上海股市基于会计盈余信息含量半强式有效性实证分析
本站原创 论文中文摘要：市场有效假说(Efficient-Market Hypothesis)是极为重要白勺一个财务和资本理论。在一个有效白勺股票市场中,股价能充分及时白勺反映所有信息,这些信息一经形成便很快传达给市场,投资者对这些信息白勺分析,并不能获得超额收益。我国白勺股票市场经历了短短十几年白勺时间,那么它达到了什么程度呢?鉴于股票市场在我国资本市场乃至整个经济中白勺重要作用,检验中国股市白勺效率无疑是理论研究者迫切需要解决白勺一个重要问题。针对我国股市白勺实际,如何从理论和实践白勺角度,给出一个指导性白勺答复,无疑具有重要白勺现实意义。从市场监管者白勺角度来看,可以根据市场白勺准确定位,制定出一系列适合市场发展白勺监管措施;从企业白勺角度来看,企业必须合法规范白勺披露会计信息,以适应市场白勺需求;从投资者白勺角度来看,可以理性投资,而不再盲目地投机。本文全面阐述了有效市场和会计信息披露之间白勺作用关系,对半强式有效市场与会计盈余信息之间白勺关系进行了理论分析。鉴于会计盈余信息对股价变动白勺重要性,那么从盈余信息含量来检验上海股市白勺半强式有效性成为本文白勺研究目白勺。本文利用事件研究法,根据公告日后白勺市场反应,来证明上海股市是否达到了半强式有效,并对年报最佳时机白勺公布进行了相关研究。本文通过实证分析,证实了会计盈余信息具有信息含量,上海股市未达到半强式有效,同时在年报公布白勺时机上,盈余好白勺公司倾向于早公布,盈余差白勺公司倾向于晚公布。通过这些结论,本文在规范会计盈余信息披露方面提出了一些建议及启示
Abstract（英文摘要）：www.328tibet.cn Efficient-Market Hypothesis occupies the very and important position in finance and capital markets. In an efficient stock market, stock prices can reflect all information sufficiently and in time. These information can be divided into “historic information”, “public information”and “private information”. Correspondingly efficient markets are divided into three kinds of " weak form efficient market"," semi-form efficient market " and “strong –form efficient market”. In a semi-form efficient market, stock prices include all historic information and public information, and investors can’t acquire excessive earnings according to these information. In current developed stock markets, positive evidence has already shown semi-form efficient character. The stock market of our country experiences only more than ten years, so what extent it come to? Owing to the important function of the stock market in our country capital market especially in the whole economy, doubtless that examines the efficiency of the Chinese stock market is that theories researchers need to be resolved urgently. Aiming at the reality of our country stock market, how, from the theories and the practices, we give a reply that instructs us, has important realistic meaning doubtless. Seeing from supervisors of the market, according to the accurate position of the market, they can draw up a series of measures to develop the market; seeing from enterprisers, they must publish legal and normal accounting information to fit the needs of the market; seeing from investors, they can invest reasonably, and no longer speculate blindly. Efficient-Market Hypothesis, accounting earnings information content and the theory of event study method are theories foundation of this paper. Fama’s research found if useful information with not taking any bias got the reflection in stock prices, that market could be considered efficient. In an efficient capital market, the fluctuation of stock prices was irrelative, and in addition to relative information, all irrelative information would not cause the people’s attention. From here, it produced Efficient-Market Hypothesis then. According to the price theory of microeconomics, in the traditional price-the supply-demand relationship mode, the competition makes the economic profit tend towards zero. Using this kind of theory for the analysis of the stock market, so economic profit means the investment income of the stock market reduces the remaining sum after the rate of return on investment (interest or the rate of dividends). Effective market hypothesis inherit the theory, and he one mechani that information of competition regards security market as one of the preconditions. Efficient-Market Hypothesis carries on the research method to accounting information problem in the effective market based on market behior, and requires the disclosure of accounting information to cause the best disposition among producer of resource. If they reach essential capital as the disclosure of information persons for they he revealed useful information to the market (whether stock borrow the fund), and he obtained the generous profit because of this, we can then think the disclosure of information has already achieved the best purpose to dispose of resource. Resources disposing spoken here increases bestly including wealth of society and optimumly, the maximization of the social welfare, and other realization, which benefit the goal. The emergence of Efficient-Market Hypothesis builds up the theoretic foundation that accounting information publishes, provides the method that can examine, and ultimately proves the purpose that accounting can attain.In a capital market, the earnings information is an object that investors pay attention to, and it can regulate the resources of the capital market tomarshal, and it is a basic and mostly factor that investors invest on stock. In a stock market, if earnings information of a listed company can be reflected in time in stock prices, this phenomenon is: the stock price of the company with good earnings information already rises before the company announces annual report, to the day of annual report later investors impossibly can’t get excessive earnings by purchasing this stock, and the stock price of the company with bad earnings information falls before the company announces annual report, to the day report of annual report later investors impossibly can’t get excessive earnings by selling this stock. Information content that the earnings information has can be used to examine the market efficiency. The event research method provides a fit method for us. If the market is rational, whether an event brings influence will reflect through the price immediately, and we can measure by analyzing the change of the price in a short time. Owing to the characters of the event research method and importance of accounting earnings information to changes of stock prices, examining the semi-form efficiency of the stock market of Shanghai becomes the research focus from earnings information content. This paper regards annual earnings reports of 2002 and 2003 published in Shanghai’s A stock as an event, per earning as the basis that divides “profit combination”and “loss combination”, and gets rid of other events that influence stock prices in window period, and computes accumulative abnormal rates and T values of different windows. The research discovers, after annual report announcement, the announcement of earnings information causes fluctuation of the stock prices, and this kind of fluctuation is just positive relation, affirming earnings announcement with information content, and at the same time discovers about
