资产收益

但传统的VaR计算都是基于单个资产收益的正态，以及资产组合中不同的风险资产收益呈线性相关关系。

Traditional VaR calculation assumes that single asset income is normal distribution and different asset incomes are linearly dependent .

剖面分析表明资产收益率判定效果最佳，Logistic回归模型对样本t-1年的判别率达到81.6%。

Profile analysis shows that asset income rate is an optimal method . The distinguishing rate of logistic regression model of t-1 years ' sample can reach 81 . 6 % .

ARCH类模型可以成功地预测金融资产收益率的方差。

ARCH models are often used to forecast the variance of the benefit of financial capitals .

财务绩效选用净资产收益率、营业利润率、每股收益为会计指标和托宾Q值为市场指标进行衡量。

Accounting indicators , such as ROE , profit margin , earnings per share , and Tobin Q value as market indicator were selected to measure Financial performance .

本文基本结论：由于资产收益率分布的非正态性应用VaR模型进行资产配置确实具有比马克维兹模型更高的效率；

The basic conclusion of this text : Because of the abnormality property of return rate , VaR model is more efficient than Markowitz model ;

针对在金融市场中资产收益的非正态分布以及资产组合中不同的风险资产的非线性相关，将Copula理论应用于资产组合的VaR估计之中。

Copula theory is put forward to solve the problem of non-gauss distribution of assets returns and non-linear correlation of the risky portfolios .

然后建立了多元线性回归模型，将净资产收益率和托宾Q值分别作为解释变量带入回归方程进行分析。

Then establish the model of multivariate and linear regression , bring the rate of return on net assets and Tobin ' Q to the regression analysis model as explanatory variables .

同时，其中10家公司的资产收益率（ROA）上升，另5家公司资产回报率下降。

The return on assets rose for 10 companies but fell for five others .

在证券监管部门评价上市公司的经营业绩时也常常将净资产收益率（ROE）等财务指标作为主要的参考标准。

At the same time regulators depend largely on such financial index as ROE to assess operating performance of listed companies .

以净资产收益率、净资产、每股收益等12项指标来衡量，并与上市公司的整体业绩做比较，表明我国上市公司MBO整体上基本没有达到政策和市场所预期的发展状态。

According to measurement with ROE , net assets , or EPS , etc , and comparing with the listed companies , the MBO in general failed to reach the expected purpose .

文中，选取企业业绩作为被解释变量，本文将选择总资产收益率（ROA）作为企业业绩的指标。

Select the enterprise performance as the explained variables , and select the total return on assets ( ROA ) as indicators of corporate performance .

还有无论我们采用托宾Q还是净资产收益率来衡量公司价值，研究结果都证实我国民营上市公司高管的政府背景与公司价值之间具有负相关的关系，但是在统计上是不显著的。

And whether we adopt Tobin Q or ROE to measure the value of company , the results of the research were confirmed in private listed companies and the background of the government with negative correlation between the relationship , but are statistically unsignificant .

恩格尔的ARCH模型自问世以来，由于其对条件异方差的假设，可以很好的描述金融资产收益率分布的类聚现象和厚尾现象，ARCH类模型在描述和预测金融时间序列方面得到广泛应用。

Since its advent , the ARCH model has been used for depicting of and forecasting in financial time series extensively , due to its specification of conditional heteroscedasticity which can depict the cluster and fat tailor phenomena of the distribution of the timing financial series .

上市公司为了获得配股资格，极有可能操纵会计盈余，以达到规定的净资产收益率（ROE）。

In order to obtain the qualification of issuing new shares to old stockholder , the listed companies will manipulate accounting earnings as possibly as they can to attain to the ruled ROE .

本部分做的工作：给出一个基于Copula函数，GARCH模型及极值理论的一个多资产收益情景生成步骤。将此方法得到情景与VAR，聚类法进行统计意义上的比较工作。

Here this article does the following research work : Bring forward a comprehensive way to generate scenarios based on Copula function , GARCH model and extreme value theory ; Compare its scenario effect with VAR and clustering .

