会计估计变更市场反应的实证检验  

Empirical Test of Market Response toChanges in Accounting Estimate

作　　者：颜志元[1] 鲁桂华[2] 

机构地区：[1]厦门大学会计系,福建厦门361005 [2]中央财经大学,北京100081

出　　处：《证券市场导报》2006年第8期45-50,共6页Securities Market Herald

摘　　要：本文通过考察市场能否识别会计估计变更的实质来验证市场有效性。按照会计估计变更的性质,本文将会计估计变更进行三种不同分类,逐一比较每种分类中的不同类别的公司的累计非正常报酬率(CAR)。以特定窗口的CAR为被解释变量,以会计估计变更的方向、会计估计变更占净利润比例、样本公司是否属于“失当组”公司、年报公布好的或坏的消息等因素为解释变量,进行多元回归。实证结论支持“机械性”假说。This？paper tests market efficiency through examining its capability to identify the essence of change in accounting estimate. It？ divides changes in accounting estimate into three different？kinds？ according to their nature, and makes a comparison of their CAR. CAR in specific period is taken as dependent variable, and other factors as independent variable to carry on a multiple linear regression. Other factors are the direction of the change in accounting estimate, the proportion of the change to net profit, whether the sample company belongs to ＂improper group＂, good or bad news in annual report and so on. The conclusion of this project supports the ＂mechanicalness＂ hypothesis.

关 键 词：会计估计变更 市场有效性 机械性假说 

分 类 号：F830.39[经济管理—金融学]