综合收益提高了会计盈余的信息含量吗?——来自A股上市公司的经验证据  

Do Comprehensive Earning Improve Information Content of Accounting Earning? An Empirical Evidence from the A-Share Market of China

作　　者：吴祖光[1,2] 万迪昉[2] 罗进辉[3] 

机构地区：[1]西安理工大学经济与管理学院,陕西西安710048 [2]西安交通大学管理学院,陕西西安710049 [3]厦门大学管理学院,福建厦门361005

出　　处：《中南财经政法大学学报》2012年第4期79-86,144,共8页Journal of Zhongnan University of Economics and Law

基　　金：国家自然科学基金项目"基于控制权动态配置的投融资双方激励相容机制设计:可转债融资契约视角"(70972101);国家自然科学基金项目"基于金融契约及机制设计的中国金融衍生品交易市场自律监管的研究"(71173166)

摘　　要：文章以A股上市公司为样本,基于行为金融理论,应用Vuong检验研究利润表中列报综合收益是否提高了会计盈余的信息含量。实证结果显示:股票收益和价格更多地包含净利润信息,综合收益并未有效提高会计盈余的信息含量。进一步研究发现:(1)在大规模以及中、高账面市值比的公司中,股票价格所含净利润和综合收益的信息并不存在显著差异;(2)在小规模公司中,随着账面市值比增大,综合收益与股票收益之间的关系由显著正相关转变为显著负相关,账面市值比发挥调节作用。因此,政策制定者需要进行分类监管,重点降低小规模公司信息的不对称程度;而投资者投资于预期净利润比较高且账面市值比较低的小规模公司能够获得较高投资收益。Using data of A-share companies,based on the behavioral finance theory,this paper investigates the information content of net profit(NP) and comprehensive earning(CE) using Vuong test.The empirical results suggest that NP has significant explanatory power to the contemporaneous stock return but the CE has not;Both NP and CE have significant explanatory power to the contemporaneous stock Price.The Vuong test shows that the NP has more information content than CE significantly.Further research shows that NP has significant better explanatory power among the small size or low book-to-market ratio companies than CE but this difference doesn't appear among the big size or high book-to-market ratio companies,and book-to-market ratio moderate the relationship between CE and the contemporaneous stock return among the small size companies but it doesn't change the relationship among the big size companies.The policymaker should utilize the non-neutral effect of accounting information on different characteristic company to supervise with classification.The investor should invest the small size and low book-to-market ratio companies with high NP or CE.

关 键 词：净利润 综合收益 信息含量 信息不对称 行为金融 保守性偏差 代表性偏差 

分 类 号：F231.5[经济管理—会计学]