我国上市公司会计信息质量与市场微观结构特征的研究
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摘要
关于会计信息质量的经济后果研究一直是理论界和实务界的研究热点。随着金融市场微观结构理论的发展和我国新企业会计准则的应用，本文从理论和实证研究角度，对会计信息及其质量与证券市场价格行为和定价之间的关系进行了一个详细而全面的探讨和分析。具体内容主要包括：
第一，相关理论分析。主要介绍了会计信息及其质量的相关理论，阐述了金融市场微观结构理论，分析了两者相结合的理论基础，为本文后续研究提供支撑。
第二，从应计质量视角出发，在FLOS综合模型的基础上，构建了FLOS系列模型，并分别运用预测误差方法和可操纵性应计利润暂时性效应检验模型进行实证检验，得到了更精确的度量上市公司会计信息质量水平的IRFLOS模型。
第三，借鉴Kim和Stoll（2009）针对报价驱动市场的研究，以订单流不平衡指标作为非对称信息的代理变量，采用事件研究的方法，实证检验了我国订单驱动市场上定期公告前后的会计盈余信息与订单流不平衡之间的关系。发现我国证券市场存在着严重的信息不对称，表明我国仍然属于弱势有效资本市场。基于分笔高频交易数据，利用LSB、VAR、PIN等模型直接测度二级市场上的非对称信息程度，检验其对公司现金持有水平及其价值效应的影响。发现在信息不对称程度严重的情况下，公司倾向于持有较少的现金资产，其市场价值也较低。
第四，基于证券市场微观结构理论以及国内外学者相关研究的启发，以深交所的信息披露考评结果作为会计信息质量的代理变量，运用主成分分析法得到综合流动性水平。实证检验了会计信息质量及其变化与综合流动性水平、相对价差、深度（数量）以及换手率等市场流动性水平的关系。研究结果表明，上市公司披露的会计信息质量与股票流动性水平显著正相关，前后年度会计信息质量的变化会引起股票流动性的相应改变，表现为同向的变动关系。
第五，根据改进得到的IRFLOS模型度量会计信息质量水平，分别采用RV方法和GARCH模型度量市场风险水平，首次运用面板VAR模型进行检验。发现上市公司会计信息质量水平在短期内与其市场风险呈现显著负相关关系，经过长期的调整过程，这种冲击效应逐渐趋向于0。同时，在Ohlson模型的基础上，构建了会计信息质量对股价影响的模型并进行实证检验，结果表明可操纵性应计利润对公司股价起到了有效的抑制作用。并且将会计信息质量作为定价因子，引入到CAPM模型、Fama三因子和四因子模型中，研究发现会计信息质量与超额收益率显著正相关，说明会计信息质量是资产定价的重要因子。
The research of economic consequences on the accounting information qualityhas always been the hotspot in the theoretical and practical circles. With thedevelopment of financial market microstructure theory and the application of the newenterprise accounting standards in China, this article has performed a thorough andcomprehensive discussion and analysis of the relationship between accountinginformation and its quality and the price behavior and pricing of the stock marketfrom the theoretical and empirical research. The specific content including:
First, introduce the relevant theory. This section introduces the theory ofaccounting information and its quality, elaborates the financial market microstructuretheory, analyzes the theoretical basis of a combination of the both, all this provides asupport for the follow-up studies.
Second, from the accrual quality perspective, this article improves the FLOSmodel to draw the adjusted FLOS series models, then empirical tests the FLOS seriesmodels respectively using the prediction error method and maneuverability accruedprofits temporary effect test model, and finally we get the model of IRFLOS whichhas a more accurate measure of the level of accounting information quality on listedcompany.
Third, learn from Kim and Stoll (2009) for the quote-driven market, this paperchooses order imbalance indicators as proxy variable of asymmetric information, usesthe event study method, empirical tests the relationship between accounting earningsinformation before and after announcement and order imbalance in order-drivenmarket of China. It finds that there is serious information asymmetry in securitiesmarket of our country, indicates that China is still a weak efficient capital market.Then based on the sub-document high frequency trading data, uses the LSB, VAR,PIN models to directly measure the degree of asymmetric information on thesecondary market, tests its effect on the cash holdings and its value of the company.The result indicates that in the case of serious information asymmetry, the companytends to hold less cash assets, and its market value is lower.
Fourth, based on the securities market microstructure theory and the inspire ofthe research of domestic and foreign scholars, this article chooses the informationdisclosure evaluation results of the Shenzhen Stock Exchange as the proxy variable of the accounting information quality, uses the principal component analysis method toget the consolidated current level. It empirically tests the relationship betweenaccounting information quality and its change and the level of liquidity such asconsolidated current level, relative spread, depth quantity and turnover. The resultsshow that, the accounting information quality and the level of stock liquidity have asignificant positive correlation. The accounting information quality changes beforeand after the annual will cause a corresponding change of the stock liquidity, itmanifests as changes in the same direction.
Fifth, we measure the level of accounting information quality according toIRFLOS model, use RV method and GARCH model to measure the market risk, andtest the relationship for the first use of the panel VAR models. The results show that,the level of accounting information quality of listed companies and its market riskpresents a significant negative in the short term. After a long process of adjustment,this shock effect gradually weakens, and gradually tends to zero. At the same time,based on the Ohlson model, this paper builds the model of the effect of the accountinginformation quality on stock prices and then has an empirical test, the result showsthat accruals maneuverability has played an effective inhibition in the company’sshare price. And introduce the accounting information quality as a pricing factor intothe CAPM model, Fama three-factor and four-factor model, it finds that accountinginformation quality and excess yield is significantly positive correlation, indicates thatthe accounting information quality is an important asset pricing factor.
