会计异象与股票收益预测

发布时间：2018-03-17 17:53

本文选题：Penman模型　切入点：会计异象　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：我们将Penman的模型应用于中国数据，用会计异象预测股票收益。考虑到中美会计准则及实例的差异，我们调整了变量及其组成部分，例如去掉其他应收款和其他应付款账户，因为这两项常被认为隐含关联方资金占用。样本包括2001年至2012年的A股市场上市公司，金融企业除外。回归显示了与美国相似的结果，五年滚动基础的样本外测试也有显著的超额收益。我们也检验了包括其他应收应付账户的数据用于比较，进一步确认上述结论。我们进一步将研究拓展到其他不同条件。首先，将收益计算区间由一年缩短为4月末至8月末后，我们发现中期报告的披露对于投资者决策的影响较小。其次，我们将公司按行业分类，对每类行业回归，结果仅能源类和其他行业类别有明显差异。另外，由于亏损公司常出现会计操纵行为，可能降低异常效应，我们研究了盈利公司样本，但超额收益没有改善。因此盈利公司并未表现出更强的应计异象。
[Abstract]:We apply the Penman model to Chinese data to predict stock returns using accounting anomalies. Considering the differences between Chinese and American accounting standards and examples, we adjust variables and their components, such as removing other receivables and other accounts payable. Because these two items are often regarded as implied related party capital usages. The sample includes listed companies listed on the A-share market from 2001 to 2012, with the exception of financial enterprises. The regression shows a similar result to that of the United States. Extra-sample tests on the five-year rolling basis also showed significant excess returns. We also tested data including other accounts receivable and payable for comparison to further confirm the above conclusions. We further expand our research to other conditions. First, by shortening the return range from one year to the end of April to the end of August, we find that the disclosure of interim reports has less influence on investors' decisions. We classify the companies by industry and return to each industry. The results show that there are only significant differences between the energy category and other industry categories. In addition, because accounting manipulation is common in loss-making companies, the abnormal effects may be reduced. We looked at a sample of profitable companies, but the excess returns did not improve. Therefore, the profit companies did not show a stronger accrual vision.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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