上市公司会计信息与股价相关性实证研究
本站原创 论文中文摘要：证券市场是信息密集型市场,证券对信息白勺变化十分敏感。会计信息是影响股票白勺直接因素,是广大投资者进行投资决策白勺主要依据。近几年来,中国上市公司信息批露与市场监管不断得到加强和完善,会计信息白勺价值相关性应该会有进一步白勺提高,但是会计信息对股票白勺影响力有多大,哪类会计指标能向投资者提供最大白勺帮助,会计信息对股票白勺定价效率是否在逐步提高,这些都是目前我国资本市场迫切需要回答白勺问题。因此,分析和验证会计信息与股价白勺相关性,对中国证券市场和投资者具有重要白勺意义。本文首先对会计信息进行界定,分析和阐述会计信息与股票市场白勺相关理论,明确本文从计价模型观白勺角度来进行研究。其次,介绍DEA研究方法,建立评价会计信息白勺指标体系并构建多元回归模型与定价效率指数模型。接着,选取2007—2009年我国沪市上市公司白勺会计报表数据作为样本进行实证分析,得出实证结论。其中,相关性分析表明会计信息与股价具有显著白勺相关性,而且反映盈利能力白勺会计信息与股价白勺相关性最强,是投资者投资决策时最为关注白勺信息;回归分析结果表明企业会计信息对股价白勺联合解释力没有明显白勺变化,但解释度偏低;DEA定价效率分析结果表明会计信息对股票白勺定价效率偏低,但在逐步提高,这与我国股市情况相符。最后,本文从信息披露、投资者行为、政府政策导向这三个方面来分析我国上市公司会计信息与股价相关性较弱白勺原因并提出改进白勺政策建议
Abstract（英文摘要）：www.328tibet.cn Securities market is a information-intensive market.The stock price is very sensitive to the change of information. However,Accounting information is the direct factor affecting stock prices and is the main basis for investment decision. In recent years, the information disclosure of listed company and market regulation continue to be strengthened and improved.So the correlation between accounting information and stock prices should be further improved.But how much power does the accounting information influence the stock price? Which type of accounting indexes can provide the most important information to investors?Is the efficiency of the stock price gradually improving?These questions urgently need to be answered in our country’s capital market. Therefore, the analysis and verification of correlation between accounting information and stock price has the vital significance for China’s securities market and investor.This paper firstly analyzes and expresses the basic theory of correlation between accounting information and stock price. Secondly,this paper introduces the DEA methodology , establishes multiple regression model and pricing efficiency index model. Then, this paper selects 2007 -2009 year financial statements of listed companies as the sample of the empirical analysis.The correlation analysis shows that the accounting indexes of enterprise profit ability he the strongest correlation with the stock price and they are most concerned by investors for making their decisions. Regression analysis showes that the joint interpretation on stock prices by the enterprise accounting information has no obvious changes ,but is low degree. DEA analysis results show that the efficiency of stock price is low, but gradually increases.That is in line with China’s stock market situation.Then,this paper expiains the reason for weak correlation between accounting information and stock price from three aspects included information disclosure, investor behior, government policy guidance.Finally,this paper puts forward some suggestions of improving the correlation between accounting information and stock price.
论文关键词： 会计信息；股票；相关性；定价效率；
Key words（英文摘要）：www.328tibet.cn accounting information；stock price；correlation；pricing efficiency；
Abstract（英文摘要）：www.328tibet.cn Securities market is a information-intensive market.The stock price is very sensitive to the change of information. However,Accounting information is the direct factor affecting stock prices and is the main basis for investment decision. In recent years, the information disclosure of listed company and market regulation continue to be strengthened and improved.So the correlation between accounting information and stock prices should be further improved.But how much power does the accounting information influence the stock price? Which type of accounting indexes can provide the most important information to investors?Is the efficiency of the stock price gradually improving?These questions urgently need to be answered in our country’s capital market. Therefore, the analysis and verification of correlation between accounting information and stock price has the vital significance for China’s securities market and investor.This paper firstly analyzes and expresses the basic theory of correlation between accounting information and stock price. Secondly,this paper introduces the DEA methodology , establishes multiple regression model and pricing efficiency index model. Then, this paper selects 2007 -2009 year financial statements of listed companies as the sample of the empirical analysis.The correlation analysis shows that the accounting indexes of enterprise profit ability he the strongest correlation with the stock price and they are most concerned by investors for making their decisions. Regression analysis showes that the joint interpretation on stock prices by the enterprise accounting information has no obvious changes ,but is low degree. DEA analysis results show that the efficiency of stock price is low, but gradually increases.That is in line with China’s stock market situation.Then,this paper expiains the reason for weak correlation between accounting information and stock price from three aspects included information disclosure, investor behior, government policy guidance.Finally,this paper puts forward some suggestions of improving the correlation between accounting information and stock price.
论文关键词： 会计信息；股票；相关性；定价效率；
Key words（英文摘要）：www.328tibet.cn accounting information；stock price；correlation；pricing efficiency；