中国上市公司业绩预告信息含量研究

发布时间：2018-03-18 15:10

本文选题：业绩预告　切入点：信息含量　出处：《上海外国语大学》2017年硕士论文　论文类型：学位论文

【摘要】：业绩预告制度的制定、完善和发展可以使投资者及时判断证券的投资价值,降低信息不对称程度。因此从理论上讲,这样的制度设计有利于提高证券市场的信息透明度,改善信息不对称程度。那么在现实中,我国上市公司业绩预告的信息含量如何?是否真的可以为投资者带来新的信息,从而改善信息不对称的情况?对于这个问题,国内外研究者进行了很多研究,不仅在数量上可观,而且在研究内容上也趋于从多角度进行研究,得出了许多有价值的结论。2013年中共十八届三中全会提出的“推进股票发行注册制改革”,这对股票市场来说意义深远。2015年后,注册制改革在全面深化改革的战略指导下渐渐开始实行,这对业绩预告制度的完善提出了新的要求。本文旨在在我国业绩预告制度背景下研究我国上市公司业绩预告的信息含量问题。根据研究需要,本文收集了2013-2014年沪深两市A股上市公司的业绩预告相关信息,利用事件研究法,对样本公司在业绩预告发布前后10个交易日内的累计超额收益率(CAR)进行了实证分析,从整体上分析了我国上市公司业绩预告的信息含量。在事件研究法的基础上,以业绩报告性质和预告类型为自变量,累计超额收益率(CAR)为因变量,建立回归模型,对业绩预告包含的信息进行了进一步分析。通过实证研究,本文得出以下结论:第一,从整体上看,我国上市公司业绩预告具有良好的信息含量,能够引起市场反应。其中,好消息类业绩预告呈现影响持续时间长,波动幅度小的特点;坏消息类业绩预告呈现影响持续时间短,但是市场反应强烈的特点。第二,从业绩预告包含的信息看,业绩变动幅度具有较好的信息含量,尤其是以数值形式披露的业绩变动幅度,能够引起市场的显著反应。基于众多文献的基础上,本文的创新点如下:第一,多数对业绩预告信息含量的研究止步于事件研究法结合T检验,本文在这个方法的基础上,根据相关文献提出了回归模型,运用回归分析的方法进一步来说明业绩预告的信息含量问题。第二,本文在建立回归模型时,本文选择业绩预告中最重要的披露内容,即业绩变动幅度作为控制变量,研究业绩变动幅度对市场产生的影响。除此之外,还引入了净资产收益率、资产负债率、现金总资产比和公司规模等作为其余的控制变量,利用回归模型研究不同报告性质和预告类型的业绩预告的信息含量。
[Abstract]:The establishment, perfection and development of the performance forecasting system can enable investors to judge the investment value of securities in a timely manner and reduce the degree of information asymmetry. Therefore, theoretically speaking, such a system design is conducive to improving the transparency of information in the securities market. Improve the degree of information asymmetry. In reality, what is the information content of the performance forecast of listed companies in China? Is it really possible to bring new information to investors, thereby improving information asymmetries? For this problem, researchers at home and abroad have carried out a lot of research, not only in terms of quantity, but also in the content of the research, which tends to be studied from various angles. Many valuable conclusions have been drawn. The third Plenary session of the 18 CPC Central Committee in 2013 proposed "advancing the reform of the registration system of stock issuance", which has far-reaching implications for the stock market. After 2015, The reform of the registration system has gradually begun to be implemented under the guidance of the strategy of comprehensively deepening the reform. The purpose of this paper is to study the information content of the performance forecast of listed companies in China under the background of the performance forecast system. This paper collects the relevant information about the performance forecast of A-share listed companies in Shanghai and Shenzhen stock markets in 2013-2014, and makes an empirical analysis on the cumulative excess return rate (CARR) of the sample companies within 10 trading days before and after the announcement of the forecast by using the method of event study. This paper analyzes the information content of the performance forecast of listed companies in China. Based on the method of event research, the regression model is established with the nature and type of performance report as independent variables and the cumulative excess return rate as dependent variable. Through the empirical research, this paper draws the following conclusions: first, on the whole, the performance forecast of listed companies in China has a good information content, which can cause market reaction. Good news performance forecast shows the characteristics of long duration and small volatility; bad news performance forecast shows the characteristics of short duration, but strong market reaction. Second, from the information contained in the performance forecast, the bad news class shows the characteristics of short duration, but strong market reaction. Second, from the perspective of the information contained in the performance forecast, The range of performance change has good information content, especially the range of performance change in the form of numerical disclosure, which can cause significant market reaction. Based on many literatures, the innovations of this paper are as follows: first, Most of the research on the information content of performance forecast stops at the combination of event research and T test. Based on this method, a regression model is put forward according to the relevant literature. The method of regression analysis is used to further explain the information content of the performance forecast. Secondly, this paper chooses the most important disclosure content in the performance forecast, that is, the range of the performance change as the control variable, when establishing the regression model. In addition, we introduce the return on net assets, the ratio of assets to liabilities, the ratio of total cash to assets and the size of the company as the remaining control variables. A regression model is used to study the information content of performance forecast with different reporting properties and types.
【学位授予单位】：上海外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F275

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