会计信息有效性的行业比较研究
发布时间：2019-06-14 19:40
【摘要】：随着我国资本市场建设的推进和开放，沪深股票市场也逐渐走向成熟，整体上从以往的弱式有效市场逐渐向半强式有效市场演变。但是，信息效率差异的原因是什么？在这个演变过程中是否所有行业的有效性都是同步变化的？各行业的有效性是否相同？目前，，国内学者并无人进行相关研究或者给出研究结果。 本文正是基于这样的背景下，以沪深股市采掘、食品饮料两个行业2009年、2010年、2011年三年的年报公告作为样本，采用事件研究法对两个行业年报公告前后20天的股价变动进行实证分析，力图通过统计检验来判断年报公告前后的事件期内是否存在异常收益；同时，本文通过年报实际EPS与机构一致性预测EPS的差值来区分“好消息”与“坏消息”，并观察不同分组的股票是否存在不同的累计异常收益。 通过对采掘、食品饮料共计242个有效样本的实证研究，本文发现食品饮料行业无论是从会计信息含量还是会计信息传递的效率来说，均要优于采掘行业，也就是说食品饮料行业的会计信息有效性要高于采掘行业，而造成其有效性差异的原因很有可能与行业在整个产业链中的位置相关。 最后，本文根据研究结果对投资实践给出了相关建议，并且根据研究的不足之处，给出了后续研究的建议。
[Abstract]:With the promotion and opening of the construction of capital market in China, the stock market of Shanghai and Shenzhen is gradually mature, and has gradually changed from the past weak effective market to the semi-strong effective market. But what is the reason for the difference in information efficiency? Is there a change in the effectiveness of all industries in this evolution? Is the effectiveness of each industry the same? At present, the domestic scholars do not carry out the relevant research or give the results of the research. This paper is based on the background that the annual report of the two industries, such as Shanghai-Shenzhen stock market extraction and food and beverage industry in 2009,2010 and 2011, is used as a sample, and the stock price changes of the two industry annual report announcements before and after the announcement of the annual report of the two industries are analyzed by the event study method. In this paper, we try to judge whether there are abnormal returns in the event period before and after the annual report announcement through statistical test. At the same time, the difference between the actual EPS and the institutional consistency of the annual report is used to distinguish the "The good news" and the "Bad news", and whether the shares of different groups have different accumulated abnormal receipts In this paper, we find that the food and beverage industry is superior to the production of the accounting information and the efficiency of the accounting information transmission through the empirical study of the total 242 effective samples of the extractive and food drinks. In other words, the efficiency of the accounting information in the food and beverage industry is higher than that of the mining industry, and the reason for the difference is likely to be related to the position of the industry in the whole industrial chain Finally, based on the results of the research, this paper gives some suggestions on the investment practice, and gives the follow-up according to the deficiency of the research.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.51;F224
本文编号：2499632
[Abstract]:With the promotion and opening of the construction of capital market in China, the stock market of Shanghai and Shenzhen is gradually mature, and has gradually changed from the past weak effective market to the semi-strong effective market. But what is the reason for the difference in information efficiency? Is there a change in the effectiveness of all industries in this evolution? Is the effectiveness of each industry the same? At present, the domestic scholars do not carry out the relevant research or give the results of the research. This paper is based on the background that the annual report of the two industries, such as Shanghai-Shenzhen stock market extraction and food and beverage industry in 2009,2010 and 2011, is used as a sample, and the stock price changes of the two industry annual report announcements before and after the announcement of the annual report of the two industries are analyzed by the event study method. In this paper, we try to judge whether there are abnormal returns in the event period before and after the annual report announcement through statistical test. At the same time, the difference between the actual EPS and the institutional consistency of the annual report is used to distinguish the "The good news" and the "Bad news", and whether the shares of different groups have different accumulated abnormal receipts In this paper, we find that the food and beverage industry is superior to the production of the accounting information and the efficiency of the accounting information transmission through the empirical study of the total 242 effective samples of the extractive and food drinks. In other words, the efficiency of the accounting information in the food and beverage industry is higher than that of the mining industry, and the reason for the difference is likely to be related to the position of the industry in the whole industrial chain Finally, based on the results of the research, this paper gives some suggestions on the investment practice, and gives the follow-up according to the deficiency of the research.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.51;F224
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相关硕士学位论文 前2条
1 曹纯娟;年度盈余报告公布的市场反应研究[D];天津大学;2004年
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本文编号：2499632
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