本文選題：公司價(jià)值　切入點(diǎn)：面板數(shù)據(jù)模型　出處：《吉林大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：公司價(jià)值是公司金融領(lǐng)域的核心內(nèi)容，也是金融學(xué)科中最重要的概念之一，它不僅是公司管理者和投資者非常關(guān)注的指標(biāo)，也是國內(nèi)外學(xué)者進(jìn)行科學(xué)研究的重要方面。前人對公司價(jià)值的研究已取得了很多重要的成果，例如生命周期理論以及MM定理等等，這些研究多集中在公司價(jià)值的測度以及影響公司價(jià)值的原因上。此外，公司價(jià)值有波動性特點(diǎn)，這是理論研究和典型事實(shí)已經(jīng)證明了的結(jié)論。但本文研究的視角是排除外在因素的影響，單純的看公司面臨相似的外部環(huán)境的情況下，其價(jià)值本身是否會隨上市年齡變化，若是，那么其變化規(guī)律又將是怎樣的。本文就對這一點(diǎn)進(jìn)行實(shí)證研究。研究結(jié)果不僅具有理論意義，更具有一定的實(shí)踐意義。不論是對公司決策者，投資者還是市場監(jiān)管者，本文都能夠提供更加科學(xué)的依據(jù)和更加可靠的數(shù)據(jù)支持。 本文實(shí)證研究所使用的樣本是香港聯(lián)合交易所上市公司的全樣本價(jià)值指標(biāo)數(shù)據(jù)。之所以選擇香港上市公司的數(shù)據(jù)是因?yàn)橄愀圩C券市場擁有開放的、競爭性的交易環(huán)境，健全的監(jiān)管機(jī)制及良好的監(jiān)管環(huán)境，加之香港政府實(shí)行有利于投資的的稅收政策，使得香港證券市場更加接近于有效市場。研究所使用的計(jì)量方法是面板數(shù)據(jù)分析方法，被解釋的變量為所選取的上市公司的各個(gè)價(jià)值指標(biāo)及其經(jīng)過適當(dāng)調(diào)整后的變量，解釋變量為以季度計(jì)算的上市年齡T以及它的二次冪、三次冪和四次冪。 為排除各種外部環(huán)境因素的干擾，確保實(shí)證結(jié)果的穩(wěn)健性，本文擬采用兩種數(shù)據(jù)處理方法來對上市公司價(jià)值進(jìn)行研究。一種是基于不同IPO時(shí)間，分別對從2000年到2009年在香港聯(lián)合交際所IPO的上市公司的全樣本數(shù)據(jù)進(jìn)行面板數(shù)據(jù)模型回歸，研究不同IPO時(shí)間上公司價(jià)值的變化趨勢；另一種是基于不同上市時(shí)間長度，分別對上市時(shí)間滿三年到十年的所有上市公司運(yùn)用面板數(shù)據(jù)模型回歸，研究不同時(shí)間長度上公司價(jià)值的變化趨勢。對這兩種方式處理的數(shù)據(jù)，本文都將從三個(gè)方面進(jìn)行實(shí)證分析，一個(gè)是直接使用各個(gè)價(jià)值指標(biāo)利用各個(gè)價(jià)值指標(biāo)數(shù)據(jù)做面板模型回歸；一個(gè)是將各個(gè)價(jià)值指標(biāo)除以股票指數(shù)（本文選取的是當(dāng)期的恒生指數(shù)）來去除市場趨勢的影響，然后再回歸；最后是對市場價(jià)值變化趨勢的穩(wěn)健性檢驗(yàn)。 實(shí)證分析結(jié)果表明，回歸方程中時(shí)間項(xiàng)T的最高次冪為二次冪的面板數(shù)據(jù)回歸模型刻畫的上市公司價(jià)值的變動規(guī)律與實(shí)際變動情況最為相符，二次項(xiàng)系數(shù)回歸結(jié)果中正數(shù)個(gè)數(shù)占絕大多數(shù)。說明上市公司價(jià)值隨時(shí)間的變化服從系數(shù)為正的二次分布，，即公司選擇發(fā)行上市后，其價(jià)值不會立即上升，而是先呈現(xiàn)出一定程度下降的趨勢然后才會不斷上升，在圖像上表現(xiàn)為正U型變化趨勢。另外，公司價(jià)值受外部環(huán)境的影響十分敏感，公司選擇有利上市時(shí)間點(diǎn)（即在有利的外部環(huán)境條件下發(fā)行上市），對公司價(jià)值及公司將來的發(fā)展都有非常重要的作用。
[Abstract]:The value of the company is the core content of the corporate finance, the concept is one of the most important financial subjects, it is not only the company managers and investors are very concerned about the index, but also an important aspect of domestic and foreign scholars to conduct scientific research. The research on the value of the company's predecessors have obtained many important achievements, such as the life cycle theory and MM why measure theorem etc., the research mainly concentrates on the value of the company and affect the company's value. In addition, the volatility of the characteristic value of the company, which is the theoretical research and typical facts have proved that the conclusion. But the perspective of this paper is to exclude the impact of external factors, the company faced similar external environment under the condition of the value itself is listed with the change of age, if so, what will be the changes. This article on this point by empirical research. The results not only have theoretical significance, but also have practical significance. This paper can provide more scientific basis and more reliable data support for company decision makers, investors or market regulators.
By using the research sample of this paper is the full sample value index data of companies listed on the Hongkong stock exchange. The Hong Kong listed companies chose data because the Hongkong stock market has open, competitive trading environment, a sound regulatory mechanism and good regulatory environment, coupled with the government of Hongkong to implement the investment tax policy making the Hongkong stock market is more close to the market. The effective measurement method used is the study of panel data analysis, each value index is selected as the explanatory variables of listed companies and the properly adjusted variables and explanatory variables for the listed age T in order to calculate the quarter and the two power, three power and a power of four.
To exclude the interference of various factors in the external environment, to ensure the robustness of the empirical results, this paper uses two kinds of data processing methods to study the value of the listed companies. One is IPO based on different time, the sample data of listed companies from 2000 to 2009 in the Hongkong United Communication IPO respectively for panel data regression model the change trend of time, the effect of different IPO on the value of the company; the other is a different time to market based on length of time to market, respectively for three years to ten years of all listed companies using panel data regression model, the research different time length on the value of the company. The changes of the two types of data in this paper. Will be from the three aspects of empirical analysis, one is the direct use of various value index panel regression using each value index data; one is the value of each index By dividing the stock index (the current Hang Seng Index) is chosen to remove the influence of market trend, and then return, and finally, it is a robustness test of the trend of market value change.
The empirical results show that changes in the law and the actual changes of highest power time T regression equation for the two panel data regression models describe the power value of listed companies is most consistent, two coefficient regression results the number of positive majority. Explain the value of listed companies change with time obeys coefficient for the two time distribution is, the company issued after the listing, its value will not rise immediately, but first showed a trend of decrease then rising in the images showed positive U trends. In addition, the company value is affected by the external environment is very sensitive, listed companies choose favorable time points (that is listed in the external environment under the favorable conditions), has a very important effect on the value of the company and the company's development in the future.

【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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