会计盈余的规模、账面/市值因素实证研究——来自中国上市公司的经验数据  

Size and Book-to-Market Factors in Earnings:Evidence from the Chinese Listed Companies

作　　者：蔡春[1] 谭洪涛[1] 唐国琼[1] 

机构地区：[1]西南财经大学会计学院

出　　处：《中国会计评论》2006年第1期85-104,共20页China Accounting Review

摘　　要：本文尝试将资本资产定价三因素模型的思想运用于研究会计盈余的影响因素,通过对1991—2003年我国的上市公司会计盈余的实证分析,发现在A股市场:规模和账面/市值因素显著地存在于上市公司会计盈余当中;账面/市值因素的作用要更显著于规模因素;低账面/市值的上市公司倾向于保持强盈利能力;在账面/市值组的内部,资本市场化规模大的股票比小的会计盈余更高;在同一市场资本化规模组内部,随着账面/市值比率的提高,账面/市值对会计盈余的影响,由反向变为正向,影响力也逐步增强。The research shows that in Chinese A-share stock markets; there are size and book-to-market factors in earnings. Moreover, the BE/ME factor plays a more important role than the size factor does in earnings. Firms with low BE/ME arc associated with high profit- ability; small stocks tend to be less profitable than big stocks. Our study also revealed that the influence of BE/ME factors in earnings will be increasingly stronger within the same size groups, with the value of BE/ME increasing from low to high, the effect on earnings also turns monotonically from negative to positive.

关 键 词：规模 账面/市值 三因素资本资产定价模型 会计盈余 

分 类 号：F275[经济管理—企业管理] F224[经济管理—国民经济]