盈余反应系数的影响因素研究
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摘要
盈余反应系数是基于资本市场来研究会计信息的有用性。因为盈余反应系数是会计信息和资本市场联系的纽带,同时将会计中的未预期盈余和超额股票回报联系起来,所以研究以上问题的一个很重要的方法就是研究盈余反应系数及其影响因素。
在总结国内外文献的基础上,本文建立了多项影响上市公司盈余反应系数的指标,并设计了盈余反应系数评价指标体系,从盈余的持续性、成长性、安全性、保障性四个角度并分别选用了主营业务利润贡献率、净利润增长率、资产权益率和主营业务收入经营现金比率四个指标进行评价,运用回归分析的方法,考察了市场对意外盈余的反应。
本文选取了2008-2010年沪市A股制造业共376家上市公司三年共1010个样本。首先,对选择的四项指标以及模型中未预期盈余和累计超额股票回报率做了描述性统计。其次,分别进行了单因素和多因素的回归分析。最后,实证结果表明了主营业务利润贡献率、净利润增长率、资产权益率对盈余反应系数具有显著性并产生了正向的影响,而主营业务收入经营现金比率不具有显著性,也就说明了财务报表的信息会计有用性。
Earnings response coefficient is based on the capital market and study the usefulness of accounting information. For earnings response coefficient is the connections of accounting information and capital market, meantime connect the end surplus and oversubscribed stocks return. So an important way of researching above problems is to study the earnings response coefficient and factors that can affect it.
On the basis of summary of domestic and overseas articles, we establish several indexes which effect the earnings response coefficient of quoted companies, and designed evaluating index system of surplus action coefficient, with four degrees of persistence, growing, security and ensuring, then use major operation profit devotions rate, retained profits growing rate, capital equity rate and major operation income casing rate to evaluate, which inspects marking action to unexpected surplus in the way of regression analysis.
This paper selected 1010 samples in A-share manufacturing listed companies of shanghai exchanges from 2008-2010.First, we did a describing statistics to the chosen four indexes, unexpected earnings and accumulative abnormal stock return in model. Then we did regression analysis to single and more indexes. Finally, the practical result shows that major operation profit devotions rate, retained profits growing rate capital equity have significant to the earnings response coefficient and make right influence , but main business income casing rate is not notable, which shows the usage of financial report's accounting information.
在总结国内外文献的基础上,本文建立了多项影响上市公司盈余反应系数的指标,并设计了盈余反应系数评价指标体系,从盈余的持续性、成长性、安全性、保障性四个角度并分别选用了主营业务利润贡献率、净利润增长率、资产权益率和主营业务收入经营现金比率四个指标进行评价,运用回归分析的方法,考察了市场对意外盈余的反应。
本文选取了2008-2010年沪市A股制造业共376家上市公司三年共1010个样本。首先,对选择的四项指标以及模型中未预期盈余和累计超额股票回报率做了描述性统计。其次,分别进行了单因素和多因素的回归分析。最后,实证结果表明了主营业务利润贡献率、净利润增长率、资产权益率对盈余反应系数具有显著性并产生了正向的影响,而主营业务收入经营现金比率不具有显著性,也就说明了财务报表的信息会计有用性。
Earnings response coefficient is based on the capital market and study the usefulness of accounting information. For earnings response coefficient is the connections of accounting information and capital market, meantime connect the end surplus and oversubscribed stocks return. So an important way of researching above problems is to study the earnings response coefficient and factors that can affect it.
On the basis of summary of domestic and overseas articles, we establish several indexes which effect the earnings response coefficient of quoted companies, and designed evaluating index system of surplus action coefficient, with four degrees of persistence, growing, security and ensuring, then use major operation profit devotions rate, retained profits growing rate, capital equity rate and major operation income casing rate to evaluate, which inspects marking action to unexpected surplus in the way of regression analysis.
This paper selected 1010 samples in A-share manufacturing listed companies of shanghai exchanges from 2008-2010.First, we did a describing statistics to the chosen four indexes, unexpected earnings and accumulative abnormal stock return in model. Then we did regression analysis to single and more indexes. Finally, the practical result shows that major operation profit devotions rate, retained profits growing rate capital equity have significant to the earnings response coefficient and make right influence , but main business income casing rate is not notable, which shows the usage of financial report's accounting information.
