盈余反应系数的非线性研究
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摘要
本文主要研究盈余反应系数的非线性问题。首先分析ERC线性模型的理论缺陷,引出盈余反应系数的非线性理论研究。然后,在总结国内外研究结论的基础上,联系我国上市公司实际,采用事项研究法,运用二次曲线模型对ERC的非线性进行了总体与分段研究,并与线性模型作了相应比较。
论文选取2003-2006年沪深两市A股制造业上市公司1458个样本,从总体和正负各分段区间上,对模型中两个主要变量未预期盈余和累计超额股票回报做了描述性统计分析,同时对盈余反应系数的线性与非线性模型进行了实证检验。得出非线性模型在总体与负区间上,比线性模型更能反应会计盈余信息,验证了会计盈余信息决策的有用性,显示了ERC的亏损与非线性边际效应,即盈余持续性与ERC负相关,未预期盈余绝对水平越高,盈余持续性越低,盈余反应系数也就越低。而只在一小部分正区间内,线性模型比非线性模型表现得更好。大部分正区间内,线性模型与非线性模型均不能很好地对ERC进行回归。说明市场对“好消息”和“坏消息”的反应具有非对称性,投资者对“利好消息”反应不敏感。相比盈余信息,亏损信息的预测对投资者来说更及时。考虑到非线性问题在我国的适用性问题、样本选择以及盈余反应系数研究的复杂性,论文最后指出了今后研究需要进一步改进的地方。
This paper focuses on non-linear research of earnings response coefficient. Firstly, the defects in theory of linear model leads to a surplus of non-linear theoretical research. Secondly, in summing up the conclusion of the study at home and abroad and on the basis of actual contact listed companies in China, this article uses fact research, and the second curve model of the ERC to the overall non-linearity and sub-studies, in the other, lists a corresponding comparison of linear model.
After selecting 1,458 samples in A-share manufacturing listed companies of the Shanghai and Shenzhen exchanges from 2003 to 2006, the author gives the descriptive statistics of unexpected earnings and accumulative abnormal stock return in the whole range of plus and minus subparagraphs, At the same time, the paper makes the study of linear and non-linear model on earnings response coefficient for Positive Test. In the whole range of plus and minus subparagraphs, the non-linear model is better than the linear model for information of accounting earnings. This shows the usefulness of the information policy in accounting earnings, also, shows the loss and non-linear of that marginal effect on the ERC. On the other, only within the small range, the performance of linear model is better than non-linear model. Within most range, neither liner nor non-linear model can be good for the reunification of the ERC. The response of non-symmetry for the market of“good news”and“bad news”is proved. Taking the applicability of non-linear problems in China as well as the complexity of the response factor into account ,this paper provide the improvement suggestion in the future research.
论文选取2003-2006年沪深两市A股制造业上市公司1458个样本,从总体和正负各分段区间上,对模型中两个主要变量未预期盈余和累计超额股票回报做了描述性统计分析,同时对盈余反应系数的线性与非线性模型进行了实证检验。得出非线性模型在总体与负区间上,比线性模型更能反应会计盈余信息,验证了会计盈余信息决策的有用性,显示了ERC的亏损与非线性边际效应,即盈余持续性与ERC负相关,未预期盈余绝对水平越高,盈余持续性越低,盈余反应系数也就越低。而只在一小部分正区间内,线性模型比非线性模型表现得更好。大部分正区间内,线性模型与非线性模型均不能很好地对ERC进行回归。说明市场对“好消息”和“坏消息”的反应具有非对称性,投资者对“利好消息”反应不敏感。相比盈余信息,亏损信息的预测对投资者来说更及时。考虑到非线性问题在我国的适用性问题、样本选择以及盈余反应系数研究的复杂性,论文最后指出了今后研究需要进一步改进的地方。
This paper focuses on non-linear research of earnings response coefficient. Firstly, the defects in theory of linear model leads to a surplus of non-linear theoretical research. Secondly, in summing up the conclusion of the study at home and abroad and on the basis of actual contact listed companies in China, this article uses fact research, and the second curve model of the ERC to the overall non-linearity and sub-studies, in the other, lists a corresponding comparison of linear model.
