企业盈利预测偏差与通货膨胀预期

发布时间：2018-11-28 20:31

【摘要】：通货膨胀预期是长期以来宏观经济领域的重要课题,其影响因素是学界和宏观调控部门关注的重点之一。微观企业的盈利信息,特别是盈利表现、盈利预测和盈利预期偏差均与通货膨胀存在必然的联系。但各个经济主体在形成通货膨胀预期时,是否考虑了这些信息却是学术界尚未明确回答的问题(S.P.Kothari,2012),本文将在中国的经验证据上尝试回答这一问题。本文根据2002年2季度至2015年3季度沪深A股上市公司自发披露的预期盈利和真实盈利计算,并加权平均得到盈利预测偏差,以CPI和PPI度量我国的通货膨胀水平。论文使用朗润CPI预测及和讯PPI预测数据作为经济学家的通货膨胀预期,根据央行储户调查系统数据,采用Carlson-Parkin法计算居民的通货膨胀预期,并根据通胀预期及真实通胀计算通胀预期偏误。论文首先采用VEC模型基础上的格兰杰因果检验统计量,检验盈利预测偏差与通货膨胀的关系。实证结果发现,企业盈利预测偏差是CPI的格兰杰因,工业企业盈利预测偏差是PPI的格兰杰因,意味着企业盈利预测信息有助于预测未来通胀。在控制货币因素、经济增长率等因素的基础上,论文做通货膨胀预期偏差关于滞后盈利预期偏差的回归分析。实证结果显示,盈利预测偏差对经济学家的CPI预期偏差影响不显著,对经济学家PPI预期偏差影响结果不稳健,对公众CPI预期偏差影响显著。结果意味着,经济学家对CPI的预期充分吸收了企业盈利预测偏差信息,但经济学家PPI预期是否充分吸收盈利预测偏差信息证据不足,公众通胀预期也并未充分吸收企业盈利预测偏差信息。论文的一系列稳健性检验说明上述结果是稳健的。论文的主要创新点和贡献在于,对回答通货膨胀预期是否充分吸收微观企业的盈利信息提供我国的经验证据。
[Abstract]:Inflation expectation is an important subject in the field of macroeconomics for a long time, and its influencing factors are one of the focal points of academic circles and macro-control departments. The profit information, especially the profit performance, the deviation of profit forecast and profit expectation of micro enterprises have certain relation with inflation. However, whether or not the economic agents take these information into account is an unanswered question (S.P. Kotharii 2012). This paper will try to answer this question on the empirical evidence in China. This paper calculates the expected profit and the real profit of the Shanghai and Shenzhen A-share listed companies spontaneously from the second quarter of 2002 to the third quarter of 2015, and obtains the deviation of the average profit forecast. The inflation level of our country is measured by CPI and PPI. The paper uses Langrun CPI forecast and PPI forecast data as economists' inflation expectation. According to the data of central bank depositor survey system, Carlson-Parkin method is used to calculate the residents' inflation expectation. And based on inflation expectations and real inflation calculation of inflation expectations bias. Firstly, Granger causality test statistic based on VEC model is used to test the relationship between profit forecast deviation and inflation. The empirical results show that the deviation of corporate profit forecast is Granger of CPI, and that of industrial enterprise is Granger of PPI, which means that the information of enterprise earnings forecast is helpful to predict future inflation. On the basis of controlling monetary factors, economic growth rate and other factors, the paper makes regression analysis of inflation expectation deviation about lag profit expectation deviation. The empirical results show that the deviation of earnings forecast has no significant effect on the CPI expected deviation of economists, but the effect on PPI expected deviation of economists is not robust, and it has a significant impact on the public CPI expected bias. The result means that economists' expectation of CPI fully absorbs the deviation information of enterprise profit forecast, but the evidence of whether economist PPI's expectation fully absorbs the deviation information of profit forecast is insufficient. Public inflation expectations also did not fully absorb corporate earnings forecast bias information. A series of robust tests show that the above results are robust. The main innovation and contribution of this paper is to provide empirical evidence to answer whether inflation expectations fully absorb the profit information of micro enterprises.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F275;F822.5

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