剩余收益、资本投入的信息含量研究

发布时间：2018-01-25 21:07

本文关键词： 剩余收益资本投入股票回报　出处：《西南财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：在对上市公司的研究中,基于会计信息的研究显得非常重要。因为会计信息反映了企业的经营成果、资产状况等信息,是外部主体了解企业发展现状,分析企业未来发展潜力的重要信息渠道。在学术研究领域,相关会计信息的使用使得很多的经济规律被发现。这些发现可以帮助参与者进行投资分析,帮助参与者进行投资决策制定,或是帮助监管者制定规范市场发展的制度等。尤其是在我国这样的新兴经济市场上,对会计信息与上市公司股票价值之间的关系研究不管是在理论上,还是在实际中都是非常有意义的。不管是投资者、分析师还是学术研究者都在努力地探索与股票的回报有关的信息。我国的资本市场发展的时间不长,在政府主导下设立并发展,政府的监管或是扶持政策对资本市场的发展方向与发展速度影响很大。我国资本市场的某些现象可能存在独特性,利用市场的数据来探究现象之间的关系就显得非常必要。我国证券市场的发展时间相对于美国等的证券市场发展时间较短,市场的发育程度还有待加快,市场参与者的素质还需要进一步提高,相关投资的投机性有待降低。证监会等部门陆续出台了相关政策,逐步完善我国证券市场的发展。2012年4月28日,证监会发布《关于进一步深化新股发行体制改革的指导意见》；2012年6月28日沪深交易所分别发布了完善退市制度的方案；2013年7月26日深交所发布修订的交易规则等等。在我国证券市场上,投机思想的生存空间必将越来越小,证券市场上庄家的意志并不能再转移上市公司股票价格的均衡发展。上市公司真正的经营情况会越来越被市场知晓,并反映在市场对股票的定价上,股票的回报率,也将更加有效地与企业真实的盈利能力挂钩。自从Ball、Brown(1968)对会计收益与股票之间的关系研究开始,越来越多的研究显示会计收益与股票之间存在明显的相关关系。如,陈信元、陈冬华、朱红军(2002)运用Ohlson(1995)剩余收益定价模型研究了剩余收益、会计收益、净资产三个变量对股票价格的解释能力。李亚静、朱宏泉、张明善(2004)研究了会计信息(净资产、净利润)、剩余收益与市场价值的相关性等。本研究论文通过探讨剩余收益变化与股票回报率之间的关系,增加了国内学术界关于剩余收益与股票回报之间的关系研究。虽然,国内学术界关于资本投入与股票回报之间的关系研究比较多,但是都是单一方面的研究。本文不仅仅研究资本增长与股票回报之间的关系,也分析研究剩余收益与资本投入对股票回报影响的相对关系,加深相关研究在此领域的发展。本论文在目前的市场环境以及相关理论研究的背景下进行了选题。从目前的研究现状入手,解释了本文的研究意义。阐述了相关理论之后,揭示了本文适用模型的推导。本文使用Sudhakar Balachandran和Partha Mohanram(2012)关于会计盈余变化的分解等式为基础进行研究模型的建立。并利用我国上海证券交易所A股上市公司的相关会计数据、股票回报数据进行了实证分析,并在利用数据之间呈现的关系的基础上,分析了相关变量之间的关系,说明了我国股票市场上的相关现象。本文的预期贡献可能包括：1、将剩余收益与资本成本与股票回报的关系对比分析,突破了现有研究中仅仅从一方面进行研究说明的现状：本文认为这种对比能够更好地解释我国资本市场的某些现象；2、本文建立分析模型时,没有使用Ohlson的剩余收益模型,而是使用基于会计盈余的分解来建立了模型；本文的这种模型选择可以从不同于以往相关学术研究的视角进行相关关系探索；并且基于会计盈余与股票之间关系的现有研究成果,有理由相信这种基于会计盈余分解的模型尝试是有意义的；3、本文的研究结果发现了剩余收益信息在股票回报上的信息漂移现象,并在一定程度上支持资本增长异象,以及市场对于剩余收益与资本投入的不同态度,以及对其信息消化的不同转变,为资本市场权益投资者的投资决策分析有较强的参考意义。详细研究思路如下：第一章阐述了研究的相关背景。在相关背景的基础上说明了本文研究的理论意义以及现实意义。并对本论文的研究工具、研究方法进行了说明。第二章说明分别阐述了国外国内关于剩余收益研究的研究现状,国外国内关于资本投资与股票关系的研究现状。之后对研究现状进行了评述,说明本研究的思路来源。第三章在理论基础中,说明了会计数据与证券市场研究的理论基础,剩余收益与公司股票价值的联系理论基础,资本增长异象的相关解释理论。第四章中介绍了本论文使用模型的推导过程。并解释了一些重要变量的处理过程。第五章本文利用我国上海证券市场A股上市公司的数据进行了相关关系分析。首先是从统计特征上大致分析变量之间的关系。然后利用统计模型从时间变化、截面特征等方面深入研究。最后进行了稳健性检验。第六章对本文研究结果进行了总结与分析。提出了未来研究的可能方向与本文研究中可能存在的不足。本文的研究结果显示,剩余收益增长与当期股票回报之间存在着正相关关系,而投入资本增加与当期回报之间也存在着正相关关系。但是市场对于这两者的价值理解是不同的,市场更加看重投入资本增长带来的股票回报。此外,对于规模较小的公司,市场对于其剩余收益增长、投入资本增长能够解释的当期股票回报的差别更大。而对于近期盈利能力较高的公司来说,市场赋予它们的剩余收益增长、投入资本增长能够解释的当期股票回报的价值更高。其次,在进一步的研究中,本文发现剩余收益的增长可以带来会计盈余增长的持续性；而由投入资本增加带来的会计盈余增长则表现出显著的均值回归性。最后,本论文研究了剩余收益增长、投入资本增长与企业股票的未来回报率之间的关系。结果显示,剩余收益增长与未来股票回报之间存在着正相关关系,这也说明市场对于剩余收益增长信息的反应存在着会计信息漂移现象；投入资本增加与未来股票回报之间却存在着负相关关系,这说明市场扭转了其最初看重的投入资本增加带来的会计盈余增长,意识到高估了其价值,未来市场意识到这些信息之后,市场上做出相应的反应,减少了对企业股票的追捧,其股票的回报率就会减小,因此表现出较强的均值回归性。对于规模较小的公司来说,市场对于其剩余收益增长、投入资本增长能够解释的当期股票回报的差别仍然最大。对于近期盈利能力较强的公司来说,资本投入增加与未来股票回报的关系是负相关的,这说明资本投入的增加并不能给股权投资者带来价值的增值。本文的研究结果可能说明我国资本市场对于资本成本信息的理解能力还不够强,对于经济意义上的利润信息的消化吸收存在一定的信息漂移现象；另外本文的研究结果支持现有文献中关于资本增长异象的研究成果。
[Abstract]:In the research of listed companies , the research on accounting information is very important . Because accounting information reflects the enterprise ' s operating results , asset status and so on , it is an important information channel for the external subject to understand the present situation of the enterprise and analyze the future development potential of the enterprise . In the field of academic research , the use of relevant accounting information makes many economic laws be found . Whether it is an investor , an analyst or an academic researcher is trying to explore the information about the return of the stock . The development of capital market in our country is not long , and the development direction and the development speed of the capital market are influenced by the government ' s supervision or enabling policies . The development of stock market in our country is shorter than the development time of stock market , such as the United States , the market development degree is still to be accelerated , the market participant ' s quality needs further improvement , and the investment of the relevant investment needs to be reduced . On April 28 , 2012 , the CSRC issued the revised trading rules and so on . On April 28 , 2012 , the CSRC issued revised trading rules and so on . On April 28 , 2012 , the CSRC issued revised trading rules and so on . On April 28 , 2012 , the stock exchange issued revised trading rules and so on . The real operation situation of the listed company will be more and more widely known and reflected in the market ' s pricing of the stock , the return of the stock will also be more effectively linked to the real profitability of the enterprise . Since Ball , Brown ( 1968 ) began to study the relationship between accounting income and stock , more and more research shows that there is a clear correlation between accounting income