After selecting 1,458 samples in A-share manufacturing listed companies of the Shanghai and Shenzhen exchanges from 2003 to 2006, the author gives the descriptive statistics of unexpected earnings and accumulative abnormal stock return in the whole range of plus and minus subparagraphs, At the same time, the paper makes the study of linear and non-linear model on earnings response coefficient for Positive Test. In the whole range of plus and minus subparagraphs, the non-linear model is better than the linear model for information of accounting earnings. This shows the usefulness of the information policy in accounting earnings, also, shows the loss and non-linear of that marginal effect on the ERC. On the other, only within the small range, the performance of linear model is better than non-linear model. Within most range, neither liner nor non-linear model can be good for the reunification of the ERC. The response of non-symmetry for the market of“good news”and“bad news”is proved. Taking the applicability of non-linear problems in China as well as the complexity of the response factor into account ,this paper provide the improvement suggestion in the future research.
引文
[1] Baruch Lev, On the Usefulness of Earnings and Earnings Research Lessons and Directions from Two Decades of Empirical Research[J], Journal of Accounting Research, Vol.27 Supplement 1989
[2] C. S. Agnes Cheng, William S. Hopwood Non-Linearity and Specification Problems in Unexpected Earnings Response Regression Model[J], The Accounting Review, Vol 67 July 1992 :579-598
[3] Collins,D.W. and S.P Kothari,1989.An analysis of inter-temporal and cross-sectional determinants of earnings response coefficients[J], Journal of Business and Accounting 11:251-264
[4] Basu Discussion—The Effect of Risk on Price Response to Unexpected Earnings[J],Journal of Accounting 2005,483-492
[5] Minna Martikinen Accounting Loss and Earnings Response Coefficients: The Impact of Leverage and Growth Opportunities[J],Journal of Business and Accounting March,1997 277-291
[6] Dan S. Dhaliwal The Effect of the Default Risk of Debt on the Earnings Response Coefficient[J] The Accounting Review Vol.69 NO.2 April 1994 412-419
[7] Ray Ball and Lakshmanan Shivakumar The Role of Accruals in Asymmetrically Timely Gain and Loss Recognition[J], Journal of Accounting Research Vol 44 No.2 May 2006 207-241
[8] Basu The conservatism principle and the asymmetric timeliness of earnings[J], Journal of Accounting and Economic,1997,24:3-37
[9] Agnes Cheng, K. Hung Chan and Woody Liao, An Investigation of Market Response to Earnings Announcements: Multinational Firms versus Domestic Firms[J], The International Journal of Accounting, 1997,32(5),125-138
[10] Somnath Das,Huai Zhang, Rounding-up in reported EPS, behavioral thresholds and earnings management[J], Journal of Accounting and Economics,2003,35: 31–50