第一，相关理论分析。主要介绍了会计信息及其质量的相关理论，阐述了金融市场微观结构理论，分析了两者相结合的理论基础，为本文后续研究提供支撑。
第二，从应计质量视角出发，在FLOS综合模型的基础上，构建了FLOS系列模型，并分别运用预测误差方法和可操纵性应计利润暂时性效应检验模型进行实证检验，得到了更精确的度量上市公司会计信息质量水平的IRFLOS模型。
第三，借鉴Kim和Stoll（2009）针对报价驱动市场的研究，以订单流不平衡指标作为非对称信息的代理变量，采用事件研究的方法，实证检验了我国订单驱动市场上定期公告前后的会计盈余信息与订单流不平衡之间的关系。发现我国证券市场存在着严重的信息不对称，表明我国仍然属于弱势有效资本市场。基于分笔高频交易数据，利用LSB、VAR、PIN等模型直接测度二级市场上的非对称信息程度，检验其对公司现金持有水平及其价值效应的影响。发现在信息不对称程度严重的情况下，公司倾向于持有较少的现金资产，其市场价值也较低。
第四，基于证券市场微观结构理论以及国内外学者相关研究的启发，以深交所的信息披露考评结果作为会计信息质量的代理变量，运用主成分分析法得到综合流动性水平。实证检验了会计信息质量及其变化与综合流动性水平、相对价差、深度（数量）以及换手率等市场流动性水平的关系。研究结果表明，上市公司披露的会计信息质量与股票流动性水平显著正相关，前后年度会计信息质量的变化会引起股票流动性的相应改变，表现为同向的变动关系。
第五，根据改进得到的IRFLOS模型度量会计信息质量水平，分别采用RV方法和GARCH模型度量市场风险水平，首次运用面板VAR模型进行检验。发现上市公司会计信息质量水平在短期内与其市场风险呈现显著负相关关系，经过长期的调整过程，这种冲击效应逐渐趋向于0。同时，在Ohlson模型的基础上，构建了会计信息质量对股价影响的模型并进行实证检验，结果表明可操纵性应计利润对公司股价起到了有效的抑制作用。并且将会计信息质量作为定价因子，引入到CAPM模型、Fama三因子和四因子模型中，研究发现会计信息质量与超额收益率显著正相关，说明会计信息质量是资产定价的重要因子。
The research of economic consequences on the accounting information qualityhas always been the hotspot in the theoretical and practical circles. With thedevelopment of financial market microstructure theory and the application of the newenterprise accounting standards in China, this article has performed a thorough andcomprehensive discussion and analysis of the relationship between accountinginformation and its quality and the price behavior and pricing of the stock marketfrom the theoretical and empirical research. The specific content including:
First, introduce the relevant theory. This section introduces the theory ofaccounting information and its quality, elaborates the financial market microstructuretheory, analyzes the theoretical basis of a combination of the both, all this provides asupport for the follow-up studies.
Second, from the accrual quality perspective, this article improves the FLOSmodel to draw the adjusted FLOS series models, then empirical tests the FLOS seriesmodels respectively using the prediction error method and maneuverability accruedprofits temporary effect test model, and finally we get the model of IRFLOS whichhas a more accurate measure of the level of accounting information quality on listedcompany.
Third, learn from Kim and Stoll (2009) for the quote-driven market, this paperchooses order imbalance indicators as proxy variable of asymmetric information, usesthe event study method, empirical tests the relationship between accounting earningsinformation before and after announcement and order imbalance in order-drivenmarket of China. It finds that there is serious information asymmetry in securitiesmarket of our country, indicates that China is still a weak efficient capital market.Then based on the sub-document high frequency trading data, uses the LSB, VAR,PIN models to directly measure the degree of asymmetric information on thesecondary market, tests its effect on the cash holdings and its value of the company.The result indicates that in the case of serious information asymmetry, the companytends to hold less cash assets, and its market value is lower.
Fourth, based on the securities market microstructure theory and the inspire ofthe research of domestic and foreign scholars, this article chooses the informationdisclosure evaluation results of the Shenzhen Stock Exchange as the proxy variable of the accounting information quality, uses the principal component analysis method toget the consolidated current level. It empirically tests the relationship betweenaccounting information quality and its change and the level of liquidity such asconsolidated current level, relative spread, depth quantity and turnover. The resultsshow that, the accounting information quality and the level of stock liquidity have asignificant positive correlation. The accounting information quality changes beforeand after the annual will cause a corresponding change of the stock liquidity, itmanifests as changes in the same direction.
Fifth, we measure the level of accounting information quality according toIRFLOS model, use RV method and GARCH model to measure the market risk, andtest the relationship for the first use of the panel VAR models. The results show that,the level of accounting information quality of listed companies and its market riskpresents a significant negative in the short term. After a long process of adjustment,this shock effect gradually weakens, and gradually tends to zero. At the same time,based on the Ohlson model, this paper builds the model of the effect of the accountinginformation quality on stock prices and then has an empirical test, the result showsthat accruals maneuverability has played an effective inhibition in the company’sshare price. And introduce the accounting information quality as a pricing factor intothe CAPM model, Fama three-factor and four-factor model, it finds that accountinginformation quality and excess yield is significantly positive correlation, indicates thatthe accounting information quality is an important asset pricing factor.
引文
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