基于Lasso+分位数回归的上市保险公司市盈率微观影响因素分析

Analysis on the Microcosmic Affection Factors of the P/E Ratio of Listed Insurance Companies Based on Lasso+ Quantile Regression

摘要: 市盈率是投资者选择保险业上市公司进行投资时首先要考虑的一个重要财务指标，但关于上市保险公司市盈率影响因素的量化研究并不多见。本文利用2011~2019年我国保险业上市公司面板数据，运用Lasso+分位数回归对我国上市保险公司市盈率的微观影响因素进行了分析，结果表明：每股净资产和资产净利率等7个财务指标对其有着显著正向影响，而营业收入增长率和权益乘数对其有着显著负向影响；在不同的分位数水平下，各影响因素对其作用大小也有所不同。

Abstract: The P/E ratio is an important financial index that investors must first consider when choosing a listed insurance company for investment. However, quantitative research on the factors affecting the P/E ratio of listed insurance companies is rare. Based on the panel data of China’s listed insurance companies from 2011 to 2019, this article analyzes the microcosmic affection factors of the P/E ratio of Chinese listed insurance companies using the methods of Lasso+ quantile regression. The results show that: 7 financial indicators, such as net assets per share and net asset interest rate, have a significant positive impact on the P/E ratio; while the operating income growth rate and equity multiplier have a significant negative impact on the P/E ratio; the effect of each influencing factor on the P/E ratio varies due to different quantile levels.