公允价值会计信息的资本市场定价效率研究

发布时间：2018-01-13 05:33

本文关键词：公允价值会计信息的资本市场定价效率研究　出处：《西南财经大学》2014年博士论文　论文类型：学位论文

【摘要】：在国际趋同背景的指引下我国进行了会计制度的改革,使得会计确认基础经历了2次大的“飞跃”。第一次飞跃起因于2006年《企业会计准则》引入公允价值计量模式。2006年2月15日财政部发布《企业会计准则》,要求上市公司在2007年1月1日起在财务报告中加大公允价值计量的应用。在历史成本计量的基础上,公允价值计量增加了在金融工具、投资性房地产、债务重组、非货币性资产交换准则中的应用。相应在利润表增设“公允价值变动损益”的会计科目。第二次飞跃起因于2009年财政部发布《企业会计准则解释第3号》,要求上市公司从2009年1月1日起在利润表增设“其他综合收益”和“综合收益总额”科目。同时在当年的12月,财政部又颁布了《关于执行会计准则的上市公司和非上市公司做好2009年年报工作的通知》,对利润表和损益表的格式要求作出修改,并具体规定了综合收益项目的相关披露工作。在1998年和2008年国际金融危机爆发之后,公允价值会计成为全球经济发展的焦点话题。2009年6月17日,中国金融会计学会“公允价值应用与金融风险防范”学术研讨会在北京举行,会议提出要构建适合我国国情的公允价值会计改革制度,以防范和减少金融风险,更好地发挥会计信息的作用并完善我国的金融市场。会上还对公允价值会计对经济周期波动以及金融市场的影响等话题作了讨论。鉴于公允价值计量带给资本市场的较大风险(即较大的不确定性),公允价值信息的资本市场定价问题作为一个世界性难题,成为经济学术界讨论的热门话题。2013年1月12日,在中国人民大学召开了第17届中国资本市场论坛,会议对资本市场的定价问题做了讨论,提出我国的资本市场“出了问题”(市场估值偏低),而问题的核心在于资本市场的资本定价方面,彰显出资本市场定价效率研究对我国具有重大意义。本文的研究预期实现以下几个目的：第一,探寻公允价值会计信息影响资本市场定价效率的理论基础。从新准则的会计报告目标和有效市场假说出发,探寻在对资本市场定价效率的影响方面,公允价值信息具有哪些特点以及公允价值会计信息对资本市场定价效率的传导机理。第二,寻求公允价值会计信息的资本市场定价效率研究的经验证据。在理论分析的基础上,主要是从价值相关性、风险相关性以及应计异象三个实证角度来考察公允价值信息的定价效率,以得出相应的经验证据。第三,分析公允价值信息表内和表外披露的现状,结合前文实证结论,提出相应的对策建议,并提出构建公允价值信息披露理论框架的设想。第四,通过理论分析、经验证据和相关信息披露研究,为我国新企业会计准则的实施、金融风险的防范以及投资者的决策等提供参考意见或建议。全文分为三大部分展开论述：第一至三章为第一部分,为全文的铺垫。其中第一章为导论。这章主要介绍本文的研究背景、研究意义、研究思路、研究方法、研究框架以及文章的创新之处和不足之处。第二章为本文的文献综述。这章主要包括会计信息与资本市场定价效率、公允价值会计信息的价值相关性、风险信息定价效率以及公允价值会计信息与应计异象等文献内容。通过对现有文献进行回顾和总结,并对已有文献的评述,找出已有文献中可用于借鉴的成果和不足,以助于确定本文的研究重点、主要内容以及未来的研究方向。第三章为公允价值会计信息与资本市场定价效率研究的理论分析。本章分析了公允价值会计信息的特点和论述了公允价值会计信息对市场定价效率的传导机理。这章内容加上前述的文献综述部分,共同为后面三章的理论分析和实证内容作出理论上的铺垫。第四至七章为第二部分。第四章为公允价值会计信息的价值相关性研究。主要通过理论分析和档案式的实证研究,从价值相关性的角度回答“公允价值会计信息是否发挥了其应有的市场定价作用"和“对市场定价影响的程度如何”这两个问题,重点考察不同公允价值计量程度下的会计信息(包括公允价值程度为O的剔除公允价值的每股账面价值、公允价值变动每股账面价值、公允价值程度为0的剔除公允价值的每股收益、公允价值变动导致的超额每股收益等)与资本市场股价和市场回报的相关性。第五章为公允价值盈余波动的风险相关性研究。主要通过理论分析和档案式的实证研究,人为构建历史成本净利润,从风险相关性的视角,考察历史成本净利润、净利润和综合收益总额这三类公允价值盈余的风险信息和两类增量风险信息(即为净利润波动在历史成本净利润波动之上的增量信息、综合收益总额波动在净利润波动之上的增量信息)与资本市场股价和市场回报的相关性。