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股价波动与GDP等宏观指标总量变动之间差异明显,结构性因素具有重大影响,而结构性因子难以用总量经济指标来衡量。影响股价波动的代表性结构性因子包括不同行业内上市公司的成长性指标、盈利能力指标以及估值指标。本文以A股上市公司作为样本,并重点分析非金融类行业的上市公司,通过对近13年的历史数据进行的实证分析表明,盈利增长为最优成长性因子,EBIT/IC指标为最优盈利能力因子,PB为最优估值因子;估值水平的变动与盈利增长指标正相关,同时与货币供应量M1指标高度相关。
There is obvious difference between the fluctuation of stock price and the change of the total macroeconomic indicators such as GDP. The structural factors have a significant impact, while the structural factors can not be easily measured by the aggregate economic indicators. Representative structural factors that affect stock price volatility include the growth indicators, profitability indicators and valuation indicators of listed companies in different industries. This paper takes A-share listed companies as a sample and focuses on listed companies in non-financial sectors. Empirical analysis of historical data of nearly 13 years shows that the profit growth is the optimal growth factor and EBIT / IC is the best Profitability factor, PB is the best valuation factor; the change of valuation level is positively correlated with the indicators of earnings growth and is highly correlated with the M1 indicator of money supply.