金融业Ohlson价值相关性修正模型的建构与分析——基于2011—2015年上市银行面板数据的经验证据
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摘要
Ohlson价格模型揭示了公司的市场价值与会计盈余和净资产的关系,评价范围从损益表拓展到资产负债表,综合体现了资产负债观和损益观。然而采用Ohlson模型来分析具体行业的价值相关性并不是最优的选择,还需要对原模型进行相应的修正。本文收集了2011—2015年38家上市银行的面板数据,通过差分模型、回报模型和联合模型的实证检验,分析了如何改进金融业Ohlson价值相关性模型,以提高会计信息有用性,达到更加合理估计金融行业市场价值的目的。
Ohlson pricing model reveals the connections between company's market value and accounting surplus and net assets.The range of evaluation is expanded from income sheet to balance sheet,which embodies the viewpoints on asset-liability,and profit and loss view comprehensively.However,using Ohlson model to analyze the value of a specific industry correlation is not an optimal choice,the corresponding correction is needed.This paper collectes 38 listed banks panel data from 2011 to 2015,through empirical tests by differential model,return model and joint model.I analyzes how to correct the Ohlson model in the financial industry to improve the usefulness of accounting information and reach a more reasonable financial industry market value estimation.
Ohlson pricing model reveals the connections between company's market value and accounting surplus and net assets.The range of evaluation is expanded from income sheet to balance sheet,which embodies the viewpoints on asset-liability,and profit and loss view comprehensively.However,using Ohlson model to analyze the value of a specific industry correlation is not an optimal choice,the corresponding correction is needed.This paper collectes 38 listed banks panel data from 2011 to 2015,through empirical tests by differential model,return model and joint model.I analyzes how to correct the Ohlson model in the financial industry to improve the usefulness of accounting information and reach a more reasonable financial industry market value estimation.
引文
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[6]毛志宏,冉丹,刘宝莹.公允价值分层披露与信息不对称[J].东北大学学报:社会科学版,2015,17(3):260-267.
[7]邓永勤,康丽丽.中国金融业公允价值层级信息价值相关性的经验证据[J].会计研究,2015(4):3-10,95.
[8]高璐.公允价值层级、外部审计与银行系统性风险溢出效应——基于我国14家上市商业银行的面板数据[J].财会月刊,2016(23):104-109.
[9]刘凤玲,秦晓东.公允价值理论研究综述[J].石家庄铁道大学学报:社会科学版,2016,10(1):26-32.
[10]杜兴强.经验会计研究文献综述[M].厦门:厦门大学出版社,2011.
[2]Barth M E,Beaver W H,Landsman W R.The Relevance of the value relevance literature for financial accounting standard setting:Another view[J].Journal of Accounting and Economics,2001,31(1):77-104.
[3]刘奕均,胡奕明.机构投资者、公允价值与市场波动——基于我国A股市场面板数据的实证研究[J].财经研究,2010(2):110-120.
[4]韩金红.公允价值与市场波动:基于A股市场面板数据的经验证据.管理理论与实践[J].现代财经,2011(6):93-99.
[5]张凤元,符建华,易晓微.分行业公允价值相关性实证研究——基于A股市场面板数据[J].南京审计学院学报,2013(1):86-94.
[6]毛志宏,冉丹,刘宝莹.公允价值分层披露与信息不对称[J].东北大学学报:社会科学版,2015,17(3):260-267.
[7]邓永勤,康丽丽.中国金融业公允价值层级信息价值相关性的经验证据[J].会计研究,2015(4):3-10,95.
[8]高璐.公允价值层级、外部审计与银行系统性风险溢出效应——基于我国14家上市商业银行的面板数据[J].财会月刊,2016(23):104-109.
[9]刘凤玲,秦晓东.公允价值理论研究综述[J].石家庄铁道大学学报:社会科学版,2016,10(1):26-32.
[10]杜兴强.经验会计研究文献综述[M].厦门:厦门大学出版社,2011.