[11] Robert C. Lipe, Lisa Bryant, Sally K. Widener, Do nonlinearity, firm-specific coefficients, and losses represent distinct factors in the relation between stock returns and accounting earnings?[J], 1998,25: 195-214
[12] Minna Martikainen Accounting Losses and Investors’Growth Expectations[J], International Review of Financial Analysis, 1997, Vol. 6, No. 2, pp. 97-105
[13] Anwer S.Ahmed, Richard A. Schneiblejr ,Douglase.Stevens, An Empirical Analysis ofthe Effects of Online Trading on Stock Price and Trading Volume Reactions to Earnings Announcements[J], Contemporary Accounting Research,2003,Vol.20 No.3 pp. 413-439
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[15] Daniel W. Collins, Williamk.Salatka, Noisy Accounting Earnings Signals and Earnings Response Coefficients: The Case of Foreign Currency Accounting, Contemporary Accounting Research, 1993, Vol.10 No.1 pp. 119-159
[16] Jennifer L.Kao Discussion of“Noisy Accounting Earnings Signals and Earnings Response Coefficients: The Case of Foreign Currency Accounting[J], Contemporary Accounting Research, 1993,Vol.10 No.1 pp. 161-166
[17] Morton Pincus, Accounting Methods and Differential Stock Market Response to the Announcement of Earnings[J], Journal of Accounting, Auditing & Finance, 1991:221-248
[18] Bala G. Dharan, Baruch Lev, The Valuation Consequence of Accounting Changes: A Multi-Year Examination[J], Journal of Accounting, Auditing & Finance, 1991:475-493
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[21] Benjamin Bae, Heibatollah Sami, The Effect of Potential Environmental Liabilities on Earnings Response Coefficients[J], Journal of Accounting, Auditing & Finance,1998:43-70
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[23] Ray Ball , Lakshmanan Shivakumart, The Role of Accruals in Asymmetrically Timely Gain and Loss Recognition[J], Journal of Accounting Research,2006 Vol. 44 No. 2: 207-243
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[31]文怀远,袁淳,国外会计盈余价值相关性研究综述及启示[J],经济研究参考,2006,91:40-44
[32]袁淳,王平,会计盈余质量与价值相关性:来自深市的经验数据[J],经济理论与经济管理,2005,5:36-39
[33]高丹求,李月娥,陈翠,陈小江,会计盈余持续性对盈余质量影响的实证研究[J],财会月刊,2007,8:20-21
[34]毕晓方,周晓苏,盈余质量对会计信息报酬契约有用性的影响及股权特征的交互作用分析[J],中国会计评论,2007,5:55-81
[35]孙辉,李锋,上市公司盈余质量评价系统的建立与应用研究,辽宁工学院学报[J],2006,44:46-51
[36]李敬,廖洪,盈余质量研究:综述和建议[J],会计与审计,2006,7:272-274
[37]张继勋,刘成立,上市公司年报披露时滞与盈余质量—基于2003年深市制造业数据的实证研究[J],工业经济研究,2006,22:32-39
[38]张兰萍,上市公司盈余持续性分析[J],管理研究,2006,4:14-15
[39]姚立杰,会计盈余有用性研究:回顾与展望[J],北京共商大学学报(社会科学版),2005,20(4):43-47
[40]魏明海,会计信息质量经验研究的完善与运用[J],会计研究,2005,3:28-35
[41]陈收,唐安平,盈余质量对股票收益的影响研究[J],湖南大学学报(社会科学版)2005,19(2):29-34
[42]柳木华,盈余质量的信息经济学分析[J],贵州财经学院学报,2004,108:51-54
[43]石红溶,向海燕,会计盈余与股票收益相关性的实证研究—来自深市的数据[J],经济研究,2006,12:62
[44]陈炳辉,黄文峰,股票价格与会计盈余关系研究[J],南方金融,2005,344:49-51
[45]骆品亮,陈连权,会计盈余与非预期盈余宣告对股价冲击作用的一项实证研究[J],会计与审计,2007,6:86-90
[46]王化成,佟言,控股股东与盈余质量—基于盈余反应稀疏的考察[J],会计研究,2006,2:66-75
[47]王志台,上海股市盈余持续性的实证研究[J],财经研究,2000,26(5): 43-48
[48]张庆翠,股票交易量对年报盈余信息反应的实证研究[J],财经理论与实践(双月刊),2003,24(126):44-48
