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Analyze Financial Statement and Apply Probit Model to Forecast Excess Stock Returns of China

Author: DaiJinBo
Tutor: WangShaoPing
School: Huazhong University of Science and Technology
Course: Quantitative Economics
Keywords: Financial Ratios Stock excess returns Principal Component Analysis Probit regression
CLC: F224
Type: Master's thesis
Year: 2005
Downloads: 465
Quote: 2
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Abstract


Management Case Center of Peking University in 2002 and selected 20 of China 's most respected enterprises , including 11 companies listed on the Shanghai and Shenzhen stock markets in China , the Economic Observer reported, \requirements of 11 companies listed in the Shanghai Stock Exchange or the Shenzhen A-share as the research object , from its 2002 annual financial report , including eight financial ratios extracted by calculating the first eight financial indicators principal component analysis conditions , according to the cumulative contribution rate of 85 % , elected principal component factor , further univariate Probit model for explicit test filter out the important principal components factor as a predictive model of the independent variables , and then calculate the analysis of these stocks in 2003 January 1, 2009 to April 30, 2004 if there is excess returns , and excess return to determine the nature of the dichotomy variable value as a predictive model of the dependent variable to the nature of variable , this point to establish the the multivariate Probit prediction model and ML estimated that the last sample test the predictive capability of the prediction model , the test results show that : Probit prediction model stock excess returns by correct rate of up to 82% , much higher than the random distribution of the correct rate of 50 % , indicating a certain investment period , the investors through the analysis of the annual financial statements of its investment in the quality of listed companies desire , first calculate eight financial ratios using principal component analysis and the elected principal component factor , and then principal component factor significance test , significant the values ??of the principal components factor into the prediction model , you can draw the conclusion that the availability of excess returns , investors in making investment decisions with reference to the conclusions , can increase the possibility of gains beyond market levels .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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