这实质上是对公允价值风险信息含量的考察。第六章是公允价值信息与应计异象研究。主要通过理论分析和档案式的实证研究,考察历史成本净利润、净利润以及综合收益总额三类盈余及其成分的持续性,以及考察利用三类盈余信息,基于应计策略的投资者是否能够显著获得超额回报的“应计异象”,从而为资本市场提供更多解释应计异象的经验证据。第七章为定价效率下的公允价值信息披露的研究。包括公允价值信息披露的现状、对策建议以及提出构建公允价值信息理论框架的设想,这部分需要结合前面三章的实证结论综合分析。第八章为全文的总结,为第三部分。包括全文的研究结论、不足之处以及对未来研究的展望。这是本文的最后一章,通过对全文的结论、观点等进行综合,提出了对投资者和相关政策机构的建议,并提出本论文存在的局限、不足之处以及未来研究展望。通过相关理论分析、经验数据的检验以及信息披露研究的探讨,本文的主要结论如下：第一,公允价值会计信息对定价效率影响的理论基础。 (1)可靠性质疑和顺周期效应是导致公允价值信息定价效率降低的关键。结合会计报告目标、会计信息特征分析了定价效率视角下公允价值计量的特点,我们归结出公允价值具有相关性增强、可靠性受质疑、具有顺周期效应的特点,其中可靠性的质疑源自公允价值第二层和第三层的计量误差以及管理层的人为操作等行为,而顺周期效应预示着公允价值可能给资本市场带来的较大风险,这两个因素是导致公允价值信息定价效率降低的关键所在。(2)信息观和计量观下具有不同的传导机制。信息观者强调信息的充分披露,主要根据资本市场上披露的会计信息的“信息含量”对公司的价值进行判断和决策,但他们认为不同的计量模式以及混杂的信息、公允价值损益等不一定可靠,因此他们可能认为历史成本计量的数据要更加可靠些,趋向于在历史成本计量的财务报告基础上进行资本市场定价分析。计量观者认为会计报告的意义在于计量和报告全部或部分企业价值,提供投资者决策所使用的信息,强调“经济利润”这个盈余和反映企业内在价值的会计信息披露,因此趋向于在公允价值计量的财务报告基础上进行资本定价分析。第二,公允价值信息具有价值相关性。 (1)公允价值信息的价值相关性易受金融危机等资本市场环境的影响。因为本文在数据的选取上,采用的是金融危机之后后金融时代的数据,实证结果整体表现出较弱的显著性。我们认为理由在于：由于金融危机对全球资本市场造成了重大损失,受其影响我国证券市场投资者信心大失,股价一撅不振,因此我国资本市场会计信息与资本市场股市行情出现了偏差,资本市场发生了较大的定价错误。(2)金融类和非金融类公司存在不同的结论。在非金融上市公司,剔除公允价值的账面价值(NBVE)的系数大于预测理论值1,表明股价和回报率更多地取决于剔除公允价值的账面价值,公允价值相关信息的价值性含量相对较少。而在金融上市公司,NBVE的系数小于预测理论值1,股价和回报率更多地与公允价值账面价值相连,这与金融企业存在较多公允价值计量的金融资产或负债这个本身的特点相符合。第三,公允价值盈余波动具有风险相关性。 (1)金融业的股票回报率波动与盈余波动风险的相关系数是非金融业的38-52.5倍,说明金融业资本市场的投资风险对盈余波动的反应要比非金融业更为敏感。(2)净利润波动的信息和增量信息与资本市场的投资风险和价格存在显著的相关关系,“净利润”科目仍是衡量资本市场的投资风险最核心的盈余指标。(3)综合收益总额波动的信息和增量信息与资本市场的风险和价格具有相对较弱的显著相关性,“综合收益总额"科目是衡量资本市场的投资风险的重要盈余指标。(4)盈余波动、利率风险与股票回报率波动和股票价格显著相关,是重要的风险因素。第四,资本市场存在应计异象。 (1)综合收益总额与净利润相比,盈余总额及应计利润成分的持续性呈下降趋势。(2)随着公允价值计量程度的增加,盈余及其成分对未来一年的原始回报的预测力呈下降趋势。(3)基于应计的套利策略的实证研究结论表明,资本市场仍然存在应计异象,主要是通过买入应计利润程度最低的股票投资组合、卖出应计程度最高的投资组合,可以获得5%左右的超额回报收益,这与在历史成本净利润下采用同样方式计算得出的超额市场回报10%(Sloan,1996)和7.4%(李远鹏等,2007)相比,存在一定幅度的下降。这主要是从历史成本净利润和净利润两项盈余上得到的结论,而在综合收益总额这项盈余下,该投资策略不能获得显著的超额回报。本文的主要研究贡献和创新之处在于：第一,较为系统地分析了公允价值会计信息的资本市场定价效率的传导机理。