盈余持续性及其对股价影响的实证研究

发布时间：2018-08-29 09:36

【摘要】：在现实生活中,企业生产经营是否可持续关键在于盈利能力是否可持续,而决定盈利能力可持续的一个最重要指标就是会计盈余的持续性。本文研究的一个内容就是关于不同盈余组成部分对盈余持续性的影响,而后又研究了盈余持续性对股价的影响。在对这些问题研究之前,先对研究的背景进行了简单的介绍,并引出了本文的研究问题及研究目的,还介绍了新的研究思路以及规范性与实证性相结合的研究方法。其次本文对国内外关于盈余持续性的研究进行了评述。之后本文在新会计准则下,选取了2007-2011年深沪上市公司的数据,关于盈余持续性及其对股价的影响进行了实证研究。本文首先使用一元线性自回归的时间序列模型研究不同盈余部分各自的持续性,再将净收益进行了分解,并讨论分解盈余是否对下一年度的净利润预测能力具有解释作用。通过研究发现：营业利润在盈余组成部分当中具有最好的持续性；而将净利润拆分为不同盈余项目后,发现分解信息对下一年度净收益的解释能力反而有稍微的下降。这说明在对下一年度净利润的预测中净利润的解释能力是最强的,并且还发现非营业利润几乎没有解释能力。在此基础上,本文又研究了盈余持续性对股价的影响,通过研究发现股价与盈余持续性之间存在着显著的正相关关系,而后将营业利润拆分为应计利润和现金盈余,发现现金盈余与股价的相关性要强于应计利润与股价的相关性,并且将营业利润分解之后能够为投资者提供信息增量。
[Abstract]:In real life, the key to the sustainability of enterprise production and operation is the sustainability of profitability, and the sustainability of accounting earnings is one of the most important indicators to determine the sustainability of profitability. One of the contents of this paper is about the influence of different earnings components on earnings persistence, and then the effect of earnings persistence on stock price. Before studying these problems, the background of the research is introduced briefly, and the research problems and purposes of this paper are introduced, and the new research ideas and the research methods combining normative and empirical are also introduced. Secondly, this paper reviews the research on earnings persistence at home and abroad. Then, under the new accounting standards, this paper selects the data of Shenzhen and Shanghai listed companies from 2007 to 2011, and makes an empirical study on earnings persistence and its influence on stock price. In this paper, we first use the time series model of linear autoregressive to study the persistence of different surplus parts, then decompose the net income, and discuss whether the decomposed earnings can explain the forecast ability of the next year's net profit. It is found that the operating profit has the best persistence in the earnings component, and the ability of explaining the decomposition information to the next year's net income is slightly decreased after the net profit is divided into different surplus items. This shows that net profit is the strongest in the forecast for next year's net profit and finds that non-operating profit has little explanatory power. On this basis, this paper also studies the effect of earnings persistence on stock price. It is found that there is a significant positive correlation between stock price and earnings persistence, and then operating profit is divided into accrual profit and cash surplus. It is found that the correlation between cash surplus and stock price is stronger than that between accrual profit and stock price, and the decomposition of operating profit can provide information increment for investors.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51

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