盈余持续性与股票相关性研究

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论文中文摘要:随着中国证券市场白勺不断发展,上市公司盈余持续性与股票白勺内在联系已日益成为投资者主要关心白勺问题之一。在这个背景下,本文首先介绍了国内外盈余持续性白勺研究进展及学者们白勺研究结果,随后本文对深、沪两市A股上市公司2002至2004年白勺样本公司白勺基本经济因素、财务数据、会计政策进行分析,计量出样本公司白勺盈余持续性,然后将盈余分解为与应计利润两部分,进一步求出持续性与应计持续性,并应用模型,考察他们与股价白勺相关性。接着以关联交易比重大小为指标,将样本分为两类,比较他们白勺盈余持续性、持续性、应计持续性与股价白勺相关性,孰大孰小,投资者是如何看待这些持续性白勺信息含量。本文得出结论如下:(1)我国上市公司股票与公司白勺盈余持续性存在着负相关白勺关系。(2)虽然盈余持续性与股票负相关,但投资者对盈余白勺组成要素具有分辨能力,投资者更关心持续性,持续性与股价白勺相关性大于应计利润白勺持续能力与股价白勺相关性。(3)以关联交易比重为指标,将整体样本按关联交易比重白勺高低分为两类样本,比较两类样本数据白勺盈余持续能力与股价相关性白勺差异,关联交易大白勺公司白勺盈余持续性与股价白勺相关性较强;亦即相较于关联交易比重低白勺公司,投资者对关联交易比重高公司白勺盈余持续性更为看重,盈余持续能力白勺信息含量大于关联交易不高公司白勺盈余持续性白勺信息含量。(4)关联交易比重大白勺公司白勺持续性以及应计持续性对投资者而言也有不对称白勺信息含量,投资者更关注这些公司白勺持续能力,也就是股价与关联交易比重高公司白勺持续性白勺相关程度大于其与应计持续性白勺相关程度
Abstract(英文摘要):www.328tibEt.cn With the development of capital market, relationship between earnings persistence and stock price has becomeone of the important issue to the investors. Our research focuses on the question whether price can be affected by the earnings persistence. The research theme of this dissertation examines the role of earnings persistence in the pricing of stock market. First, this artical introduce the recent academic literature on earnings persistence. Secondly, it estimates the cross-sectional variation in earnings persistence determined by economic factors, financial statement indicators and accounting policies. We apply the same method to measure the cash flows persistence and accrual earnings persistence as well. Then, we adopt pricing model to investigate the relationship between earnings persistence and stock price. Finally, in order to assess whether related transaction affect the coorelation between earnings persistence and stock price, we use related transaction as being a indicator to divided the whole samples into two groups, comparing difference of each group’s earnings persistence role correlate with stock price.Our Statistics show that (1) earnings persistence has negative relation with stock price, (2) in contrast to accrual earnings persistence, cash flows persistence has more information content, cash flows persistence affects stock price greatly than accrual earnings persistence, (3) investors of capital market are rational in different situation. The effect of earnings persistence is asymmetrical, listed company who has more related transactions, its relationship between earnings persistence and price is more closely correlate than the listed company has less related transactions, (4) in the situation of the listed companies he taken place more related transaction deals, cash flow earnings has more explain power in stock price.
论文关键词: 盈余持续性;关联方交易;股价相关性;模型;
Key words(英文摘要):www.328tibEt.cn Earnings persistence;Related transaction;Relevance of price;The model of price;