本文根据公允价值信息具有的相关性增强、可靠性质疑以及顺周期效应的特点,从信息观和计量观等两个层次及整体层次上探讨了公允价值信息的资本市场定价效率的传导机理,为这方面的经验研究等奠定了一定的理论基础。第二,按照公允价值的计量程度,将盈余区分为自建的历史成本净利润、净利润以及综合收益总额这三类,将账面价值、每股收益区分为剔除公允价值和包含公允价值变化的部分等。在这些基础上,进一步考察了不同公允价值程度的会计信息的资本市场定价效率。这些做法为本文考察公允价值信息以及增量信息含量提供了较大的便利,值得为后文相关的经验研究所借鉴。第三,将盈余波动作为公允价值风险信息的替代变量,对风险信息定价效率进行了探索性的实证研究,为金融风险的防范提供了极具价值的经验证据。我们认为公允价值盈余的波动作为风险也是重要的定价因素。并通过经验研究证实了我们的观点：公允价值盈余波动信息具有资本市场的定价作用,无论是投资者投资决策还是准则制定机构制定政策都需要考虑这一因素。这为会计信息与资本市场定价效率的研究提供了新的视角和较有价值的经验证
[Abstract]:In the background of international convergence under the guidance of China carried out the reform of the accounting system, the accounting basis has experienced 2 big leap. The first leap in 2006 due to the "enterprise accounting standards" introduced the fair value measurement model.2006 year in February 15th the Ministry of Finance issued the "accounting standards for business enterprises, requiring listed companies in January 1, 2007 in the financial report to increase the application of fair value measurement. Based on the historical cost, fair value measurement has increased in financial instruments, investment property, debt restructuring, non monetary assets exchange standards. In addition the corresponding income statement profit and loss from fair value changes of the second leap of accounting subjects. In 2009 due to the Ministry of Finance issued" enterprise accounting standards Interpretation No. third ", requiring listed companies from January 1, 2009 onwards in the profit statement added" other comprehensive income "and" comprehensive income The total benefit subjects. At the same time in December of that year, the Ministry of Finance issued "on the implementation of accounting standards of listed companies and non-listed company to the 2009 annual report of the notice", to change the format of profit and loss balance sheet requirements, and the specific provisions of the relevant disclosure of comprehensive income.
