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研究领域：金融学 财务报表分析与股票超额回报关系的实证研究 何荣天 齐安甜 摘 要：本文的研究旨在探讨财务比率与股票超额收益之间的关联性，验证财务比率对股票超额收益之预测能力，以作为推论财务报表的会计信息是否具有信息内涵。本文以我国1998年至2002年的我国沪深股市的所有A股为研究对象，选取39项财务比率，首先对上述指标进行主成分分析，根据累积贡献率达到90%的要求，我们选出相应的主成分因子，接着以单变量Logistic Model 筛选重要主成分因子，作为预测模型的自变量，并以股票超额收益作为预测模型之因变量，再以多变量Logistic Model 建立预测模型，最后对模型的预测能力进行样本内和样本外检验。实证结果最后的结论是：首先，整体而言，就沪深A股来看，以财务比率分析来预测股票超额收益的结论不能获得支持，亦即沪深A股市场具有弱式有效性，并向半强式有效过渡，投资者不可能运用财务报表分析预测股票超额收益，获得超额利润。其次，由于模型对样本内股票是否具有超额收益的划分的正确率高于随机分布的正确率，这说明，在一定的投资期间，市场上还是有一定的主流投资理念或盈利模式，只不过市场上这种主流投资理念的形成或出现，很难在投资期前预测到和获得确认。再次，在不同的投资期，影响股票的超额收益的因素是在不断变化的，这说明证券市场的风险和收益的对应关系也是动态变化的，这符合风险收益对应论的基本观点。 关 键 词：超额收益、财务表报分析、主成分分析、Logistic回归、有效市场 The Empirical Study on the Association Between Excess Stock Returns and Financial Statement Analysis He Rongtian Qi Antian Abstract: The present paper intends to study on the association between excess stock returns and financial statement analysis, test financial statement’s predictive ability and discover the information content of the financial statement. The paper takes A-shares listed in Shanghai and Shenzhen Exchange during 1998 to 2002 as researching sample by considering 39 financial ratios. First the principal component analysis is applied to screen out some principal components with the 90% accumulated contribution ration as a criterion. Second the single variable logistic model is applied to screen out the significant principal components those will be used as independent variable. Third we establish the predictive model by applying the multi-variable logistic model with excess stock returns as dependent variable. Finally we take a sample and out of sample test for the model. The following conclusions is drawn at last: First, in a whole, the conclusion can’t be supported that excess stock returns can be predicted by analyzing the financial statement. It means that our stock markets are weekly or semi-strong efficient, and the investor can’t gain excess profit through financial statement analysis. Second, the correct rat