引文
[1]Ball and Brown,An Empirical Evaluation of Accounting Income Numbers[J],Journal of Accounting Research,1968:159~178
[2]Kormedi.R.and R.Lipe,Earnings innovations,earnings persistence an stock returns[J],Journal of Business(July) ,1987:323~345
[3]Collins.D.and S.P.Kothari,Analysis of intertemporal andcross-sectionaldeterminan of earnings response coefficients[J],Journal of Accounting and Economics,1989: 143~182
[4]Easton.P.and M.Zmijeski, Cross—sectional variation in the stock market response accounting earnings measurement[J],Journal of Accounting and Economics(July) , 1989:117~142
[5]Dhaliwal and Lee and Fargher,The association between unexpected earnings and abnormal security returns in the presence of financial loverage[J],Contemporary accounting research.fall,1991 :26~35
[6]Daniel W.Collins, Williamk.Salatka.,Noisy Accounting Earnings Signals and Earnings Response Coefficient: The Case of the Foreign Currency Accounting [J],Contemporary Accounting Research,1993:161~166
[7]Dhaliwal,D.&S.Reynolds,The Effect of the Default Risk of Debt on the Earning Response Coefficient[J],Accounting Review,1994(4):412~419
[8]Billings,Revisiting the relation between the default risk of debt and the earnings response coefficient [J],The accounting review,1999(12)
[9]赵宇龙,会计盈余披露的信息含量——来自上海股市的经验数据[J],经济研究,1998(7)
[10]陈小悦、陈晓、顾斌,中国股市弱型效率的实证研究[J],会计研究,1999(9)
[11]陈哓、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)
[12]孟卫东、陆静,上市公司盈余报告披露的特征及其信息含量[J],经济科学,2000(5)
[13]王跃堂、孙铮、陈世敏,会计改革与会计信息质量[J],会计研究,2001(5)
[14]潘琰、陈凌云、林丽花,中国会计准则与IFRS之比较[J],中国会计评论,2003 [15 ]王化成、佟岩,控股股东与盈余质量——基于盈余反应系数的考察[J],会计研究,2006(2)
[16]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2005(2):29~34
[17]刘睿智,上市公司可转换债券的稀释效应——基于盈余反应系数的视角[J],经济研究导刊,2010(10)
[18]Beaver.W.and R.clarke,and W.wright,The association between unsystematic security returns and the magnitude of the earnings forecast error[J],Journal of Accounting Research ,1979(9):316~340
[19]Hayn.C, The information content of losses[J], Journal of Accounting an Economics,1995(20):125~153
[20]BasuS,The conservatism principle and the asymmetric timeliness of earnings[J],Journal of Accounting and Economics,2000
[21]Lopez.Thomas J.and Rees.Lynn,The Effect of Beating and Missing Analysts Forecasts In the Information Content[J],Journal of Accounting,1999:10~13 [22 ]孟子平,我国股市的ERC研究[D],西南财经大学,2007
[23]程小可、李玲玲,会计盈余与股票市场回报非线性关系研究与线性关系的对比[J],中国软科学,2004(2)
[24]施鲲翔、陈云钊,盈余反应系数基期研究动因初探[J],财会月刊,2003(5)
[25]李爽,盈余反应系数的影响因素分析——基于盈余持续性的视角[D],华侨大学,2009
[26]潘世平,盈余反应系数的非线性研究[D],天津大学,2008
[27]陈丽蓉、杨鹏,我国盈余质量影响因素实证研究综述[J],会计之友,2010(11)
[28]Benjamin Graham and David Dodd,Security Analysis,Working paper,1934
[29]BeaverW.H,TheInformation Content of Annual Earnings Announcements[J],Journal of Accounting Research,1968(6):67~92
[30]Teoh.Wang,Perceived auditor quality and the earning response coefficient[J],The Accounting Review,1993(68):346-67
[31]Kothari.S.P.and J.L.Zimmerman, Price and return models,Journal of accounting an Economics,1995(20):155~192
[32]Watts and Zimmerman.,posititive accounting theory[M],Prentice-Hall Inc,1986
[33]Beaver,Financial reporting:An accounting revolution[M],1999
[34]Williams,The theory of investment value[M],1938
[35]Foster.G,Financial Statement Analysis PrenticeHall[M],1986
[36]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
[37]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)
[38]Sloan,Economic consequences of accounting for stock-based compensation[J],Journal of Accounting Research,1996:23~28
[39]P.Hribar and DW Collins,Errors in estimating accruals:Implications for empirical Research[J],Journal of Accounting research,2002:102~121
[40]Chen and Liu,Earnings permanence and the incremental information content of cash flows from operations[J],Journal of Accounting Research,1996:36~54