因此本文选取净资产收益率作为衡量企业价值的指标，根据MM理论选取了保费对数、企业资产对数、长期负债率、现金比率和双赫指数作为自变量，并以盈利虚拟作为控制变量。

Therefore , this article selects the ROE indicator as a measure of enterprise value . According to the MM theory , we select premiums , corporate assets , long-term debt ratio , cash ratio and HH index as independent variables , and earnings virtual as a control variable .

通过对主营业务收入增长率和净资产收益率在IPO前两年到IPO后一年的4个期间内的描述性统计和显著性检验，证明了我国创业板市场IPO效应的存在性。

By year after the two years before the IPO , the IPO on the main business revenue growth and return on net assets within a period of four descriptive statistics and test of significance , proved the existence of the GEM IPO effect .

此模型简洁易懂，解决了传统Black-Scholes模型定价研究中标的资产收益率需服从正态分布和多维资产期权定价复杂化的问题。

This model is simple and easy to understand , which have solved the problems of the underlying asset return must obey the normal distribution in the traditional Black-Scholes model and complex multi-dimensional asset option pricing .

故净资产收益率、销售利润率的变化同CPI、M1的变化相关性也变得较权益乘数、资产负债率差。

So , compared with the rights multiple and the property liabilities rate , the relativity between the change of rate of earning , the sale profit , and the change of the CPI and the M_1 becomes less .

基于协同持续思想通过GARCH模型技术构建了动态投资组合模型，该模型可捕捉到金融资产收益的局部波动，达到控制风险扩散的目的。

After considering the Co-persistence thought , the dynamic portfolio model is built based on GARCH model , and the model can capture the local fluctuations of the financial assets , which is helpful to control the risk proliferation .

本文试图利用净资产收益率（ROE）指标对我国上市公司的会计信息披露违规行为进行实证分析，旨在规范我国上市公司的会计信息披露。

This paper empirically analyzes the public companies'behavior of illegal disclosure of accounting information in China , Using the ROE and the purpose of this paper is to standardize the accounting information disclosure of public companies in China .

从更进一步的VEC方程可知净资产收益率与股票价格之间存在着显著的正相关关系，但是在每股收益与股票价格之间并没有发现这样的均衡关系。

In further study , we find that there is a prominent positive relevance between ROE and the stock price from VEC equation , while there is no such relationship between EPS and the stock price .

构建了异常审计收费这一非财务指标下困境客户财务危机（ST）和总资产收益率（ROA）的预测模型，并在其中加入了与财务困境相关联的指标。

Third , we build the financial crisis ( ST ) and total return on assets ( ROA ) prediction model of the distressed clients under abnormal audit fee that is the non-financial indicator , and include some indicators associated with financial distress .

该模型把资产收益率的变动主要分成两部分，一部分是由平缓的一般市场信息进入造成的GARCH音（？）分，另一部分是由市场中的重大或者异常信息造成的跳跃部分。

In this model , changing in the rate of return on assets is mainly divided into two parts : the GARCH part which results from the flat general market information , the jump part which caused by the signification or unusual information .

总结了在过去30年中金融资产收益连续时间模型的发展及主要成果，讨论了迄今连续时间模型参数估计的主要方法，其中特别讨论了MCMC方法；

Firstly , this paper surveys and assesses the development and main fruits of continuous-time equity return models during the last 30 years . Then it discusses the estimation methods of these models , and mainly studies the McMC method .

将Copula方法与GARCH-GPD模型结合起来是度量金融资产收益率的边缘分布和相关性的较好方法，可以构造出很多具有不同特性的联合分布函数，在金融定量分析中具有广泛的应用前景。

Linking Copula with GARCH-GPD is the appropriate way to calculate the margin distributing and relativity of finance asset yield . Because it can design different combine distributing function , it will be diffusely applied in finance quantitative analysis .

在实证研究中，本文选用修正的净资产收益率（Ad-ROE）作为衡量公司价值的代理变量。

In the empirical study , this article selects the adjusted Return on equity ( Ad-ROE ) as the proxy variable which weights company value .

①净资产收益率符合发行条件。

Return rate of net assets is fulfilled the issuing conditions .

选取净资产收益率作为衡量银行治理绩效的指标。

Select the ROE as a measure of bank governance performance indicators .

我们喜欢现金净流入且资产收益率高的公司。

We like this cash positive and high return-on-assets business .