英国留学生作业：股票价格因素分析

英国留学生作业：股票价格因素分析


海狸(1968)研究了投资者对收益的看法,事实上他调查的是盈利是否对投资者是有信息的价值。从1961年到1965年,这项研究对143家纽交所上市公司进行测试。通过对价格和数量的变化观察,最终可以得出的结论是,在价格中有一个统一的变化,因此收益可能确实是信息价值。可以看出的是个人和市场的看法由于收益报告改变了。因此,一个重要的积极关系可以在盈利公告和股票价格中观察的到。

 

USA
 

Lee(2006)研究了年度态工业指数和标准普尔400指数的基本反应和非基本面的信息使用。从1920年到1999年观察道琼斯工业指数,从1946年至1999年观察标准普尔指数。主要的发现包括非基本信息的过度反应和初始反应基本信息如股息,账面价值和收益以及在长期时间范围内无显著逆转。此外,研究结果发现,相比于股息贴现模型,剩余收益模型是一个更好的估值方法。

 

 

Beaver (1968) examined the perception of investors regarding earnings, indeed he investigated whether earnings was of any informational value to the investors. The study took place from 1961 to 1965 and 143 listed firms on the NYSE formed the sample which was tested. The price and volume changes were observed and ultimately it could be concluded that there was a uniform change in prices and thus it could be said that earnings announcements are indeed of informational value. It could be seen that both the individuals’ and the market’s perception changed due to the earnings report. Hence, a significant positive relationship could be observed between earnings announcements and stock prices.

 

USA

 

Lee (2006) studied the reaction to fundamental and non-fundamental information using the annual DJIA and the S&P 400 industrial index. The DJIA was observed from 1920 to 1999 and the S&P was observed from 1946 to 1999. The main findings included an overreaction to non fundamental information and an initial under reaction to fundamental information such as dividend, book value and earnings and no significant reversal in the long term time horizon. Moreover, the study resulted in the discovery of the fact that the residual income model is a better valuation method compared to the dividend discount model.

 

Docking and Koch (2005) have investigated the reactions of investors when faced with fluctuations in dividends. In other words, whether increases or decreases in dividends cause any changes in stock prices and it was observed that when there are normal or highly volatile market returns then increases in dividends tend to lead to greater increases in stock prices, nevertheless such a trend lacks statistical significance. Moreover, when there is increasing or highly volatile market returns, diminishing dividends would lead to a fall in stock prices.

 

KOREA

 

Jang et al (2010) have examined the impact of book value and earnings on a sample of 142 firms listed on the Korean Stock Exchange for a period of 20 years (1981-2000). The study’s main findings include the fact that the overall value relevance of both book value and earnings have increased over the 20 years under consideration. Indeed, the incremental explanatory power of book value has increased, while that of earnings has decreased, and finally the value relevance of book value is higher for the smaller firms and those firms with negative earnings.

 

UAE

 

Al-Tamimi (2007) investigated the impact of company fundamentals- such as performance of the company, changes in the board of directors, creation of new assets, dividends and earnings- and external factors -such as government rules and regulations, inflation, investor behavior, market conditions, money supply and competition -on stock prices. A regression model analyzing the relationship between the dependent variables (EPS, DPS, oil price, GDP, CPI, money supply and interest rate) and the independent variable (Stock price) was carried out. The main findings were: the fundamental factors have a greater significant impact on stock prices when compared with external factors and EPS has the most significant impact.

 

外部因素-EXTERNAL FACTORS

 

CYPRUS

 

The investigation into the relationship between macroeconomic factors and stock prices was instigated by Tsoukalas (2003) in the Cyprus’ stock market. The study was carried out from 1975 to 1998 and the vector autoregressive model (VAR) was used for analysis. Meanwhile, the macroeconomic factors under consideration in this study were industrial production, consumer prices, exchange rate and money supply. The main findings indicate that there is a strong relationship between stock prices and the aforementioned macroeconomic factors. The strong relationship between the exchange rate and stock prices was expected due to the fact that the Cypriot economy is service based (tourism and off-shore banking).

