非流动性资产处置损益的市场反应研究

发布时间：2019-06-24 17:50

【摘要】：随着我国资本市场的不断发展,投资者对上市公司会计信息的真实性、准确性和完整性提出了更高的要求。因此上市公司会计信息含量已经广泛引起了学术界、实务界和监管部门的关注。由于我国证券市场起步较晚,学术界对于会计信息含量这方面还没有全面、深入、系统的研究。非经常性损益作为会计盈余中的构成部分,具有偶发性、易于操纵和持续性低的特征,极有可能不具有与决策相关的信息含量,更有可能成为上市公司进行盈余管理的手段。本文就是对非经常性损益中的其中一类项目——非流动性资产处置损益的市场反应进行实证研究,检验非流动性资产处置损益对投资者决策的影响程度。本文采用盈余反应系数分析法,建立线性模型,证明超额回报和未预期盈余具有正相关性,说明会计盈余数字对股价变动有影响。非流动性资产处置损益的盈余反应系数大于经常性损益的盈余反应系数,说明在年报公布前后5个交易日,非流动性资产处置损益和经常性损益都对股价变动有影响,投资者对非流动性资产处置损益的定价比较高,未能识别非流动性资产处置损益和经常性损益的不同持续性,上市公司极有可能利用非流动性资产处置损益进行盈余管理。
[Abstract]:With the continuous development of China's capital market, investors put forward higher requirements for the authenticity, accuracy and completeness of accounting information of listed companies. Therefore, the content of accounting information of listed companies has attracted the attention of academic, practical and regulatory departments. Due to the late start of China's securities market, there is no comprehensive, in-depth and systematic research on the content of accounting information in academic circles. As an integral part of accounting earnings, non-recurrent profit and loss has the characteristics of accidental, easy manipulation and low persistence. It is most likely that it does not have the information content related to decision-making, so it is more likely to become a means of earnings management for listed companies. This paper makes an empirical study on the market reaction of the profit and loss of the disposal of illiquid assets, which is one of the items of non-recurrent profit and loss, and tests the influence of the profit and loss of the disposal of illiquid assets on investors' decision-making. In this paper, a linear model is established by using the method of earnings response coefficient analysis to prove that there is a positive correlation between excess return and unexpected surplus, which shows that the number of accounting earnings has an impact on the change of stock price. The surplus response coefficient of illiquid assets disposal profit and loss is larger than that of recurrent profit and loss, which indicates that in the five trading days before and after the publication of annual report, the profit and loss of illiquid asset disposal have an impact on the change of stock price, the investors price the profit and loss of illiquid asset disposal is relatively high, and can not identify the different persistence of illiquid asset disposal profit and loss and recurrent profit and loss. Listed companies are likely to use illiquid assets to dispose of profits and losses 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

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