我国上市公司账市比信息效应研究

发布时间：2018-03-18 22:31

本文选题：账市比信息效应　切入点：账市比分解　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：账市比效应指的是高账市比的公司获得较高额收益的现象。自从账市比效应提出之后，学者们致力于探究账市比效应存在的原因。然而，早期对账市比效应的解释存在一些与现实不符的现象，没能让学者们满意。基于这一背景，Daniel and Titman(2006)另辟蹊径，从信息的角度来解释账市比效应（账市比信息效应）。他发现美国股市账市比效应之所以存在，是因为账市比中的无形信息对股票回报的预测作用，而不是因为企业基本面状况的作用。这一发现解释了早期解释与现实部分不符的根本原因，发掘出美国账市比效应存在的真正原因。本文从信息的角度出发，结合我国特有国情来探究我国上市公司存在账市比效应的内在原因。首先，运用1999年1月至2011年12月期间符合要求的上市公司数据进行FM横截面回归，通过实证模型的模拟与检验发现，在整个时间区间内我国上市公司账市比效应存在的原因跟美国股市一样，都是因为账市比中所含有的无形信息对股票未来回报具有预测作用。然后，本文结合股权分置改革这一壮举，探究股权分置改革对我国账市比信息效应的影响。通过对比股改前后两个子样本的FM回归结果发现，随着股权分置改革的推行，我国账市比效应增强，账市比信息效应也发生相应的改变：由股改前无形信息单独起作用变为股改后有形信息和无形信息共同起作用。这就是中国与美国账市比信息效应的区别。
[Abstract]:The book-market ratio effect refers to the phenomenon that companies with high accounting market ratios earn higher returns. Since the introduction of the accounting market comparison effect, scholars have devoted themselves to exploring the reasons for the accounting and market comparison effects. However, The explanation of the early market comparison effect was inconsistent with the reality and failed to satisfy the scholars. Based on this background, there is a different way to go. From the angle of information, he explains the book-market ratio effect. He finds that the reason why the book-market ratio effect exists in the United States stock market is because the intangible information in the book-market ratio predicts the stock return. This finding explains the fundamental reasons why the early explanation does not conform to the reality, and finds out the real reason for the existence of the American book-market ratio effect. In this paper, from the perspective of information, combined with the unique situation of China to explore the internal reasons for the existence of accounting and market comparison effect of listed companies in China. First of all, Using the data of listed companies from January 1999 to December 2011 to carry out FM cross-section regression, it is found by the simulation and test of empirical model, In the whole time period, the reason why the book-market ratio effect of listed companies in our country exists is the same as that in the American stock market, because the intangible information contained in the book-market ratio can predict the future return of the stock. Combined with the feat of the reform of split share structure, this paper probes into the influence of the reform of split share structure on the information effect of book-market ratio in China. By comparing the results of FM regression of two sub-samples before and after the stock reform, it is found that, with the implementation of the reform of split share structure, In China, the effect of accounting and market comparison has been strengthened. The information effect of book-market ratio also changes correspondingly: from invisible information acting alone before stock reform to tangible information and intangible information acting together after stock reform, this is the difference between Chinese and American accounting market information effect.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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