利润操纵的市场反应检验
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摘要
随着资本市场的不断发展与完善，我国上市公司的盈余管理(或利润操纵)
现象已经引起了学术界、实务界和监管部门的广泛关注。现有的经验证据已经
基本上明确了中国上市公司存在利润操纵现象。但是，关于利润操纵之市场反
应的研究尚付阙如。因此，本文从两个层面对这一问题进行尝试性的研究。首
先，作者运用购买并持有非正常报酬率模型和套利组合回归模型对利润操纵的
市场反应进行初步检验，结果支持市场没有识破利润操纵行为的假设。接着，
作者通过对非标准无保留审计意见市场反应的分析来进一步验证上述假设，结
果表明即使注册会计师以非标准无保留审计意见的方式提示投资者上市公司具
有利润操纵行为，市场仍然没有做出应有的反应。
本文的主要贡献有四：
1． 本文首次从投资者的角度对我国上市公司利润操纵行为是否影响中国
股市资源配置问题进行了经验检验，并提供了市场投资者没有对上市公司的利
润操纵行为做出应有反应的证据；
2． 基于前人的研究成果，本文首次综合考虑了操纵应计项目和操纵线下项
目这两种不同的利润操纵方式，把非正常应计利润和线下项目未预期净收益的
估计值之和作为被操纵利润的估计值；
3． 在借鉴西方的套利组合回归模型检验利润操纵是否被投资者所识破时，
本文根据中国的实际情况对模型进行了修正，增加了一个解释变量流通股比例
的标准秩。结果表明这样的修正是合适的，值得后续研究借鉴；
4． 在探讨投资者对明显的理应知晓的利润操纵行为的反应情况方面，本文
是在总结前人研究成果的基础上通过对非标准无保留审计意见的市场反应的检
验来间接实现的，这一思路同样值得后续研究借鉴。
Along with the development of China capital market, the earnings management or earnings manipulation has become the focus of attention of academics, practitioners and regulators. The existing empirical researches have indicated that earnings manipulation does exist. This dissertation seeks to find evidence of misallocation of invested capital caused by earnings manipulation of listed companies. Firstly, using two separate and distinct methods, I find consistent evidence of significant positive abnormal trading returns from a hedge portfolio based on the magnitude of earnings manipulation. Secondly, by testing the market reaction to the auditor report with non-standard unqualified opinion, I get further evidence to support the hypothesis that investors do not give due reaction to earnings manipulation of listed companies.
In this dissertation, four main contributions are provided as follows:
1. This dissertation initially explore whether the misallocation of invested capital was caused by earnings manipulation, and provides the evidence that investors do not give due reaction to earnings manipulation of listed companies.
2. Suggested by the existing research findings, this dissertation takes two earnings manipulation sources (accruals manipulation and below line items manipulation) into account at the same time. This is different from the former research literatures in this area.
3. When the Hedge Portfolio Regression Model (see Abarbanell and Bushee, 1998) was used to test whether the investors see through the earnings manipulation, I add a new variable (standardized rank of the proportion of trading stocks) in it according to the special situation of China stock market. The result indicates that this adjustment is right and can be used as reference by future researchers.
4. In order to explore how investors react when the earnings manipulation is obvious, I take the former research results as reference and test the market reaction to the non-standard unqualified auditing opinion. This experience can be used as reference by future researchers as well.
现象已经引起了学术界、实务界和监管部门的广泛关注。现有的经验证据已经
基本上明确了中国上市公司存在利润操纵现象。但是，关于利润操纵之市场反
应的研究尚付阙如。因此，本文从两个层面对这一问题进行尝试性的研究。首
先，作者运用购买并持有非正常报酬率模型和套利组合回归模型对利润操纵的
市场反应进行初步检验，结果支持市场没有识破利润操纵行为的假设。接着，
作者通过对非标准无保留审计意见市场反应的分析来进一步验证上述假设，结
果表明即使注册会计师以非标准无保留审计意见的方式提示投资者上市公司具
有利润操纵行为，市场仍然没有做出应有的反应。
本文的主要贡献有四：
1． 本文首次从投资者的角度对我国上市公司利润操纵行为是否影响中国
股市资源配置问题进行了经验检验，并提供了市场投资者没有对上市公司的利
润操纵行为做出应有反应的证据；
2． 基于前人的研究成果，本文首次综合考虑了操纵应计项目和操纵线下项
目这两种不同的利润操纵方式，把非正常应计利润和线下项目未预期净收益的
估计值之和作为被操纵利润的估计值；
3． 在借鉴西方的套利组合回归模型检验利润操纵是否被投资者所识破时，
本文根据中国的实际情况对模型进行了修正，增加了一个解释变量流通股比例
的标准秩。结果表明这样的修正是合适的，值得后续研究借鉴；
4． 在探讨投资者对明显的理应知晓的利润操纵行为的反应情况方面，本文
是在总结前人研究成果的基础上通过对非标准无保留审计意见的市场反应的检
验来间接实现的，这一思路同样值得后续研究借鉴。
Along with the development of China capital market, the earnings management or earnings manipulation has become the focus of attention of academics, practitioners and regulators. The existing empirical researches have indicated that earnings manipulation does exist. This dissertation seeks to find evidence of misallocation of invested capital caused by earnings manipulation of listed companies. Firstly, using two separate and distinct methods, I find consistent evidence of significant positive abnormal trading returns from a hedge portfolio based on the magnitude of earnings manipulation. Secondly, by testing the market reaction to the auditor report with non-standard unqualified opinion, I get further evidence to support the hypothesis that investors do not give due reaction to earnings manipulation of listed companies.
