后金融危机时代股票超额收益率影响因素的探索

运用判别分析法和决策树模型对上证180的成分股是否可以获得超额收益率及其影响因素进行了分析,并将两种方法的分析结果进行了对比。结果表明：两种方法都可以对上市公司是否可以获得超额收益进行分辨,并且可以找出影响因素。但是从两种模型的结果来看,决策树模型要明显优于判别分析法。从我们的分析样本来看,对企业是否可以获得超额收益率的影响因素主要有：市盈率、市净率、息税折旧摊销前利润/营业总收入等。在实际中,通过这两种方法,投资者可以寻找出那些具有超额收益率的股票进行投资,从而使得自身的投资结果优于大盘。

Post-crisis Era of Excess Stock Returns to Explore Factors

In this paper,the discriminant analysis and decision tree were used to search for a company which can gain the excessive return rate..Meanwhile the outcomes of two methods were compared.The result showed that the two methods can distinguish among the companies whether they can gain the excessive return rate and identify the decisive factors.However,comparing the results of two models illustrated that the decision tree model is significantly better than the discriminant analysis.Analyzing the samples,the fac...