OTC市场盈余信息含量研究

发布时间：2018-02-15 07:32

本文关键词： OTC市场 CAR 盈余信息信息含量未预期盈余 RIPS　出处：《东北财经大学》2012年博士论文　论文类型：学位论文

【摘要】：我国资本市场经过多年的努力与发展,现已形成了主板、中小企业板、创业板和OTC市场等不同定位的市场。OTC市场,又称场外市场,为我国处于成长期的企业和中小企业筹集大量初始资本,其主体是各地以高新园区形式创立的高新技术企业。深证证券交易所代办股份转让系统中新三板企业正是OTC主体市场的典型代表。现在,OTC市场的主体已初具雏形。通过调研和统计发现的我国OTC市场研究特征和规律如下：其一,目前OTC市场的研究范围仅能倾向于新三板。虽然我国的OTC市场范围比较广泛,包含深交所代办股份转让系统内的新三板企业、老三板企业、B股退市转入企业,还包含天津滨海新区、武汉高科技园区等84个国家级高新科技园区中的非上市公司。然而,老三板和B股退市转入的企业均为退市公司,财务状况差；各地独自创立的OTC市场大都没有公开数据,或数据难以取得。其二,根据样本周平均非正常报酬率AAR的统计和分布情况,发现OTC市场的CAR窗口期为报表日前后的[-2,+2]周。 OTC市场中的广义盈余信息数据集,包含直接盈余信息和间接盈余信息：其一,直接盈余信息,是指投资者或报表使用者通过企业财务报告能够直接查询或简单加和后可以直接获取的盈余信息。其二,间接盈余信息,是指投资者或报表使用者通过对直接盈余信息的复杂加工和计算,能够得出的新的盈余信息。 OTC市场广义未预期盈余表现为直接盈余信息、间接盈余信息引起的超出投资者预期的盈余增量,在数值上等于广义盈余披露数值与相应正常预期盈余的差值。正常预期盈余,可以采取分析师预测、上期盈余Et-1、同行业平均利润等。然而在OTC市场中存在一种特殊状态,即正常预期盈余E为0时的特殊数值。当正常预期盈余E为0值时,未预期盈余UE在数值上等于静态盈余的数值。由于OTC市场刚刚形成不久,暂时还没有分析师预测、行业报告以及可靠数据的获取。因此,只有使用动态盈余△EPS、△RIPS和特殊市场状态的静态盈余EPS、RIPS,用于信息含量检测。本文设计了分组别比对方案,通过描述性统计、模型回归、敏感性测试等方法,检验了OTC市场中广义盈余信息的信息含量,得到的主要结论有以下几点：第一,通过对直接盈余信息的信息含量检验显示,直接盈余信息△EPS、EPS的披露具备信息含量,能够对投资者获取超额收益带来有益帮助。第二,在对静态剩余收益RIPS的信息含量检验中,发现混合样本及2010年的RIPS均具有信息含量,能为投资者提供有益的投资参考。第三,通过直接盈余内部,直接盈余与间接盈余的比对发现,△EPS. RIPS和EPS在分组差异化的表现上各有千秋。多元回归模型及其稳定性检验发现,GB(EPS)、GB(△EPS)、GB(RIPS)同投资者累计超额收益评价正相关。因此,广义盈余信息中EPS、△EPS、RIPS三类盈余信息具备信息含量,可以帮助投资者进行投资决策。在具体的广义盈余信息使用策略中,笔者认为：其一,静态盈余的方式显然简单明了,近期适用于个人投资者。其二,使用动态盈余△EPS信息需要具备一定条件,主要是投资者对所投资的企业有初步了解,且市场和行业状态稳定。其三,剩余收益作为未预期盈余也是有限制条件的,即：投资者知识结构和数量有一定基础,具备风险意识。总之,在使用广义盈余信息进行投资决策中,建议机构投资者使用考虑了资本成本和经济利润因素的RIPS指标,并结合盈余EPS、△EPS互相印证,作为稳定性检测,这样更有助于信息含量的准确判断。同时,建议个人投资者依据自身知识结构和计算难度,使用EPS或△EPS。远期来看,分析师预测可能是未来的发展方向。本文的创新之处在于：第一,首次发现我国OTC市场中,静态盈余成为未预期盈余UE的一种表现形式。实证研究发现,静态盈余中每股收益EPS、每股剩余收益RIPS和动态盈余△EPS均具备信息含量,适宜作为未预期盈余UE；且静态盈余的信息含量略微优于动态盈余的信息含量。第二,首次提出OTC市场广义盈余的涵盖范围和投资策略。第三,提出OTC市场数据筛选、使用和处理方法。由于OTC市场的特殊性,数据手工收集和整理的比例大、工作量大、变量计算难度大,因此只有通过系统性的解决方案才能实现。另外,OTC市场交易数据频度低,数据库缺乏；因此,投资者处理数据的方式和方法都有特定性。第四,首次利用我国OTC市场财务报表及股价变动的公开数据,对该类特定市场的基本特征进行判断,取得实证经验结论。第五,对OTC市场收益率Rmt、每股剩余收益RIPS、股票非正常报酬率AR和累计超额收益率CAR的计算等重要方面提出合理的创新计量方式和方法。
[Abstract]:The capital market of our country after years of efforts and development, has formed the motherboard, the SME board, the gem and the OTC market in different market positioning.OTC market, also known as the OTC market, China is in the growth stage of the enterprise and small and medium-sized enterprises to raise a large amount of initial capital, of which the main body is a high-tech enterprise with high-tech around park founded. Three new board business Shenzhen Stock Exchange stock transfer agent system is a typical representative of the main OTC market. Now, the main OTC market has begun to take shape.
Following through the investigation and statistics found that China's OTC Market Research Characteristics and laws: firstly, the research scope of OTC market can only tend to the new board. Although China's OTC market in a wide range, including Shenzhen Stock Exchange in the new three board business, youngest board business, B shares delisting into the enterprise. Also includes the Tianjin Binhai New Area, Wuhan high tech Park 84 national high-tech park in the non-listed company. However, the youngest board delisting and B-share Companies are transferred to the delisting of the company, the financial situation is poor; all alone founded the OTC market are not publicly available data, or it is difficult to obtain data. Secondly, according to the sample average non statistics the distribution and the normal rate of return of AAR, found the OTC market CAR window for the report before the date of [-2 after +2] weeks.
Generalized earnings information in the OTC market data sets, including direct and indirect earnings earnings information: first, direct earnings information, refers to investors or users of financial statements by the enterprise financial report can directly query or simple and you can directly get the earnings information. The two, indirect earnings information refers to investors or users of financial statements through the complex processing and calculation of direct earnings information, new earnings information can be obtained.