In 1998 and 2008 after the outbreak of the international financial crisis, fair value accounting has become the focus of global economic development.2009 in June 17th, China learned "financial accounting of fair value and the financial risk prevention symposium held in Beijing, the meeting proposed to build our country's fair value accounting system reform, in order to prevent and reduce financial risks, better play the role of accounting information and improve China's financial market. It also discussed the fair value accounting of economic fluctuation and financial market impact and other topics. In view of a greater risk of fair value measurement to the capital market (i.e. greater uncertainty), the capital market pricing problem of fair value information as a worldwide problem, has become a hot academic topic in the discussion of economic.2013 in January 12th, the seventeenth held in Renmin University of China The China capital market forum, meeting on the capital market pricing problem is discussed, put forward China's capital market "is a problem" (market undervalued), the core of the problem lies in the capital pricing of capital market, highlights the research on pricing efficiency of capital market in China is of great significance.
This study is expected to achieve the following purposes: first, explores the theoretical basis of fair value accounting information affects the pricing efficiency of capital market. From the point of view of the new accounting standards accounting report targets and the efficient market hypothesis, explore the impact on the capital market pricing efficiency, fair value information conduction mechanism which features as well as the fair value of accounting information for the the capital market pricing efficiency. Second, empirical evidence on pricing efficiency of capital market for fair value accounting information. On the basis of theoretical analysis, mainly from the value relevance, risk correlation and accrual anomaly three empirical perspective of fair value information pricing efficiency, to draw the relevant empirical evidence. Third. The analysis of fair value information disclosure status table and table, combined with the empirical results, put forward corresponding countermeasures and suggestions, and put forward. The idea of establishing the theoretical framework of fair value information disclosure is discussed. Fourth, through theoretical analysis, empirical evidence and information disclosure research, we will provide references and suggestions for the implementation of new accounting standards, financial risk prevention and investors' decision making in China.
The full text is divided into three parts:
The first to the three chapter is the first part, is the foundation. The first chapter is introduction. This chapter mainly introduces the research background, research significance, research ideas, research methods, research framework and the innovation and deficiencies. The second chapter is the literature review. This chapter mainly includes the pricing efficiency of accounting information with the capital market, the value relevance of fair value accounting information, risk information pricing efficiency and the fair value of accounting information and the accrual anomaly literature content. Based on the existing literature review and summary, and review of literatures, find out the existing literature can be used for reference of the achievements and shortcomings in order to help determine the focus of this study the main contents and directions for future research. The third chapter is the analysis of the efficiency value of accounting information and capital market fair pricing theory. This chapter analyzes the fair value The characteristics of information and the transmission mechanism of fair value accounting information to the market pricing efficiency are discussed. The content of this chapter plus the foregoing literature review part lays a theoretical foundation for theoretical analysis and empirical content of the three chapters.
The fourth to the seven chapter is the second part. The fourth chapter is the research on the value relevance of fair value accounting information. Through theoretical analysis and empirical research archives, from the point of view of value relevance of fair value accounting information to answer whether or not to play its due role of market pricing "and" how to "impact on the market price of the two degree a problem, focus on the different degree of fair value measurement of accounting information (including the book value per share, the fair value of the extent of O eliminated the fair value of the book value per share, the changes in the fair value of fair value of 0 earnings per share excluding fair value, fair value changes in excess earnings per share in correlation with capital etc.) market shares and market returns. The fifth chapter is the research on the relevance of fair value earnings volatility risk. The research mainly through empirical analysis and theory of file The historical cost of net profit, human construction, from the risk perspective, examines the historical cost of net profit, net profit and total comprehensive income for the three kinds of fair value earnings risk information and two kinds of incremental risk information (i.e. fluctuations in net profit for the incremental information, historical cost in the fluctuation of net profit of the total comprehensive income fluctuation increment the information on the net profit volatility correlation with capital market price) and the market return. This is essentially a study of the fair value of the risk information content. The sixth chapter is the research on fair value information and vision meter. Mainly through the theoretical analysis and empirical research archives, historical cost net profit, persistent net profit and total comprehensive income of three kinds of earnings and its components, and the use of three types of earnings information, whether accrued strategy investors can obtain excess returns significantly "should be based on The accrual anomaly ", so as to provide more empirical evidence to explain the accrual anomaly for the capital market. The seventh chapter is the research on information disclosure of fair value pricing efficiency under the fair value. Including the current situation of information disclosure, and puts forward the countermeasures and suggestions to construct the theoretical framework of fair value information, this part should be integrated with the empirical analysis conclusion in front of three chapter.