In this dissertation, four main contributions are provided as follows:
1. This dissertation initially explore whether the misallocation of invested capital was caused by earnings manipulation, and provides the evidence that investors do not give due reaction to earnings manipulation of listed companies.
2. Suggested by the existing research findings, this dissertation takes two earnings manipulation sources (accruals manipulation and below line items manipulation) into account at the same time. This is different from the former research literatures in this area.
3. When the Hedge Portfolio Regression Model (see Abarbanell and Bushee, 1998) was used to test whether the investors see through the earnings manipulation, I add a new variable (standardized rank of the proportion of trading stocks) in it according to the special situation of China stock market. The result indicates that this adjustment is right and can be used as reference by future researchers.
4. In order to explore how investors react when the earnings manipulation is obvious, I take the former research results as reference and test the market reaction to the non-standard unqualified auditing opinion. This experience can be used as reference by future researchers as well.
引文
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Aharony, J., C. J. Lee, and T. J. Wong.2000． Financial packaging of IPO firms in China. Journal of Accounting Research 38:103-126．
Aharony, J., CJ. Lin and M. Loeb.1993． Initial Public Offerings, Accounting Choices, and Earnings Management. Contemporary Accounting Research, Fall: 61-81．
Ali, A., L. Hwang, and M. Trombley. 1999． Accruals and future stock returns: tests of the naive investor hypothesis. Working paper.University of Arizona, Tucson, AZ.
Atiase, R.. 1985． Predisclosure information, firm capitalization, and security price behavior around earnings announcements. Journal of Accounting Research, Spring:21-36．
Beneish, M. D.. 1997． Detecting GAAP violation:implications for assessing earnings management among firms with extreme financial performance. Journal of Accounting and Public Policy 16:271-309．
Brown, S., and J.Warner. 1985． Using daily returns: a case of event study. Journal of Financail Economics 8:4-31．
Burgstahler, D., and I. Dichev. 1997． Earnings management to avoid earnings decreases and losses, Journal of Accounting and Economics (24) 1: 99-126．
Burgstahler, D., and M. Eames. 1998． Management of earnings and analysts forecasts. Working paper. University of Washington, Seattle, WA.
Chambers,D.J.. 1999． Earnings management and capital misallocation. Working Paper.University of Illinois at Urbana-Champaign.
Chen, C. J.P., X. Su, and R. Zhao. 1999． Market reaction to initial qualified audit opinions in an emerging market: evidence from the Shanghai stock exchange. Working Paper. City University of Hongkong.
Chen, K.and H. Yuan. 2000． Earnings management and capital resource allocation: evidence from China's accounting-based regulation of rights issue. Working Paper. Hong Kong University of Science & Technology and Shanghai University of Finance & Economics.
Choi, S. K., and D.C. Jeter. 1992． The effects of qualified audit opinions on earnings response coefficients. Journal of Accounting and Economics 15:229-247．
Collins, D. and P. Hribar. 1999． Errors in estimating accruals: implications for empirical research.Working Paper.University of Iowa, Iowa City, IA.
DeAngelo, L.. 1988． Managerial competition, information costs, and corporate governance: the use of accounting performance measures in proxy contents. Journal of Accounting and
Economics, January:113-143．
Dechow, P., and D. J. Skinner.2000． Earnings management: Reconciling the view of accounting academics, practitioners, and regulators. Working Paper. University of Michigan School.
