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MBA毕业论文_盈利持续性、盈利预期与股票估值

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文本描述
Earning Persistence, Earning
Expectation and Stock Valuation
Dissertation Submitted to
Tsinghua University
in partial fulfillment of the requirement
for the degree of
Doctor of Management
by
Wu Guoqing
(Business Administration )
Dissertation Supervisor: Professor Chen Xiaoyue
April, 2007
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作者签名:_______________导师签名:_________________
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摘要
基于盈利的时间序列性质,本文建立了盈利持续性、盈利预期与股价的理
论联系。以Ohlson(1995)的模型为参照,本文要回答的问题是:1)能否直接建
立盈利及其持续性与股价的理论联系,而无需引入账面价值这个会计数字?2)
模型能否Ohlson(1995)一样富有经济直觉并具有简洁、直观的数学形式,而便于
实证分析?3)实证上,模型的预测是否得到了实际数据的支持?4)这个模型
能否为市盈率的均值回归现象提供理论解释?5)能否进一步分解盈利,建立一
个基于盈利成分及其持续性的股票估值模型?
首先,本文从IMA(1,1)的过程入手,基于股利贴现模型,建立了盈利持续
性、盈利预期与股价之间的理论联系。模型指出,当期的股价可以表示为当期
盈利的贴现值与上一期股价的加权平均,而权重仅取决于盈利持续性。盈利持
续性越高,当期盈利的价值相关性越高,期初股价的价值相关性越低,反之亦
反。因此,它与Ohlson(1995)在形式和结论上都非常类似。导出了基于盈利持续
性的估值模型之后,盈利持续性与盈利反应系数之间的联系就可以直接地建立
实证上,本文模型的预测在中国A股市场上得到了有力的支持,预示了其良好
的运用前景
其次,在建立了盈利及其持续性与股价的理论联系后,本文进一步导出了
一个基于盈利持续性的市盈率模型。 这个模型指出,暂时性盈利的存在会导致
市盈率与当期盈利变动存在负相关性,并可能与下一期的盈利变动存在正相关
性。最重要的是,模型指出正是暂时性盈利的存在,导致了市盈率的均值回归
趋势
最后,分解盈利为各盈利成分,本文建立了盈利成分及其持续性与股价之
间的理论联系。模型指出,当期的股价是当期的盈利成分和期初股价的线性函
数。盈利成分的持续性越高,其价值相关性也越大,期初股价的价值相关性就
越低,反之亦反。因此,从持续性的角度,这个模型可以对盈利成分的信息内
涵或价值相关性进行合理的解释
关键词:盈利; 盈利成分; 盈利持续性; 股票价值
Abstract
Based on the time series property of earnings, this paper builds the theoretical
relation between earning persistence, earning expectation and stock valuation. With
Ohlson (1995) model as a reference point, this paper tries to answer the following
questions: 1) whether we can build a valuation model based on accounting earnings
and its persistence directly, without introducing book value as an additional ingredient
2) Will it be as economically intuitive and empirically friendly as Ohlson (1995) 3)
How it will perform when explaining the cross-sectional variation of stock price 4)
Can it explain the mean-reverting effect of P/E ratios 5) Can we decompose earning
into its components, and build a valuation model based on earnings components and
their persistence
Firstly, relying on IMA(1,1), we build the relation between earning persistence、
earning expectation and stock value. The model shows that current stock value is the
weight average of the capitalization of current earning and lag stock value, and the
weights sonly depend on earnings persistence. Earning is more value relevant when
it’s more persistent, while lag stock value is more value relevant when earning is less
persistent. Therefore, our model and Ohlson (1995) have much in common but differs
subtly as well. Based on our model, earning response coefficient can easily be derived.
Empirically, we find that our model performs well in explaining the cross sectional
variation of China’s A share stock price.
Secondly, our model can directly derive the relation between P/E and transitory
earning. It can explain the cross-sectional and temporal variation of P/E, such as the
mean reversion phenomenon of P/E towards an intermediate value. The P/E model
predicts that transitory earning will lead the P/E to revert, and P/E ratio will
negatively correlated with current earning growth, and positively correlated with
subsequent earning growth, which is consistent with the empirical findings.
Finally, earning is decomposed into its components and differential persistence
for these components is allowed for. Again, the relation of earning components’
persistence and stock value is derived. The model shows that current stock value is。