| Management Case Center of Peking University and the Economic Observer choosed twenty enterprises as the most honorific ones from Chinese enterprises in 2002, the 11 ones of them were listed in Shanghai or Shenzhen Securities. This paper takes 11 A shares whose credit standing is excellent as researching sample, assuming their annual financial statements of 2002 are authentic and fair, we obtain 8 financial ratios from their statements, first the principal component analysis is applied to screen out some principal components with the 85% accumulated contribution ratio as a criterion. Second the single variable probit model is applied to screen out the significant principal components those will be used as independent variable, and the binary qualitative variable whose value depends on whether there is excess stock yield from 2003 April 30 to 2004 May 1 will be used as dependent variable, now we establish the forecasting model by applying the multi-variable probit model. Third, the MLE is applied to the model. Finally we take a sample test for the model. The following conclusion is drawn at last: On the condition that financial statement is authentic and fair, the precision ratio of our probit model in forecasting whether there is excess stock returns is 82%, which outclasses the 50% of stochastic distribution, this shows that through some investing period, in the first, investors compute the 8 financial ratios from financial statement of listed company which they want to invest in, in the second, the principal components are selected by applying principal analysis to these ratios, in the third , apply significant test to the selected principal ones and significant principal components are seeked out. Now apply the selected data to the probit model and the conclusion that whether there is excess yield can be drawed. If investors consult the conclusion when they select listed company, the probability that they get excess yield can be augmented greatly. |
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