and stock . For example , Chen Xinyuan , Chen DongHua and Zhu Hongjun ( 2002 ) use Ohlson ( 1995 ) Residual Income Pricing Model to study the explanation of stock price . Li Yajing , Zhu Hongquan and Zhang Mingshan ( 2004 ) have studied accounting information ( net assets , net profit ) , surplus income and market value . This paper discusses the relationship between the residual income and the return on stock by exploring the relationship between the residual income and the stock return . Although the relationship between the capital investment and the return of the stock returns more and more , the paper studies the relation between the capital increase and the return of the stock , and also analyzes the relative relationship between the residual income and the return effect of the capital investment on the return of the stock , and further studies the development of the relevant research in this field . In this paper , the research significance of this paper is explained in the background of the current market environment and relevant theoretical research . The research significance of this paper is explained from the current research situation . After the relevant theories are explained , the paper studies the establishment of the model . Based on the relationship between the accounting data and stock return data of the A - share listed company of Shanghai Stock Exchange , the paper analyzes the relationship between the relevant variables and explains the related phenomena in the stock market in China . The expected contribution of this paper may include : 1 . The comparative analysis of the relation between the surplus income and capital cost and the return of stock , breaks through the present situation of the research in the existing research only from one aspect : this paper holds that this comparison can better explain some phenomena in the capital market of our country ; The detailed research thought is as follows : In the first chapter , the background of the research is described . The theoretical significance and practical significance of the research are explained on the basis of the relevant background , and the research tools and research methods of this paper are described . The second chapter illustrates the present situation of the research on surplus income in foreign countries , and the current situation of the research on the relationship between capital investment and stock in foreign countries . After that , the present situation of research is reviewed and the source of thought of this study is explained . In chapter 3 , the theory basis of accounting data and stock market research , the relation theory basis of the surplus income and the company ' s stock value , and the related explanation theory of capital increase are explained . In chapter 4 , the derivation process of the use model of this thesis is introduced , and the processing of some important variables is explained . In the fifth chapter , we analyze the relationship between the data of A - share listed company in Shanghai stock market in China . Firstly , the relationship between variables is analyzed from the statistical characteristics . Then the statistical model is used to study deeply in terms of time and cross - sectional characteristics . Finally , the robustness test is carried out . The sixth chapter summarizes and analyzes the results of this paper . The possible directions of future research and the defects that may exist in this paper are put forward . The results of this paper show that there is positive correlation between the increase of residual income and the return of the current stock , but there is positive correlation between the increase of input capital and the return on investment . Secondly , in the further research , this paper finds that the growth of surplus income can bring about the persistence of accounting earnings growth , while the increase of accounting earnings caused by the increase of input capital shows a significant mean regression . Finally , this paper studies the relationship between the growth of the surplus income , the increase of input capital and the future returns of stock . The result shows that there is a positive correlation between the increase of the surplus income and the return of the future stock . The results of this paper may indicate that our country ' s capital market is not strong enough for the understanding of capital cost information , and there is a certain information drift phenomenon for the digestion and absorption of profit information in economy .

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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