本文關(guān)鍵詞： 選股模型 主成分分析 logistic回歸 穩(wěn)定收益　出處：《重慶大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：半個(gè)世紀(jì)以來，全世界的證券市場(chǎng)經(jīng)歷了巨大的發(fā)展演變，而隨著我國(guó)經(jīng)濟(jì)的逐漸開放，其證券交易事業(yè)也逐漸繁榮起來。投資者做為證券市場(chǎng)不可或缺的角色，長(zhǎng)期合理的投資收益是保證投資者進(jìn)行股票市場(chǎng)投資的關(guān)鍵，能否獲得有效的投資收益則貫穿于整個(gè)投資過程的始末。目前，國(guó)內(nèi)外不乏對(duì)于股票方面研究的理論以及實(shí)證分析，然而國(guó)外的股票投資方法由于政策等原因不適宜我國(guó)的證券市場(chǎng)，國(guó)內(nèi)的研究則以股票價(jià)格影響因素的分析居多，而有效股票選擇方法的研究則較為缺乏。因此，本文擬將利用統(tǒng)計(jì)方法提出一套有效的選股分析方法，以幫助投資者快速而有效的從A股市場(chǎng)2000多支股票中選擇適于自己投資的股票。 要選擇有價(jià)值的股票進(jìn)行投資，上市公司的良好運(yùn)營(yíng)是股票獲得良好收益的保證，即對(duì)于公司基本面的分析是必要的。本文以價(jià)值投資分析理論為原點(diǎn)，利用基本面分析法對(duì)于影響股票波動(dòng)的因素做了分析與介紹，并從中選取了27個(gè)可量化指標(biāo)建立了以公司評(píng)價(jià)以及行業(yè)評(píng)價(jià)對(duì)指標(biāo)的上市公司評(píng)價(jià)體系，然后從該評(píng)價(jià)體系出發(fā)探討研究選擇具有穩(wěn)定性收益股票建立股票池的方法。本文首先使用R軟件對(duì)該評(píng)價(jià)體系進(jìn)行了主成分分析，按照累積貢獻(xiàn)率大于80%的要求，篩選出13個(gè)對(duì)于該評(píng)價(jià)體系進(jìn)行描述的因子。其次，對(duì)這13個(gè)因子以及上市公司60天內(nèi)的漲跌幅進(jìn)行兩次logistic回歸，在此基礎(chǔ)上確定了與股票波動(dòng)顯著相關(guān)的5個(gè)主成分因子，然后利用這五個(gè)主成分建立起的綜合因子得分模型進(jìn)行選股。 本文將根據(jù)以上分析方法得到的選股模型用于以下四個(gè)行業(yè)：醫(yī)藥生物、信息服務(wù)、農(nóng)林牧漁、紡織服裝，對(duì)其中的357家上市公司的選股，選擇兩種方法對(duì)結(jié)果進(jìn)行實(shí)證，一是從每個(gè)行業(yè)選擇排名前10的股票進(jìn)行實(shí)證結(jié)果分析，二是從每個(gè)行業(yè)選擇兩家公司建立股票池進(jìn)行實(shí)證結(jié)果分析。通過實(shí)證結(jié)果發(fā)現(xiàn)，這兩種結(jié)果中，上漲的公司個(gè)數(shù)均占到選出股票總個(gè)數(shù)的60%至70%，，并且按照價(jià)格比對(duì)，也可以獲得一定的合理收益。因此，通過該實(shí)證結(jié)果分析驗(yàn)證了本文提出的選股模型對(duì)于選擇長(zhǎng)期穩(wěn)定盈利的股票建立股票池的有效性，對(duì)于實(shí)踐應(yīng)用具有重大意義。
[Abstract]:Over the past half century, the world's securities market has undergone tremendous development and evolution, and with the gradual opening of our country's economy, its securities trading business has gradually flourished. Investors, as an indispensable role in the securities market, A long-term and reasonable return on investment is the key to ensure that investors invest in the stock market, and whether or not to obtain effective investment returns runs through the whole investment process. There is no lack of theoretical and empirical analysis of stock research at home and abroad. However, foreign stock investment methods are not suitable for China's stock market due to policy and other reasons. However, the research on effective stock selection method is scarce. Therefore, this paper proposes a set of effective stock selection analysis methods by using statistical method. To help investors quickly and effectively from the A-share market of more than 2, 000 stocks suitable for their own investment. In order to select valuable stocks for investment, the good operation of listed companies is the guarantee of good returns for stocks, that is, it is necessary to analyze the fundamental aspects of the company. This paper takes the theory of value investment analysis as the origin. This paper analyzes and introduces the factors that affect the stock fluctuation by using the fundamental analysis method, and selects 27 quantifiable indexes to establish the evaluation system of the listed company with the index of the company evaluation and the industry evaluation. Then the method of establishing stock pool with stable return stock is studied from the evaluation system. Firstly, the principal component analysis of the evaluation system is carried out by using R software, according to the requirement of cumulative contribution rate greater than 80%. The 13 factors that describe the evaluation system are screened out. Secondly, the 13 factors and the fluctuation of listed companies within 60 days are analyzed by logistic regression twice. On this basis, the five principal component factors which are significantly related to the volatility of stocks are determined. Then use the five principal components to establish a comprehensive factor score model for stock selection. This paper applies the stock selection model obtained from the above analysis to the following four industries: pharmaceutical biology, information service, agriculture, forestry, herding and fishing, textile and clothing, and chooses two methods to demonstrate the results of the stock selection of 357 listed companies. One is to select the top 10 stocks from each industry to analyze the empirical results, the other is to select two companies from each industry to set up a stock pool for empirical analysis. The number of companies rising accounts for 60% to 70 percent of the total number of stocks selected, and can also make a reasonable return according to the price ratio. The empirical results verify the effectiveness of the stock selection model proposed in this paper for the selection of long-term stable profits of stocks to establish a stock pool, and it is of great significance for practical application.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F831.51

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