杜邦分析论文：杜邦分析与价值判断.doc

杜邦分析论文：杜邦分析与价值判断【中文摘要】长期以来,会计学界众多学者一直致力于研究证券价格与会计信息之间的关系大量对会计实证研究的成果显示,会计信息与公司未来收入以及证券价格之间确实存在一定的因果关系而杜邦分析是一种常用的财务报表分析方式,它是把经营性净资产回报率分解为两个相乘的部分：利润率和资产周转率这两个会计比率衡量的是公司的不同结构,反映了公司不同经营特征,因此有不同的研究价值在以往学者所做的研究中发现,资产周转率的改变与未来收入的改变是正相关的,因此可以利用这一比率对公司未来收入,以及未来权益报酬率,甚至公司的股票收益率等做出预测,从而对股票价值进行评估与预测,为投资者的理性决策提供相关建议本论文以 Mark T. Soliman 的回归模型为基础,结合中国股票市场发展特殊情况和现状,设计出检验模型,通过对新旧杜邦财务分析体系进行对比,寻找对未来公司收益有较强预测能力的财务指标以及对股票收益率有较强解释能力的指标,以期实现对公司未来盈利能力和股票价值的评估与预测。

本论文以 1120 家我国沪深两市 A 股非金融类上市公司为研究样本,以 1997 年至 2008 年为时间窗口,通过建立相应的研究模型,对其进行实证研究,利用计量经济学知识和 EXCEL, EVIEWS, SAS 等金融分析软件进行数据整理和回归统计本论文首先对研究期间所选取的样本的有关财务指标进行描述性统计分析,发现我国上市公司的相关财务指标变动比较大,不同样本公司和时间区间之间, 其总资产、经营净资产、个股市值和个股年收益均存在较大差异然后,根据相关模型检测了杜邦财务分析的核心指标—净资产收益率,和成份指标—净利润率、资产周转率和权益乘数的信息含量,并对比分析传统与改进的杜邦分析方法在我国证券市场中的适用性结果发现：在预测公司未来盈利能力时,传统的杜邦财务核心指标—净资产收益率,较改进的杜邦财务核心指标—经营净资产收益率更有效；在拟合个股当期收益和预测个股未来收益时,经营净资产收益率比净资产收益率要好；而无论是传统的、还是改进的杜邦财务成份指标,在预测公司未来盈利能力、拟合个股当期或预测个股未来收益时,均不具有显著的增量信息提供能力。

这表明在中国证券市场上,投资者在评价公司的价值时,应地关注杜邦分析的核心指标—(经营)净资产收益率,而不是其成份指标接着,本文又对所得到的结论进行了有效性分析,分别根据会计准则变化的时间,样本公司是否被 ST 过,公司规模的大小,对研究的样本区间和样本进行了分组研究,并考察了不同的模型估计方法对研究结论的影响,结果发现：所得到的结论与前面所得到的结果没有质的差异说明上述结论有很好的稳定性英文摘要】Long-term since, accounting researchers have worked on the relationship between earnings and security returns. Lots of empirical researches show that current financial statement information would affect future earnings. DuPont analysis, a common form of financial statement analysis, decomposes return on net operating assets into two multiplicative components:profit margin and asset turnover. These two accounting ratios measure different constructs and, accordingly, have different properties. Prior researches have found that a change in asset turnover is positively related to future changes in earnings. So we can use the information to predict a firm’s future earnings and the firm’s stock’s return. Then we can provide some suggestions to the market investors.This paper is based on the model of Mark T. Soliman, and combining China’s stock market scenario, designed some new models for this paper. At the some time, I contrast the traditional DuPont system and the improved DuPont financial system to find the advantages and disadvantages separately.This paper use the 1120 non-financial companies as the samples, which are from our country’s two stock exchanges markets, the Shenzhen stock exchange market and Shanghai stock exchange market. And the observe interval is from 1997 to 2008. I do the empirical research by establishing corresponding research models. In addition, I use some Econometrics and Financial Analysis Software to do my research, such as EXCEL, EVIEWS, SAS and so on.First, I make descriptive statistics for the variables in the paper and I found that the financial rations are of big changes between different companies and different time periods, especially on these ratios:ATO, NOA, SIZE, and EPS. Then, I test the information content of DuPont financial analysis system’s core index-- net assets yield and the component index—net profit ratio, asset turnover, and financial leverage ratio. What’s more, I compared the applicability of the traditional and improved methods of DuPont analysis in Chinese securities markets. The results showed:the traditional DuPont financial core index-- net assets yield is much more efficient than the improved DuPont financial core index-- net operating assets yield in predicting the companies’future earnings. And the operating net assets yield is much better than net assets yield in fitting the stock’s current return and forecasting the stock’s future return. But both of the traditional DuPont component index and the improved DuPont Component index are of no significant increment information in the prediction of the company’s future profitability, fitting stock’s current or future earnings. This suggests that in Chinese stock market, investors should pay more attention to the core index of DuPont analysis—the (operating) net assets return rather the component index. Then, this paper made validity analysis according to the time of accounting standard change, whether the company being special trade, the size of the sample companies, different time interval and different sample. At the same time I considered the influence of the estimation methods. At last, I found the result has no qualitative difference with the front conclusion. It shows the above conclusion has good stability.【关键词】杜邦分析 资产收益率 证券收益 信息增量【英文关键词】DuPont analysis Return on asset Stock return Incremental information【目录】杜邦分析与价值判断      摘要    6-8         Abstract    8-9          目录    10-12          第 1 章 绪论   12-19          1.1 选题的背景和研究意义    12-14         1.1.1 研究背景。