摘要
应计质量(Accruals quality)是盈余质量(Earnings Quality)的重要组成部分之一。应计质量主要用于衡量应计额与现金流之间的对应程度,应计质量通过应计利润与各个应计项目或现金流量与财务指标等变量之间的相互关联作用与相互匹配关系来反映盈余信息可靠性,是盈余信息可靠性最为合理的衡量指标,能够最为准确地反映盈余质量。
对于盈余质量的研究,国内相关研究主要集中在研究盈余管理(Earnings Management)现象上,尚未有专门针对应计质量的全面系统的研究。而国外对于应计质量的研究,更侧重于考察其价值相关性(The Value Relevance),并通过会计盈余与股价变化之间的关系进行考察,并在过去几十年内取得了很大的进展。然而,对于应计质量的风险定价(Risk-pricing)研究方面,即,是否应计质量能作为一个风险定价因子解释股票超常回报率?从国外相关研究来看,目前尚无定论。并且,随着2001年后A股市场因为大力发展机构投资者加之合格境外投资者(QFII)的推出,已处于国际接轨的转型期,A股市场专业化投资的进程是否会促进整体投资实力的加强,从而更有效甄别公司真实价值,在市场上进行正确定价,起到有效配置资源、维稳市场的作用?国内尚无人从研究上市公司应计质量角度出发进行相关研究。因此,本文从应计分离模型效力分析、应计质量的度量与评估、影响应计质量的内在因素、应计质量的价值相关性、应计质量与盈余的持续性、可预测性的相关性、应计质量的风险定价等方面系统地研究了应计质量。具体研究内容如下:
一、本文采用应计分离法,以现有文献中常用的应计分离模型作比较,在借鉴前人研究的结果的基础上,运用Z统计量检验第一误差、直接以事件期公司为样本来检验回归方程预测误差和比较模型分离来的可操控应计是否具有短期效应这三种方法综合比较模型的精确度,确定最优应计分离法模型是综合模型,从而为如何较为精确地计量盈余管理变量提供了一个可行的依据。
二、系统分析了影响应计质量的各种内在因素,将样本数据分为五个应计质量等级(Accruals Quality Quintile)组合,运用Panel Data回归考察不同盈余质量的公司内在因素对公司盈余质量的敏感度,并得出实证结论:在中国A股市场,经营现金流的不稳定是造成上市公司盈余波动的最重要的原因。这个实证结果在一定程度上说明,在会计期间内,收入和已实现的现金流的不匹配是上市公司应计质量低下的最为重要的原因;
三、运用Panel Data回归分析应计质量对公司盈市率(EP)的影响机理与方向。并得出实证结论:总应计质量AQj,t、可操控应计质量DiscAQj,,与公司盈市率均成显著负相关,说明A股投资者只能根据上市公司报表所反映的盈余来给股票定价,没有充分考虑到与盈余相关联的信息风险。
四、本文从研究应计盈余波动和应计盈余可预测性之间的相关性出发,运用理论分析建立了一个将应计质量与盈余的可预测性和持续性有机地联系起来的研究框架,,并通过A股市场实证据,运用自回归检验了不同等级应计质量样本的应计盈余的持续性和可预测性,实证结果表明,应计质量越差,应计盈余的持续性越差(即其可预测性更差)。这一层次的研究进一步表明,应计质量的好坏直接影响投资者对于公司业绩的预测,从而影响其对于公司股票的估价。
五、本文系统地将应计质量的替代因子AQfactor引入三因子模型和四因子模型,运用时间序列OLS回归检验,从资产定价角度研究分析了上市公司应计盈余质量是否能作为一个信息风险定价因子来解释A股市场股票超常回报率的变化。并得出实证结论:在中国A股市场,没有充分的证据表明,应计质量能作为一个较为稳定可靠的定价因子来解释股票回报率。
六、本文将机构持股变量引入解释应计质量的内在因素,以总样本和分AQ等级样本分别作Panel Data回归,测度机构持股与应计质量的相关性,并得出实证结论:A股市场机构投资者能有效地识别了那些盈余异常波动的公司,即盈余操控程度最高的那些公司。实证数据在一定程度上肯定了机构投资者的专业投资能力。
七、进一步,本文以机构平均持股比例对样本进行分组,运用时问序列OLS回归进行了资产定价检验,并得出实证结论:机构投资者所具有的识别应计质量好坏的专业能力并不足以在股票定价上对A股形成较为显著的影响,从整体上来看,A股投资者缺乏对对应计质量的好坏鉴定和识别能力,反映在了对A股的定价上。
Accruals quality, as a major component of earnings quality, is mainly employed to measure the matching between accruals and cash flow. As the most plausible indicator of earnings reliability, it can reflect earnings informativeness and most accurately mirror earnings quality, through the interaction and matching between accruals, various accrued items and such variables as cash flow and financial index.
