我国上市公司盈余质量对市场风险的影响及定价研究

发布时间：2018-03-13 14:48

本文选题：上市公司　切入点：盈余质量　出处：《天津大学》2014年硕士论文　论文类型：学位论文

【摘要】：会计信息是资金分配的基础，在金融市场中具有重要作用。投资者最关注、最综合、最重要的信息是盈余。盈余质量是会计信息质量的一个典型代表，，在我国学者的研究中，经常以盈余信息质量作为会计信息质量的替代变量，通过评价盈余信息质量判断会计信息质量。关于盈余质量的研究一直是理论界和实务界的研究热点，本文从理论和实证研究角度，对盈余质量与二级市场风险和定价之间的关系进行了详细而全面的探讨和分析。具体内容主要包括：第一，盈余质量研究文献综述。本部分系统的回顾和梳理了盈余质量相关文献，从盈余质量的定义、度量，盈余质量与二级市场风险的关系和盈余质量与证券资产定价三个方面对国内外相关研究进行了总结，并引出了所要研究的问题。第二，以价格冲击作为信息不对称的代理变量，盈余精确度、应计质量和盈余平滑度作为盈余质量指标，采用面板回归的方法，实证研究了沪深A股上市公司的盈余质量与信息不对称的关系。研究发现，盈余质量与信息不对称显著负相关。以公司规模为基础构造信息环境虚拟变量HighInfo，分析在不同信息环境下，盈余质量对信息不对称的影响。发现盈余质量对信息不对称的影响受公司的信息环境影响，在差的信息环境下，公司的盈余质量对信息不对称的影响更加显著。第三，以股票收益对市场流动性非预期变化的敏感性来度量流动性风险，选取盈余精确度、应计质量和盈余平滑度三个盈余质量指标，实证检验了盈余质量对市场流动性风险的影响。研究发现盈余质量与流动性风险负相关，这种负相关关系在市场流动性急剧下降时期更加显著。第四，通过构建盈余质量因子EQfactor，将其作为定价因子放入资产定价模型（CAPM）、Fama-French三因子模型、四因子模型和加入流动性因子的五因子模型中，研究盈余质量对股票超额收益率的影响，并分别以加入EQfactor因子后和加入EQfactor因子前两种检验作对比，分析盈余质量作为信息风险因子是否提高了模型对超额回报率的解释程度。研究发现，盈余质量对股票超额收益率的变化有一定的解释度，可以作为一个定价信息风险的因子。
[Abstract]:Accounting information is the basis of capital allocation and plays an important role in the financial market. The most important information of investors is earnings. Earnings quality is a typical representative of accounting information quality. The quality of earnings information is often regarded as the substitute variable of accounting information quality, and the quality of accounting information is judged by evaluating the quality of earnings information. This paper makes a detailed and comprehensive analysis of the relationship between earnings quality and secondary market risk and pricing from the perspective of theoretical and empirical research. First, the review of earnings quality research literature. This part systematically reviews and combs the earnings quality related literature, from the definition of earnings quality, measurement, The relationship between earnings quality and secondary market risk and the relationship between earnings quality and securities asset pricing are summarized in this paper. Secondly, the price shock is used as the proxy variable of asymmetric information, the accuracy of earnings, the quality of accrual and the smoothness of earnings are taken as the indicators of earnings quality, and the panel regression method is used. This paper empirically studies the relationship between earnings quality and information asymmetry of Shanghai and Shenzhen A-share listed companies. Earnings quality is negatively correlated with information asymmetry. Based on firm size, a virtual information environment variable High Infois is constructed to analyze different information environments. It is found that the effect of earnings quality on information asymmetry is affected by the information environment of the company. In the poor information environment, the effect of earnings quality on information asymmetry is more significant. Third, measure liquidity risk by the sensitivity of stock returns to unexpected changes in market liquidity, select three earnings quality indicators: earnings accuracy, accrual quality and earnings smoothness. The effect of earnings quality on market liquidity risk is tested empirically, and the negative correlation between earnings quality and liquidity risk is found, which is more significant in the period of sharp decline of market liquidity. In 4th, the earnings quality factor (EQF) was constructed and put into the asset pricing model (CAPM) -Fama-French three-factor model, the four-factor model and the five-factor model with liquidity factor to study the effect of earnings quality on the excess return rate of stock. By comparing the two tests after adding EQfactor factor and adding EQfactor factor, the paper analyzes whether earnings quality as an information risk factor can improve the interpretation of excess return rate by the model. Earnings quality has a certain degree of explanation to the change of excess return rate of stock, and it can be used as a factor of pricing information risk.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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