from the four aspects of the company’s nature variable, the company’s scale variable, the company’s profitability variable and the stock variable are selected for regression analysis. Finally, it is concluded that the price-to-book ratio, the industry, the net profit growth rate, the earnings per share, the stock price, the total market value and the circulation market value have a significant impact on the cumulative abnormal rate of return. Through quantitative analysis, this paper finally comes to the conclusion that the main factors affecting the return on investment in ST shares are: stock price, price-to-book ratio, industry, company size, and profitability.