债务重组损益的市场反应研究

发布时间：2018-04-23 10:12

本文选题：债务重组 + 市场反应　；参考：《北京交通大学》2012年硕士论文

【摘要】：我国资本市场形成的时间较短,与国外资本市场相比仍不够成熟,在我国资本市场发展和完善的过程中,会计信息的可靠性、准确性和及时性一直是市场发展的重要前提,但是近年来,国际和国内发生的一些会计造假和盈余管理案例引起了多方关注,政府和投资者对会计信息质量提出了越来越高的要求。我国监管部门从1999年起开始要求披露非经常性损益,并在公司发行股票、再融资时要求考虑非经常性损益的影响,加强了会计信息质量。然而上市公司仍然可能利用非经常性损益中的债务重组进行盈余管理,获得一次性的巨额重组收益以实现扭亏、避免退市的目的。本文就是在利用非经常性损益进行盈余管理的理论背景下,选取了债务重组损益这一项,分析利用债务重组进行盈余管理的可能性,建立未预期盈余与超额报酬的线性模型,用盈余反应系数定量分析债务重组损益的市场反应,在短窗口内检验资本市场对年报中债务重组损益信息是否有反应?具体是何种反应?资本市场对债务重组损益和经常性损益的反应有何不同?从而加深对债务重组的认识。本文经过实证研究证实了未预期盈余与超额报酬具有正相关性,说明在我国会计盈余具有信息含量；债务重组损益的盈余反应系数为正,说明其与超额回报正相关；并且债务重组损益的盈余反应系数高于经常性损益的盈余反应系数,说明我国投资者是不理性的,不能够区分经常性损益和债务重组,仍然存在利用债务重组进行盈余管理的可能性。
[Abstract]:The forming time of our country's capital market is relatively short, compared with the foreign capital market, it is still not mature enough. In the process of the development and perfection of our country's capital market, the reliability, accuracy and timeliness of accounting information is always the important premise of the market development. However, in recent years, some cases of accounting fraud and earnings management, both at home and abroad, have attracted more and more attention, and the government and investors have put forward higher and higher demands on the quality of accounting information. Since 1999, China's regulatory authorities have required disclosure of non-recurrent profits and losses, and the need to consider the impact of non-recurrent gains and losses on the refinancing of companies, which strengthens the quality of accounting information. However, it is still possible for listed companies to make use of the debt restructuring in non-recurrent profit and loss to manage earnings, and to obtain a huge amount of recombination earnings in order to achieve the purpose of reversing losses and avoiding delisting. In this paper, under the theoretical background of earnings management with non-recurrent profit and loss, this paper selects the profit and loss of debt restructuring, analyzes the possibility of using debt restructuring to manage earnings, and establishes a linear model of unexpected earnings and excess returns. The market reaction of debt restructuring gains and losses is quantitatively analyzed by the earnings response coefficient, and the capital market is tested in a short window to see if there is any response to the information of debt restructuring gains and losses in the annual report. What was the reaction? How do capital markets react to debt restructuring gains and losses from recurring gains and losses? In order to deepen the understanding of debt restructuring. In this paper, the positive correlation between unanticipated earnings and excess returns is confirmed by empirical research, which shows that accounting earnings have information content in China, and the earnings reaction coefficient of debt restructuring gains and losses is positive, which shows that it is positively correlated with excess returns. Moreover, the surplus reaction coefficient of debt restructuring profit and loss is higher than that of recurrent profit and loss, which indicates that Chinese investors are irrational and can not distinguish between recurring profit and debt restructuring. There is still the possibility of using debt restructuring for earnings management.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.51;F224

【参考文献】