[49]陈晓,陈小悦,刘钊,A股盈余报告的有用性研究--来自上海、深圳股市的实证证据[J],经济研究,1999,6:21-28
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[52]王永峰,肖瑶,会计盈余披露的信息含量—来自上海股市小样本的经验证据[J],财经论坛,2005,1:101-102
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[54]赵宇龙,王志台,我国证券市场“功能锁定”现象的实证研究[J],经济研究,1999,9:56-63
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[2] C. S. Agnes Cheng, William S. Hopwood Non-Linearity and Specification Problems in Unexpected Earnings Response Regression Model[J], The Accounting Review, Vol 67 July 1992 :579-598
[3] Collins,D.W. and S.P Kothari,1989.An analysis of inter-temporal and cross-sectional determinants of earnings response coefficients[J], Journal of Business and Accounting 11:251-264
[4] Basu Discussion—The Effect of Risk on Price Response to Unexpected Earnings[J],Journal of Accounting 2005,483-492
[5] Minna Martikinen Accounting Loss and Earnings Response Coefficients: The Impact of Leverage and Growth Opportunities[J],Journal of Business and Accounting March,1997 277-291
[6] Dan S. Dhaliwal The Effect of the Default Risk of Debt on the Earnings Response Coefficient[J] The Accounting Review Vol.69 NO.2 April 1994 412-419
[7] Ray Ball and Lakshmanan Shivakumar The Role of Accruals in Asymmetrically Timely Gain and Loss Recognition[J], Journal of Accounting Research Vol 44 No.2 May 2006 207-241
[8] Basu The conservatism principle and the asymmetric timeliness of earnings[J], Journal of Accounting and Economic,1997,24:3-37
[9] Agnes Cheng, K. Hung Chan and Woody Liao, An Investigation of Market Response to Earnings Announcements: Multinational Firms versus Domestic Firms[J], The International Journal of Accounting, 1997,32(5),125-138
[10] Somnath Das,Huai Zhang, Rounding-up in reported EPS, behavioral thresholds and earnings management[J], Journal of Accounting and Economics,2003,35: 31–50
[11] Robert C. Lipe, Lisa Bryant, Sally K. Widener, Do nonlinearity, firm-specific coefficients, and losses represent distinct factors in the relation between stock returns and accounting earnings?[J], 1998,25: 195-214
[12] Minna Martikainen Accounting Losses and Investors’Growth Expectations[J], International Review of Financial Analysis, 1997, Vol. 6, No. 2, pp. 97-105
[13] Anwer S.Ahmed, Richard A. Schneiblejr ,Douglase.Stevens, An Empirical Analysis ofthe Effects of Online Trading on Stock Price and Trading Volume Reactions to Earnings Announcements[J], Contemporary Accounting Research,2003,Vol.20 No.3 pp. 413-439
[14] Geraldl Salamon,Thomsl.Stober,Cross-Quarter Differences in Stock Price Responses to Earnings Announcements: Fourth-Quarter and Seasonality Influences[J], Contemporary Accounting Research, 1994,Vol.11 No.1 pp. 297-330
[15] Daniel W. Collins, Williamk.Salatka, Noisy Accounting Earnings Signals and Earnings Response Coefficients: The Case of Foreign Currency Accounting, Contemporary Accounting Research, 1993, Vol.10 No.1 pp. 119-159
