银行业上市公司会计信息披露与股价反应研究

发布时间：2018-07-21 19:27

【摘要】：近年来，，银行业不仅不断地发展壮大，而且其在我国经济发展中也明显地表现出了越来越大的推动作用。银行业近几年一直保持快速发展，而且政府也在陆续出台相关抑制资本过热的宏观政策，再加上众多中小投资者也青睐于银行企业股，这些都使得银行业备受社会多方关注。对投资者来说，获取信息的一个重要来源就是企业年度报表。本文在信息披露理论的基础上，试图探索有哪些因素在年度报告信息披露后会影响股价上涨或下跌的持续时间，得出包含这些影响因素的各种指标的体系图。从而不仅可以为投资者的相关行为和决策提供参考意见，而且还能为其他企事业单位和个人考察银行业及资本市场业绩行情给与借鉴和启示。本文在综述国内外会计信息披露与股价反应研究成果的基础上，建立了以银行业为背景的上市银行年度报告披露后股价反应的模型。结合我国上市银行年报的特点，本文实证分析的研究对象为16家银行2008年、2009年和2010年连续三年的年度报表披露后股票价格上升或下降的持续时间。对其运用生存分析中的Kaplan-Meier进行估计，得到银行业上市公司股价持续上升和下降时间的分布。结果表明股价持续上涨和下跌时间两种情况的分布存在较为明显的差异。为了识别哪些关键财务指标和股票交易技术因素会对股价波动持续的时间产生影响，本文引入Cox危险比例模型来对样本数据进行拟合分析。结果表明：银行业上市公司的8个主要财务指标、股票成交量和成交价格的变动是影响股票价格波动持续时间的最为关键的10个变量。通过对比这些影响因素，本文得出会计信息比技术因素对股价变动的持续时间的影响更大。最后，本文在考察银行业上市公司的报表特点并结合我国证券市场现状的基础上，又更深入地论述了结论产生的原因和从结论可得到的启示，并提出以后研究的改进方向。
[Abstract]:In recent years, the banking industry has not only developed and expanded, but also obviously played a more and more important role in the economic development of our country. The banking industry has been developing rapidly in recent years, and the government has introduced macro policies to restrain capital overheating in succession, and many small and medium investors are also in favor of the banking enterprises. For investors, an important source of information for investors is the annual report of the enterprise. Based on the information disclosure theory, this article tries to explore the factors that affect the duration of the price rise or fall after the disclosure of the annual report information. The system diagram of various factors can not only provide reference for the related behavior and decision of the investors, but also provide reference and inspiration for other enterprises and individuals to examine the performance of the banking and capital markets.
On the basis of the review of the results of accounting information disclosure and stock price response at home and abroad, this paper sets up a model of stock price response after the annual report of the listed bank, which is based on the banking industry. Combined with the characteristics of the annual report of China's listed banks, the research object of this paper is 16 banks in 2008, 2009 and 2010 for three years. The duration of the rise or decline of the stock price after the annual report is disclosed. Estimates of the Kaplan-Meier in its use of survival analysis results in a continuous rise in the stock price and the distribution of the fall time. The results show that there are significant differences in the distribution of the two cases of the stock price rising and falling time. Some key financial indicators and stock trading technical factors will affect the duration of stock price volatility. In this paper, the Cox risk proportion model is introduced to fit and analyze the sample data. The results show that the 8 main financial indexes of the bank listed companies, the change of the stock volume and the transaction price are the influence of the volatility of the stock price. 10 of the most critical variables of time. By comparing these factors, this paper draws a conclusion that accounting information has a greater impact on the duration of stock price changes than technical factors. Finally, this paper, on the basis of investigating the characteristics of the report of the listed companies of the banking industry and combining with the status of the securities market in China, discussed the origin of the conclusions more deeply. As well as the enlightenment that can be obtained from the conclusion, it also puts forward the direction for future research.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.42;F832.51;F224

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