運用多項式迴歸分析財務指標以預測股票價格的波動

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Title:	運用多項式迴歸分析財務指標以預測股票價格的波動
Authors:	林威良
Contributors:	資訊管理學系
Keywords:	股價 stock price 財務指標 financial index 財務報表 financial statements 線性多項式 linear polynomial 多項式迴歸 polynomial regression
Date:	2011
Issue Date:	2012-12-04 10:55:53 (UTC+8)
Abstract:	基本面分析為分析影響市場股價的因素主要分析之一，基本面分析可以了解公司財務狀況，財務指標為基本面分析的主要因素，從公司財務指標中，能夠分析財務結構、償債能力、經營能力、獲利能力和現金流量等，以便更了解股價波動的原因。本研究利用線性多項式與多項式迴歸的方法，先求出股東權益總計、營業毛利、現金及約當現金、負債總計和存貨額等五個財務因子權重係數，再將多項式迴歸預測所求得之財務因子代入線性多項式，以求出股價。最後研究結果顯示，一、本研究方法利用財務因子與股價之關係，可求得財務因子權重可信度，以基本面為主的投資者可將此財務因子權重可信度作為參考，以了解所投資之股票是否能以財務因子作為評估依據；二、在財務因子權重可信度高於83%時，選取的上市公司有39家，這39家上市公司在預測股價漲跌之準確率為58.57%~64.71%，對於未來預測股價漲跌與股價變動，具有一定程度的參考。 Fundamental analysis is one of the analysis that analyzes the factors of affecting the stock market. Using fundamental analysis can understand financial statement of a corporation. Financial index is the main factor of fundamental analysis; we can analyze financial structure, debt paying ability, business capacity, profit ability, cash flow and so on from financial index of a corporation to better understand the reason of stock price fluctuation. This thesis proposes methods using linear polynomial and polynomial regression. To begin with acquiring total shareholders' equity, gross profit, cash and cash equivalents, total liabilities and inventories to the amount of five financial factors weight coefficient, and then put the financial factor resulted from a polynomial regression forecasting into linear polynomial. As a result, the prediction of stock price is obtained. In conclusion, there are two results indicated from this paper. First, the methods of the research that use the relationship between financial factor and stock price can obtain the credibility of the financial factor weight. Investors based on fundamental analysis can use this financial factor weights credibility as a reference, in order to understand whether financial factors can be used as a basis for assessment of the stock invested. Second, selecting 39 listed companies when the credibility of financial factor weight is higher than 83%, the accuracy rate that forecasts stock price rise and fall of the 39 listed companies was 58.57% ~ 64.71%. This result provides a valuable reference that fore-casts stock price variation to a certain degree.
Appears in Collections:	[Department of Information Management & Graduate Institute of Information Management] Thesis

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