기본분석을 이용한 미래 이익변화와 주식수익률 예측: 중국 차이넥스트 상장회사를 중심으로

초록

Founded in 2009, ChiNext is characterized by high growth potential, high volatility and high risk. Although there have been studies on the usefulness of fundamental analysis for the main board or sme board, there have been very few studies about ChiNext. The purpose of this study is to provide a useful and simple fundamental analysis model for investors based on the characteristics of ChiNext. We selected Mohanram (2005)'s GSCORE model. We selected 2,050 firm-year that meet the sample selection criteria among the companies listed on ChiNext to verify the suitability of this model, using portfolio test and logit regression. Specifically, the future earnings changes are used as a measure of earnings performance, the future abnormal return is used as a measure of stock performance, and a composite index composed of various fundamental variables or financial ratios is used to predict future earnings changes and future abnormal returns. Most variables of the GSCORE model have a significant correlation with future earnings changes and abnormal returns. According to the portfolio test results, the future earnings changes and the future abnormal return increase with the composite index quartiles, and the average future earnings changes/future abnormal return difference between the highest and lowest quartile is significant. This means that the composite index can separate winners from losers. The logit analysis also indicates that as the composite index grows, the likelihood of future earnings increase and the probability of obtaining a positive abnormal return in the future is high. We verify the suitability of the GSCORE model and the GSCORE_A model and provide a composite index that can be easily understood and calculated by investors who lack expert knowledge and analytical skills but are willing to invest in the ChiNext. We also verified the usefulness of financial statement information in the ChiNext.

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