会计盈余及其组成部分的价值相关性——来自沪、深股市的经验证据  

THE VALUE RELEVANCE OF EARNINGS AND THEIR COMPONENTS -EMPIRICAL EVIDENCE FROM THE SHANGHAI AND SHENZHEN STOCK EXCHANGES

作　　者：张国清[1] 夏立军[2] 方轶强[3] 

机构地区：[1]厦门大学管理学院,361005 [2]上海财经大学会计与财务研究院, [3]中国人民银行上海总部

出　　处：《中国会计与财务研究》2006年第3期74-120,共47页China Accounting and Finance Review

基　　金：本文作者感谢《中国会计与财务研究》杂志两位匿名审稿人以及执行编辑俞伟峰教授提出的修改意见,并感谢厦门大学管理学院“财务与会计学术论坛”上孙谦教授、曲晓辉教授、陈汉文教授的评论和宝贵建议.同时感谢普通高等学校人文社会科学重点研究基地厦门大学会计发展研究中心、上海财经大学会计与财务研究院的资助.当然,文中的错误与不足由作者负责.

摘　　要：本文以中国证券市场上2000至2003年期间的上市公司为对象，考察了公司会计盈余及其组成部分的价值相关性。我们首先考察净利润与公司股票累计异常收益率之间的关联性。在此基础上，将净利润分解为经营活动现金流量、操纵性应计利润和非操纵性应计利润三个部分，考察其与公司股票累计异常收益率之间的关联性。研究发现，经营活动现金流量与净利润互相具有信息增量，操纵性应计和非操纵性应计被证券市场定价了，在经营活动现金流量之外具有增量信息，改进了净利润解释股票回报的能力。进一步的证据表明，会计盈余的操纵性部分传递了与企业价值有关的信息，有利于预测企业未来的盈利能力，使得会计盈余更能够反映企业的经济基本面，提高了会计盈余的持续性和价值相关性。Using firms listed on the Chinese securities market from 2000 to 2003 as our sample, this study investigates the value relevance of earnings and their components. We first explore the association between net income and cumulated abnormal return. By decomposing the net income into cash flows from operations, discretionary and non-discretionary accruals, we examine the association between the various components of net income and cumulated abnormal return. We find that the net income and cash flows from operations have incremental information content over each other and that both discretionary and nondiscretionary accruals are priced by the market. They also have incremental information content beyond cash flows from operations, and improve the ability of net income to explain returns. Further evidence shows that the discretionary part of earnings communicates useful information about firm value, helps forecast the future profitability of the firm, improves the ability of earnings to mirror the fundamental economic value of the firm, and enhances the persistence and predictability of earnings.

关 键 词：价值相关性 会计盈余 经营活动现金流量 操纵性应计 非操纵性应计 

分 类 号：F279.246[经济管理—企业管理]