公允价值会计与市场波动

发布时间：2019-04-10 09:46

【摘要】：2008年金融危机的爆发,使得公允价值会计倍受关注。一个焦点问题是:公允价值会计是否会加剧市场波动。我们针对2007—2011年中国A股市场的情况对这一问题进行了实证研究,主要结论如下:1)股价能够反应公允价值会计信息,且在市场波动期比平稳期反应更显著;2)公允价值会计信息与波动率之间的正相关关系在市场波动期比在平稳期更加显著;3)波动率与公允价值会计信息的正相关性主要出现在长周期上。
[Abstract]:With the outbreak of financial crisis in 2008, fair value accounting has attracted more and more attention. A focus is whether fair value accounting will exacerbate market volatility. The main conclusions are as follows: 1) the stock price can reflect the fair value accounting information, and the volatility of the market is more significant than that of the stable period; (1) the stock price can reflect the fair value accounting information in China's A-share market from 2007 to 2011, and the main conclusions are as follows: 2) the positive correlation between the fair value accounting information and the volatility is more significant in the market volatility than in the stable period; 3) the positive correlation between the volatility and the fair value accounting information mainly appears in the long-term period.
【作者单位】：上海交通大学安泰经济与管理学院;
【基金】：国家自然基金课题(项目号70772061) 上海交通大学“晨星青年学者奖励计划”一项基础性工作
【分类号】：F224;F832.51

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