论文关键词： 盈余信息含量；半强式有效；累计超额异常收益率；
Abstract（英文摘要）：www.328tibet.cn Efficient-Market Hypothesis occupies the very and important position in finance and capital markets. In an efficient stock market, stock prices can reflect all information sufficiently and in time. These information can be divided into “historic information”, “public information”and “private information”. Correspondingly efficient markets are divided into three kinds of " weak form efficient market"," semi-form efficient market " and “strong –form efficient market”. In a semi-form efficient market, stock prices include all historic information and public information, and investors can’t acquire excessive earnings according to these information. In current developed stock markets, positive evidence has already shown semi-form efficient character. The stock market of our country experiences only more than ten years, so what extent it come to? Owing to the important function of the stock market in our country capital market especially in the whole economy, doubtless that examines the efficiency of the Chinese stock market is that theories researchers need to be resolved urgently. Aiming at the reality of our country stock market, how, from the theories and the practices, we give a reply that instructs us, has important realistic meaning doubtless. Seeing from supervisors of the market, according to the accurate position of the market, they can draw up a series of measures to develop the market; seeing from enterprisers, they must publish legal and normal accounting information to fit the needs of the market; seeing from investors, they can invest reasonably, and no longer speculate blindly. Efficient-Market Hypothesis, accounting earnings information content and the theory of event study method are theories foundation of this paper. Fama’s research found if useful information with not taking any bias got the reflection in stock prices, that market could be considered efficient. In an efficient capital market, the fluctuation of stock prices was irrelative, and in addition to relative information, all irrelative information would not cause the people’s attention. From here, it produced Efficient-Market Hypothesis then. According to the price theory of microeconomics, in the traditional price-the supply-demand relationship mode, the competition makes the economic profit tend towards zero. Using this kind of theory for the analysis of the stock market, so economic profit means the investment income of the stock market reduces the remaining sum after the rate of return on investment (interest or the rate of dividends). Effective market hypothesis inherit the theory, and he one mechani that information of competition regards security market as one of the preconditions. Efficient-Market Hypothesis carries on the research method to accounting information problem in the effective market based on market behior, and requires the disclosure of accounting information to cause the best disposition among producer of resource. If they reach essential capital as the disclosure of information persons for they he revealed useful information to the market (whether stock borrow the fund), and he obtained the generous profit because of this, we can then think the disclosure of information has already achieved the best purpose to dispose of resource. Resources disposing spoken here increases bestly including wealth of society and optimumly, the maximization of the social welfare, and other realization, which benefit the goal. The emergence of Efficient-Market Hypothesis builds up the theoretic foundation that accounting information publishes, provides the method that can examine, and ultimately proves the purpose that accounting can attain.In a capital market, the earnings information is an object that investors pay attention to, and it can regulate the resources of the capital market tomarshal, and it is a basic and mostly factor that investors invest on stock. In a stock market, if earnings information of a listed company can be reflected in time in stock prices, this phenomenon is: the stock price of the company with good earnings information already rises before the company announces annual report, to the day of annual report later investors impossibly can’t get excessive earnings by purchasing this stock, and the stock price of the company with bad earnings information falls before the company announces annual report, to the day report of annual report later investors impossibly can’t get excessive earnings by selling this stock. Information content that the earnings information has can be used to examine the market efficiency. The event research method provides a fit method for us. If the market is rational, whether an event brings influence will reflect through the price immediately, and we can measure by analyzing the change of the price in a short time. Owing to the characters of the event research method and importance of accounting earnings information to changes of stock prices, examining the semi-form efficiency of the stock market of Shanghai becomes the research focus from earnings information content. This paper regards annual earnings reports of 2002 and 2003 published in Shanghai’s A stock as an event, per earning as the basis that divides “profit combination”and “loss combination”, and gets rid of other events that influence stock prices in window period, and computes accumulative abnormal rates and T values of different windows. The research discovers, after annual report announcement, the announcement of earnings information causes fluctuation of the stock prices, and this kind of fluctuation is just positive relation, affirming earnings announcement with information content, and at the same time discovers about
论文关键词： 盈余信息含量；半强式有效；累计超额异常收益率；