[16] Jennifer L.Kao Discussion of“Noisy Accounting Earnings Signals and Earnings Response Coefficients: The Case of Foreign Currency Accounting[J], Contemporary Accounting Research, 1993,Vol.10 No.1 pp. 161-166
[17] Morton Pincus, Accounting Methods and Differential Stock Market Response to the Announcement of Earnings[J], Journal of Accounting, Auditing & Finance, 1991:221-248
[18] Bala G. Dharan, Baruch Lev, The Valuation Consequence of Accounting Changes: A Multi-Year Examination[J], Journal of Accounting, Auditing & Finance, 1991:475-493
[19] Vivek Mande, Earnings Response Coefficients and Dividend Policy Parameters[J],Accounting and Business Research, 1994, Vol. 24. No. 94. pp. 148-156
[20] Gerald A.Feltham, Jinhan Pae, Analysis of the Impact of Accounting Accruals on Earnings Uncertainty and Response Coefficients[J], Journal of Accounting, Auditing & Finance, 1999:199-212
[21] Alka Arora,Pervaiz Alam, The Effect of Adopting Accounting-Based Bonus and Performance Incentive Plans on the Earnings Response Coefficient[J], Journal of Accounting, Auditing & Finance,1996:1-29
[21] Benjamin Bae, Heibatollah Sami, The Effect of Potential Environmental Liabilities on Earnings Response Coefficients[J], Journal of Accounting, Auditing & Finance,1998:43-70
[22] Mark Bagnoli, Susan G. Watts, Conservative Accounting Choices[J], Management Science, May 2005, Vol.51, No.5,pp. 786–801
[23] Ray Ball , Lakshmanan Shivakumart, The Role of Accruals in Asymmetrically Timely Gain and Loss Recognition[J], Journal of Accounting Research,2006 Vol. 44 No. 2: 207-243
[24]王化成,程小可,李玲玲,亏损与非线性对会计盈余与股票回报关系的影响--基于中国资本市场的分析与经验证据[J],中国会计评论,2004,6:105-139
[25]孟焰,袁淳,亏损上市公司会计盈余价值相关性实证研究[J],会计研究,2005, 5:42-46
[26]赵宇龙,会计盈余信息披露的信息含量——来自上海股市的经验证据[J],经济研究,1998,9
[27]陈旭东,黄登仕,会计盈余水平与会计稳健性——基于分量回归的探索分析[J],管理科学,2006,8:52-61
[28]孟子平,我国股市的ERC研究,硕士学位论文,西南财经大学,2007
[29]袁淳,会计盈余价值相关性实证研究,中国财政经济出版社,2005
[30]程小可,上市公司盈余质量分析与评价研究—基于中国资本市场环境的研究构架与经验数据,东北财经大学出版社,2006
[31]文怀远,袁淳,国外会计盈余价值相关性研究综述及启示[J],经济研究参考,2006,91:40-44
[32]袁淳,王平,会计盈余质量与价值相关性:来自深市的经验数据[J],经济理论与经济管理,2005,5:36-39
[33]高丹求,李月娥,陈翠,陈小江,会计盈余持续性对盈余质量影响的实证研究[J],财会月刊,2007,8:20-21
[34]毕晓方,周晓苏,盈余质量对会计信息报酬契约有用性的影响及股权特征的交互作用分析[J],中国会计评论,2007,5:55-81
[35]孙辉,李锋,上市公司盈余质量评价系统的建立与应用研究,辽宁工学院学报[J],2006,44:46-51
[36]李敬,廖洪,盈余质量研究:综述和建议[J],会计与审计,2006,7:272-274
[37]张继勋,刘成立,上市公司年报披露时滞与盈余质量—基于2003年深市制造业数据的实证研究[J],工业经济研究,2006,22:32-39
[38]张兰萍,上市公司盈余持续性分析[J],管理研究,2006,4:14-15
[39]姚立杰,会计盈余有用性研究:回顾与展望[J],北京共商大学学报(社会科学版),2005,20(4):43-47
[40]魏明海,会计信息质量经验研究的完善与运用[J],会计研究,2005,3:28-35
[41]陈收,唐安平,盈余质量对股票收益的影响研究[J],湖南大学学报(社会科学版)2005,19(2):29-34
[42]柳木华,盈余质量的信息经济学分析[J],贵州财经学院学报,2004,108:51-54
[43]石红溶,向海燕,会计盈余与股票收益相关性的实证研究—来自深市的数据[J],经济研究,2006,12:62
[44]陈炳辉,黄文峰,股票价格与会计盈余关系研究[J],南方金融,2005,344:49-51
[45]骆品亮,陈连权,会计盈余与非预期盈余宣告对股价冲击作用的一项实证研究[J],会计与审计,2007,6:86-90
[46]王化成,佟言,控股股东与盈余质量—基于盈余反应稀疏的考察[J],会计研究,2006,2:66-75
[47]王志台,上海股市盈余持续性的实证研究[J],财经研究,2000,26(5): 43-48
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