Dechow, P., R. Sloan, A. Sweeney. 1995． Detecting earnings management. The Accounting Review, April: 193-225．
DeFond, M., and J. Jiambalvo. 1994． Debt covenant violation and manipulation of accruals: accounting choices in troubles companies. Journal of Accounting and Economics (17) January: 145-176．
Dopuch, N., R. Holthausen, and R. Leftwich. 1986． Abnormal stock returns associated with media disclosures of 'subject to' qualified audit opinions. Journal of Accounting and Economics,May: 93-117．
Easton, P.. 1997． Use of comparisons of patterns of stock return and accounting data in understanding apparently anomalous returns to accounting-based trading strategies.Contemporary Accounting Research, Spring: 137-151．
Erickson, M., and S. Wang. 1998． Earnings management by acquiring firms in stock for stock mergers. Journal of Accounting and Economics (27) 2:149-176．
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Fama, E., and K. French. 1992． The cross-section of expected stock returns. Journal of Finance 47:427-765．
Fama, E., and K. French. 1993． Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33: 3-56．
Foster, G.. 1979． Briloff and the capital market. Journal of Accounting Research, Spring: 262-274．
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Aharony, J., C. J. Lee, and T. J. Wong.2000． Financial packaging of IPO firms in China. Journal of Accounting Research 38:103-126．
Aharony, J., CJ. Lin and M. Loeb.1993． Initial Public Offerings, Accounting Choices, and Earnings Management. Contemporary Accounting Research, Fall: 61-81．
Ali, A., L. Hwang, and M. Trombley. 1999． Accruals and future stock returns: tests of the naive investor hypothesis. Working paper.University of Arizona, Tucson, AZ.
Atiase, R.. 1985． Predisclosure information, firm capitalization, and security price behavior around earnings announcements. Journal of Accounting Research, Spring:21-36．
Beneish, M. D.. 1997． Detecting GAAP violation:implications for assessing earnings management among firms with extreme financial performance. Journal of Accounting and Public Policy 16:271-309．
Brown, S., and J.Warner. 1985． Using daily returns: a case of event study. Journal of Financail Economics 8:4-31．
Burgstahler, D., and I. Dichev. 1997． Earnings management to avoid earnings decreases and losses, Journal of Accounting and Economics (24) 1: 99-126．
Burgstahler, D., and M. Eames. 1998． Management of earnings and analysts forecasts. Working paper. University of Washington, Seattle, WA.
Chambers,D.J.. 1999． Earnings management and capital misallocation. Working Paper.University of Illinois at Urbana-Champaign.
Chen, C. J.P., X. Su, and R. Zhao. 1999． Market reaction to initial qualified audit opinions in an emerging market: evidence from the Shanghai stock exchange. Working Paper. City University of Hongkong.
Chen, K.and H. Yuan. 2000． Earnings management and capital resource allocation: evidence from China's accounting-based regulation of rights issue. Working Paper. Hong Kong University of Science & Technology and Shanghai University of Finance & Economics.
Choi, S. K., and D.C. Jeter. 1992． The effects of qualified audit opinions on earnings response coefficients. Journal of Accounting and Economics 15:229-247．
Collins, D. and P. Hribar. 1999． Errors in estimating accruals: implications for empirical research.Working Paper.University of Iowa, Iowa City, IA.
DeAngelo, L.. 1988． Managerial competition, information costs, and corporate governance: the use of accounting performance measures in proxy contents. Journal of Accounting and
Economics, January:113-143．
Dechow, P., and D. J. Skinner.2000． Earnings management: Reconciling the view of accounting academics, practitioners, and regulators. Working Paper. University of Michigan School.
Dechow, P., R. Sloan, A. Sweeney. 1995． Detecting earnings management. The Accounting Review, April: 193-225．
DeFond, M., and J. Jiambalvo. 1994． Debt covenant violation and manipulation of accruals: accounting choices in troubles companies. Journal of Accounting and Economics (17) January: 145-176．
Dopuch, N., R. Holthausen, and R. Leftwich. 1986． Abnormal stock returns associated with media disclosures of 'subject to' qualified audit opinions. Journal of Accounting and Economics,May: 93-117．
Easton, P.. 1997． Use of comparisons of patterns of stock return and accounting data in understanding apparently anomalous returns to accounting-based trading strategies.Contemporary Accounting Research, Spring: 137-151．
Erickson, M., and S. Wang. 1998． Earnings management by acquiring firms in stock for stock mergers. Journal of Accounting and Economics (27) 2:149-176．
Fama, E. and K. French. 1995． Size and book-to-market factors in earnings and returns." The Journal of Finance, March: 131-55．
Fama, E.. 1998． Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics (49) 3: 283-306．
Fama, E., and K. French. 1992． The cross-section of expected stock returns. Journal of Finance 47:427-765．
Fama, E., and K. French. 1993． Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33: 3-56．
Foster, G.. 1979． Briloff and the capital market. Journal of Accounting Research, Spring: 262-274．
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