[2]Kormedi.R.and R.Lipe,Earnings innovations,earnings persistence an stock returns[J],Journal of Business(July) ,1987:323~345
[3]Collins.D.and S.P.Kothari,Analysis of intertemporal andcross-sectionaldeterminan of earnings response coefficients[J],Journal of Accounting and Economics,1989: 143~182
[4]Easton.P.and M.Zmijeski, Cross—sectional variation in the stock market response accounting earnings measurement[J],Journal of Accounting and Economics(July) , 1989:117~142
[5]Dhaliwal and Lee and Fargher,The association between unexpected earnings and abnormal security returns in the presence of financial loverage[J],Contemporary accounting research.fall,1991 :26~35
[6]Daniel W.Collins, Williamk.Salatka.,Noisy Accounting Earnings Signals and Earnings Response Coefficient: The Case of the Foreign Currency Accounting [J],Contemporary Accounting Research,1993:161~166
[7]Dhaliwal,D.&S.Reynolds,The Effect of the Default Risk of Debt on the Earning Response Coefficient[J],Accounting Review,1994(4):412~419
[8]Billings,Revisiting the relation between the default risk of debt and the earnings response coefficient [J],The accounting review,1999(12)
[9]赵宇龙,会计盈余披露的信息含量——来自上海股市的经验数据[J],经济研究,1998(7)
[10]陈小悦、陈晓、顾斌,中国股市弱型效率的实证研究[J],会计研究,1999(9)
[11]陈哓、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)
[12]孟卫东、陆静,上市公司盈余报告披露的特征及其信息含量[J],经济科学,2000(5)
[13]王跃堂、孙铮、陈世敏,会计改革与会计信息质量[J],会计研究,2001(5)
[14]潘琰、陈凌云、林丽花,中国会计准则与IFRS之比较[J],中国会计评论,2003 [15 ]王化成、佟岩,控股股东与盈余质量——基于盈余反应系数的考察[J],会计研究,2006(2)
[16]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2005(2):29~34
[17]刘睿智,上市公司可转换债券的稀释效应——基于盈余反应系数的视角[J],经济研究导刊,2010(10)
[18]Beaver.W.and R.clarke,and W.wright,The association between unsystematic security returns and the magnitude of the earnings forecast error[J],Journal of Accounting Research ,1979(9):316~340
[19]Hayn.C, The information content of losses[J], Journal of Accounting an Economics,1995(20):125~153
[20]BasuS,The conservatism principle and the asymmetric timeliness of earnings[J],Journal of Accounting and Economics,2000
[21]Lopez.Thomas J.and Rees.Lynn,The Effect of Beating and Missing Analysts Forecasts In the Information Content[J],Journal of Accounting,1999:10~13 [22 ]孟子平,我国股市的ERC研究[D],西南财经大学,2007
[23]程小可、李玲玲,会计盈余与股票市场回报非线性关系研究与线性关系的对比[J],中国软科学,2004(2)
[24]施鲲翔、陈云钊,盈余反应系数基期研究动因初探[J],财会月刊,2003(5)
[25]李爽,盈余反应系数的影响因素分析——基于盈余持续性的视角[D],华侨大学,2009
[26]潘世平,盈余反应系数的非线性研究[D],天津大学,2008
[27]陈丽蓉、杨鹏,我国盈余质量影响因素实证研究综述[J],会计之友,2010(11)
[28]Benjamin Graham and David Dodd,Security Analysis,Working paper,1934
[29]BeaverW.H,TheInformation Content of Annual Earnings Announcements[J],Journal of Accounting Research,1968(6):67~92
[30]Teoh.Wang,Perceived auditor quality and the earning response coefficient[J],The Accounting Review,1993(68):346-67
[31]Kothari.S.P.and J.L.Zimmerman, Price and return models,Journal of accounting an Economics,1995(20):155~192
[32]Watts and Zimmerman.,posititive accounting theory[M],Prentice-Hall Inc,1986
[33]Beaver,Financial reporting:An accounting revolution[M],1999
[34]Williams,The theory of investment value[M],1938
[35]Foster.G,Financial Statement Analysis PrenticeHall[M],1986
[36]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
[37]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)
[38]Sloan,Economic consequences of accounting for stock-based compensation[J],Journal of Accounting Research,1996:23~28
[39]P.Hribar and DW Collins,Errors in estimating accruals:Implications for empirical Research[J],Journal of Accounting research,2002:102~121
[40]Chen and Liu,Earnings permanence and the incremental information content of cash flows from operations[J],Journal of Accounting Research,1996:36~54