The eighth chapter is the conclusion of this thesis, including third parts. The main conclusions, shortcomings and prospects for future research. This is the last chapter of this paper, based on the conclusion of the paper, such as a comprehensive view, put forward the related policy suggestions for investors and institutions, and puts forward the limitations. Shortcomings and future research prospects.
Through the analysis of relevant theories, the test of empirical data and the study of information disclosure, the main conclusions of this paper are as follows:
First, the theoretical basis of the impact of fair value accounting information on pricing efficiency.
(1) questioned the reliability and the procyclical effects of fair value information is the key cause lower pricing efficiency. With the goal of accounting reports, accounting information characteristics analysis of the characteristics of the perspective of fair value pricing efficiency, we summed up the fair value associated with enhanced reliability by the question, has the characteristics of cyclical effect, artificial operation etc. the reliability of the question from the fair value of the second layer and the third layer of the measurement error and the management, and the cyclical effect indicates that fair value may be greater risks to the capital market, the two factors are the key cause of decrease of fair value information pricing efficiency. (2) has a different view of information transmission mechanism and the measurement perspective. The audience full disclosure of information on information, mainly based on the capital market accounting information disclosure of the information content of the value of the company For judgment and decision making, but they think the different measurement model and hybrid information, not necessarily reliable fair value gains and losses, so they may think that the historical cost measurement data are more reliable, tend to financial report based on the historical cost measurement analysis on capital market pricing. The measurement of accounting report viewer that is the measurement and reporting of all or part of the value of the enterprise, provide investors decision-making information, emphasizing the "economic profit" and the earnings reflect the intrinsic value of the enterprise accounting information disclosure, it tends to financial report in the fair value measurement based on capital pricing analysis.
Second, the fair value information has the value relevance.
(1) the value relevance of fair value information is easily affected by the financial crisis and the environment of capital market. Because of this in the selection of the data, using the data of the financial times after the financial crisis, the empirical results showed that the overall weak. We think the reason is: because of the financial crisis has caused great losses to the world under the influence of the capital market, China stock market investor confidence, the stock price depressed, so the stock market of China's capital market accounting information and capital market appeared deviation, the pricing error larger capital market. (2) there are different conclusions of financial and nonfinancial companies in non. The financial listed companies, the book value excluding fair value (NBVE) of the coefficient is larger than the predicted value of 1 indicates that the book value of shares and the rate of return depends more on the elimination of fair value, fair value The value of information content is relatively small. But in the financial listed companies, the NBVE coefficient is less than the predicted value of 1, the stock price and the rate of return is more fair value and book value is consistent with the characteristics of financial enterprises have more fair value of financial assets or liabilities of the itself.
Third, the volatility of the fair value surplus has a risk correlation.
(1) the correlation coefficient of the financial industry stock return volatility and earnings volatility risk is 38-52.5 times of the financial industry, the financial industry shows that the capital market investment risk to earnings volatility reaction is more sensitive than non financial industry. (2) there is a significant correlation between net profit volatility and information increment of information and capital the investment risk of the market and price, "the core net profit earnings index" is a measure of the capital market subject to investment risk. (3) the total comprehensive income fluctuation information and incremental information and capital market risk and price was significantly correlated with the relatively weak, "comprehensive income" is an important measure of capital account surplus the investment risk of the market. (4) earnings volatility, interest rate risk and stock return volatility and stock price correlation, are important risk factors.
Fourth, there is a difference in the capital market.
(1) the total comprehensive income compared with the total net profit, earnings and decrease persistent accruals components was. (2) with the increase of the fair value measurement of the degree of predictive power of earnings and its components on a year ahead of the original return decreased. (3) showed that the conclusions of the empirical study of arbitrage strategy accrued based on the capital market is still the accrual anomaly, mainly by buying the accrued profit with the lowest level of stock portfolio, selling accrued the highest degree of portfolio can get about 5% of excess returns, and that in the history of the net profit under the same calculated excess market returns (10% Sloan, 1996) and 7.4% (Li yepo, 2007) compared to decline in a certain range. This is mainly derived from the historical cost of net profit and net profit of two knots on earnings

【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F233;F832.51;F830.42

【参考文献】