Generalized OTC market unexpected earnings is the direct cause of earnings information, indirect earnings information beyond earnings incremental investors expected earnings disclosure, generalized difference compared with the corresponding normal earnings equal in value. The normal expected earnings, analysts predict the earnings can be taken, Et-1, with the industry average profit. However, there is a kind of special in the OTC market, which is normally expected surplus of E for special numerical 0. When the normal expected surplus value for the 0 E, not expected surplus of UE is equal in value to the static surplus. Because the OTC market has just formed soon, yet no analyst forecasts, industry reports and obtain reliable data. Therefore, only the use of dynamic surplus Delta EPS, Delta RIPS and the special market state of static surplus EPS, RIPS for information content detection.
This paper designed the grouping comparison method, through descriptive statistics, regression model, sensitivity test method, test the information content of generalized earnings information in the OTC market, the main conclusions are as follows: first, by checking the information content of earnings information directly proved that the direct earnings information disclosure of delta EPS, EPS have information content, can obtain excess returns to investors bring beneficial help. In second, test the information content of the static residual income RIPS, found mixed sample and 2010 RIPS has information content, can provide useful references for investors. Third, earnings ratio found by direct, direct and indirect surplus earnings EPS. RIPS, and EPS in packet differentiated performance. Each one has its own merits multivariate regression model and stability test showed that the GB (EPS), GB (EPS), GB (RIPS) with investors tired Positive correlation assessment of excess returns. Therefore, the generalized earnings information in EPS, EPS, three RIPS has the information content of earnings information, can help investors make investment decisions.
In general use earnings information of specific strategies, the author thinks that: firstly, the static surplus obviously is simple, suitable for short-term individual investors. Secondly, certain conditions need to use dynamic earnings Delta EPS information, the main reason is that investors have a preliminary understanding of the investment of enterprise, market and industry status and stability. Third, residual income as unexpected earnings also have limitations, namely: the knowledge structure and the number of investors have a certain foundation, have a sense of risk. In short, in the investment decision of using generalized earnings information, advises institutional investors consider RIPS index of capital cost and economic profit factors, combined with the surplus of EPS, Delta EPS each other as the stability of detection, accurate judgment, it is helpful to the information content. At the same time, individual investors based on their own knowledge structure and the difficulty of calculation, using EPS or A EPS. long term, analysts may be the future direction of development.
The innovation of this paper lies in: first, first found in China OTC market, is expected to become a non static earnings form of surplus UE. The empirical study shows that the static surplus earnings per share EPS, share the residual income of RIPS and delta EPS have the dynamic earnings information content, and appropriate for the unexpected earnings information content of UE; the information content of earnings slightly better than the dynamic and static earnings. Second, first proposed the scope of generalized OTC market earnings and investment strategy. Third, the selection of OTC market data, use and processing method. Due to the particularity of the OTC market, manual data collection and collation of the proportion of large workload, variable calculation difficulty. Therefore, the only way to systemic solutions. In addition, OTC market transaction data of low frequency, therefore, investors lack of database; data processing methods are specific. Four, for the first time use public data of financial statements and stock price changes in China's OTC market, the basic characteristics of the specific market to judge, to obtain empirical conclusions. Fifth, the OTC market yields Rmt, RIPS per share of residual income, stock put forward innovative measurement methods and reasonable method and calculate the cumulative normal rate of return of AR excess returns of CAR and other important aspects.

【学位授予单位】：东北财经大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F275;F832.51

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