I 摘要 上市公司的财务质量可以直观表现企业对于各类资源的运用与管理效率，财务 质量评价对于企业的各类利益相关者均有重要意义。但由于对财务信息不重视、利 用率不高，还有各方利益相关者只简单且片面的关注企业反映利润的各项指标等情 况的存在，导致了对于财务信息的重视不足，因此财务会计信息对于企业本身及利 益相关者们的重要性需要进一步强调。 本文通过变形戈登增长模型并结合了我国上市企业的具体情况从盈利性、安全 性、成长性这三个维度创新构建财务质量评价指标体系，将2018年深证A股的574 家样本企业作为研究对象进行财务质量评价。接着本文以财务质量评价指标体系为 基础构建了财务质量因子，将财务质量因子与股票收益回归，验证财务质量的市场 溢价能力，分析财务质量因子是否为影响股票收益的因素。 评价结果显示样本公司的财务质量得分分布基本符合正态分布的规律，这表示 本文所用财务质量评价方法符合统计规律。样本企业无论在盈利性、安全性、成长 性三个维度或是综合财务质量均表现一般，但由于样本企业存在很大差异，也有许 多表现优异的企业存在。通过将财务质量因子与股票收益进行回归分析，发现构建 的财务质量因子超半数通过检验，说明由财务质量评价指标体系构建的财务质量因 子QMJ能够很好的解释深证A股股票收益率，也同时说明了财务质量的市场溢价能 力较强。最后根据评价及回归结果相应提出改进上市企业财务质量的对策建议。 关键词财务质量；市场溢价；股票收益率；戈登增长模型；对策建议； Abstract III Abstract Thefinancialqualityofalistedcompanycandirectlyshowtheefficiencyofthe company'suseandmanagementofvariousresources,andtheevaluationoffinancial qualityisofgreatsignificancetovariousstakeholdersofthecompany.However,dueto thelackofemphasisonfinancialinformation,thelowutilizationrate,andthefactthatall stakeholderssimplyandone-sidedlypayattentiontothevariousindicatorsofthe company’sprofits,etc.,thishasledtoinsufficientattentiontofinancialinformation. Therefore,financialaccountingTheimportanceofinformationtotheenterpriseitselfand itsstakeholdersneedstobefurtheremphasized. Inthispaper,throughthetransformationofGordon’sgrowthmodelandcombining thespecificconditionsofmycountry’slistedcompanies,thefinancialqualityevaluation indexsystemhasbeeninnovativelyconstructedfromthethreedimensionsofprofitability, safetyandgrowth,and574samplecompaniesofShenzhenStockExchangeAsharesin 2018Asaresearchobject,evaluatefinancialquality.Thenthispaperconstructsthe financialqualityfactorbasedonthefinancialqualityevaluationindexsystem,returnsthe financialqualityfactortostockreturns,verifiesthemarketpremiumoffinancialquality, andanalyzeswhetherthefinancialqualityfactorisafactorthataffectsstockreturns. Theevaluationresultsshowthatthefinancialqualityscoredistributionofthesample companiesbasicallyconformstothelawofnormaldistribution,whichmeansthatthe financialqualityevaluationmethodusedinthisarticleconformstothestatisticallaw.The samplecompaniesperformedgenerallyintermsofprofitability,safety,growth,and overallfinancialquality.However,duetothelargedifferencesinthesamplecompanies, therearealsomanyoutstandingcompanies.Throughregressionanalysisoffinancial qualityfactorsandstockreturns,itisfoundthatmorethanhalfoftheconstructed financialqualityfactorspassthetest,indicatingthatthefinancialqualityfactorQMJ constructedbythefinancialqualityevaluationindexsystemcanexplaintheShenzhen A-sharestockreturnratewell.Atthesametime,itshowsthatfinancialqualityhasa strongmarketpremiumability.Finally,accordingtotheevaluationandregressionresults, correspondingcountermeasuresandsuggestionsforimprovingthefinancialqualityof listedcompaniesareproposed. 河北科技大学硕士学位论文 IV KeywordsFinancialquality;Marketpremium;Stockreturnrate;Gordongrowthmodel; Measuresandsuggestions 目录 V 目录 摘要····································································································I Abstract·································································································III 第1章绪论·······················································································1 1.1研究背景及意义·············································································1 1.1.1研究背景·················································································1 1.1.2研究意义·················································································1 1.2研究现状······················································································2 1.2.1财务质量相关研究现状·······························································2 1.2.2市场溢价相关研究现状·······························································4 1.2.3文献评述·················································································6 1.3研究思路、方法及技术路线······························································7 1.3.1研究思路·················································································7 1.3.2研究方法·················································································7 1.3.3技术路线·················································································8 1.3.4论文的创新点···········································································8 第2章相关概念界定和理论基础·····························································11 2.1财务质量概念···············································································11 2.2财务质量的利益相关者···································································11 2.3有效市场假说···············································································13 2.4戈登增长模型···············································································14 2.5Fama-MacBeth截面回归·································································15 2.6本章小结·····················································································16 第3章财务质量评价指标体系构建··························································17 3.1指标体系构建原则·········································································17 3.2指标体系构成要素分析···································································17 3.2.1盈利性················································································