 

CHINA

 

The examination of the relationship between inflation, industrial production and stock prices was carried out by Zhao (1999). Indeed, the study was carried out over a period of approximately 5 years from January 1993 to March 1998 and made use of monthly values from the Chinese economy. The main findings from the study include a significant but negative relationship between inflation and stock prices and a similar relationship between stock prices and industrial production.

 

MALAYSIA

 

A complex study examining the long term relationship between certain macroeconomic variables such as real output, aggregate price level, money supply and exchange rate and the Malaysian Equity Market as well as certain major equity markets in USA and Japan was initiated by Ibrahim (2003). From the study it was observed that stock prices and exchange rates are negatively though significantly related. On the other hand a positive relationship was observed between stock prices and money supply, consumer price index and industrial production.

 

股票价格的决定因素-DETERMINANTS OF SHARE PRICES

 

JORDAN

 

AL-Shubiri (2010) examined the relationship between microeconomic factors and stock price through a sample study that included 14 commercial banks of the Amman Stock Exchange for the period 2005-2008. A simple and multiple regression analysis was conducted and the main findings include: significant but negative relationship on inflation and lending interest rate. However, the relationship between stock prices and interest rate was at times insignificant. On the other hand, it was observed that market price of stock dividend percentage gross domestic product, net asset value per share and stock prices are significantly and positively related.

 

USA

 

Gill, Biger and Mathur (2012) have studied the variables that may explain the variance in equity share prices of a sample of 333 listed firms of the NYSE for a period of 3 years from 2009 to 2011. The internationality of the firm, book value per share, duality of the CEO, EPS, P/E ratio and finally dividend per share are the factors that have been used through a co-relational and non-experimental research design to establish a relationship between these factors and stock prices of American listed firms. When it comes to manufacturing and service firms it was observed that the equity prices’ variance could be explained by: the internationality of the firm, the CEO duality, EPS, firm size, P/E ratio, dividend coverage ratio and dividend per share.

 

INDIA

 

The relationship between stock prices and dividend yield, book value per share, dividend payout, price earnings ratio, dividend per share, size in terms of sale, EPS and net worth of the company was carried out by Sharma (2011). A sample of 115 listed companies was used and the study took place from 1993 to 1994 and from 2008 to 2009. Both the collective and individual impact of the independent variables on the dependent variables mentioned above will be examined using multiple regression analysis. The results indicate that the stock price is significantly related to EPS, book value per share and DPS. Moreover, stock prices were seen to be the most significantly affected by EPS and DPS compared to other determinants.

 

KARACHI

 

Khan (2009) investigated the different determinants of share prices and the relationship of these determinants with theshare prices of Karachi Stock Exchange (KSE) 100 index of Pakistan from 2000 to 2009. A linear multiple regression model and a correlational model was used and the results show that the 5 quantitative determinants, namely Book to Market (B/M) ratio, Price Earning (P/E) ratio, Dividend, Gross Domestic Product (GDP) and Interest Rate that were selected have positive and significant relationship with share prices except Interest rate and B/M ratio. Indeed the B/M ratio and interest rate were found to be negatively related to share prices.

 

ZIMBABWE

 

The relationship between equity prices and macroeconomic variables was investigated through the use of multi-factor return-generating model, dividend discount model and the ECM by Oyama (1997). 17 Individual stocks listed since January 1992 represented the sample under consideration. The results show that the relationship between the E/P ratio of the ZSE and other return rates in the Zimbabwe economy has experienced several changes since the beginning of the 1990s. In addition, the convergence of risk resulted in a significant increase in stock prices in 1993 and 1994. The ECM model indicates that the relationship between stock returns, money growth and the Treasury Bill rate has been quite stable since 1991 except during the period of partial capital market liberalization. Lastly, the analysis on individual stock returns indicates that the ZSE assimilates changes in some important macro-variables quite consistently; nevertheless, the contributions of these macro-variables could not explain the volatile up and down movements of stock returns during the late 1993-94 period.#p#分页标题#e#