With regard to the study of earnings quality, domestic researches focus on the phenomenon of earnings management; specialized and systematic researches on accruals quality are few. On the study of accruals quality, having made big progress in the past decades, overseas researches place emphasis on value relevance by exploring the relationship between accounting earnings and changes in share price, however, as for the study of risk pricing of accruals quality, they draw no final conclusion that accruals quality can be regarded as a risk pricing factor that accounts for abnormal return on stock. With the rapid development of institutional investor after 2001 and the launch of QFII in A-share market, A-share market is in the transformation period of integrating with the international. Whether the proceeding of specialized investment in A-share market will promote the overall investment power, so that the true value of company can be more effectively evaluated and priced in the market, play the role of allocating resources and stabilizing the market, has been studied by nobody in our country. For that reason, this paper conducts systematic research on accruals quality, in terms of credibility analysis of accruals disjunctive model, the measuring and evaluating of accruals quality, internal factor that affects accruals quality, value relevance of accruals quality, continuity of accruals quality and earnings, predictability correlation, and risk pricing of accruals quality, etc. Concrete research content is listed below:
1. On the basis of predecessors'research and by means of accruals separation method, this dissertation comprehensively compares the model fidelity by adopting three ways: testing error of first kind by Z-Statistic, using corporation in event as a sample to examine the error predicted by regression equation, and judging whether the discretionary accruals separated by comparison model has short-term effect. As a result, it is decided that the optimal accruals separation model is an aggregative model that can provide a feasible standard for accurately measuring earnings management variables.
2. After analysis of the internal factors influencing accruals quality, this paper explores the relevance between internal factors of corporations of different earnings quality and earnings quality by employing Panel Data regression, with sample data divided into 5 accruals quality quintile. An empirical conclusion is drawn that in China A-share market, the instability of operating cash flow is the most important reason that causes listed companies'earnings volatility, which, to a certain degree, demonstrates that the major cause of listed companies'low accruals quality is the mismatching between revenues and accomplished cash flow in the accounting period.
3. The influence of accruals quality on earning/price ratio, corporations'cost of equity's proxy variable, is analyzed by adopting Panel Data regression.
4. Beginning with the correlation between accruals earnings volatility and accruals earnings predictability, this dissertation examines the continuity and predictability of accruals quality samples of different level through data from A-share market and autoregression, by building a research framework that combines accruals quality with earnings predictability and continuity through theory analysis. The empirical result indicates that the lower accruals quality, the poorer continuity of accruals earnings, namely, the poorer its predictability. The further study tells us that accruals quality directly affects investors' predicting of company performance and consequent valuation of company stock.
5. With the proxy factor, AQfactor, of accruals quality introduced into three-factor model and four-factor model, this article gives an analysis of listed companies'accruals quality as an information risk pricing factor that accounts for abnormal return on stock in A-share market, by utilizing time series PLS regression to test. The empirical conclusion is made that there is no sufficient evidence that accruals quality can be regarded as a reliable pricing factor that accounts for return on stock.
6. With institution shareholding variables introduced to explain the internal factors of accruals quality, this paper measures the relativity between institution shareholding and accruals quality, through Panel Data regression of gross sample and samples graded by AQ. The empirical conclusion is that institutional investors in A-share market can effectively identify the companies with abnormal earning volatility, namely, companies with the highest control of earnings. The empirical data, to some extent, affirms the professional investment ability of institutional investors.
7. Furthermore, with the sample grouped at the average rate of institution shareholding, this dissertation employs time series OLS regression to test asset pricing. Through empirical analysis, we find that the professional capacity of discriminating accruals quality is not enough to have remarkable effect on A-share in terms of stock pricing; A-share investors are lacking in capability of evaluating accruals quality, which is mirrored in A-share pricing.
引文
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