财务变量的风险信息含量研究——基于中国A股制造业面板数据的实证分析  

Research on the Information Content of Financial Variables Related to Firm Riskiness： Based on the Empirical Analysis of Panel Data from Chinese A Share Manufacturing Industry

作　　者：吴良海[1,2] 谢志华[3] 杜海霞[2,4] 郭晓娟[2] 

机构地区：[1]安徽工业大学 [2]中央财经大学 [3]北京工商大学,100048 [4]北京财贸职业学院

出　　处：《中国会计评论》2012年第2期139-156,共18页China Accounting Review

基　　金：北京市属高等学校人才强教计划“高层次人才资助计划”项目“会计与投资者保护”(PHR20100512);“中央财经大学‘211’工程重点学科建设项目”资助

摘　　要：现行企业财务报告体系强调受托责任观与决策有用观两个目标并重，对会计信息的风险内涵揭示与会计的风险控制职能的发挥重视不够，这在很大程度上削弱了企业财务报告信息的决策相关性。本文试图从会计信息和系统风险相关性的视角发现能够反映并解释中国国情的风险度量指标，从而明确构建企业风险报告框架的财务变量。本文选取我国沪深A股制造业上市公司的数据为样本，基于Parks面板模型实证检验了财务变量的风险信息含量。结果表明，杠杆调整后的口系数要优于市场模型估计的口系数；现金流、流动比率、成长性、企业规模等财务变量具有显著的系统风险信息含量；相比之下，利息保障倍数与股利支付率两个财务变量还不能正确揭示公司系统风险的性质与变化；财务杠杆也具有显著的系统风险信息含量；财务杠杆与营业杠杆的异向变动加大了上市公司系统风险，相应降低了公司价值与股东财富。并据此提出了构建基于财务变量的风险报告框架等相关政策建议。本文基于平衡面板数据的检验发现了财务变量与系统风险之间存在显著相关性，这意味着财务变量具有显著的风险信息含量，从而丰富了既有会计信息与系统风险相关性研究文献。这一研究的实际意义在于，对于未上市或上市时间较短因而无法得到市场卢的企业投资者而言，通过企业财务呈报同样可以“捕获”有效投资决策所需的系统风险信息；而对于存在市场口的企业投资者，通过系统剖析影响市场口的财务变量，可以发现企业运营的主要问题与症结所在，从而指导其做出更为明智的投资选择。投资者不仅需要会计收益信息，更需要与决策相关的风险信息。系统风险是企业风险水平的综合指标，分析系统风险影响因子能够增强会计信息的决策有用性。鉴�Current enterprise financial reporting system emphasizes both perspective on accountability and perspective on decision-usefulness, but doesn＇t pay enough attention to the disclosure of the risk connotation regarding accounting information as well as the playing of risk-controlling function of accounting, then the relevance of financial reporting with decision- making is greatly weakened. The purpose of this paper is to find those financial-statement- based risk measures which could properly explain the situation of China and to obtain those fundamental financial variables which consist of enterprise risk reporting framework. This article selects the Shanghai A share listed companies in manufacturing industry data as samples, based on the Parks panel model empirically analysis the information content of financial variables related to firm riskiness. The result shows that the un-levered beta is better than the one estimated by the standard market model; cash flow, current ratio, growth, enterprise size and other financial variables have significant information content of systematic risk; in contrast, neither interest coverage multiple nor dividend payout ratio could correctly reveal the nature and change of systematic risk; financial leverage also has significant information content of systematic risk; The variance in different direction for financial lever and the operating lever increases the systematic risk of listed companies, accordingly reducing their value and the wealth of shareholder. And then this paper put forward some related policy recommendations,among which include constructing a firm-risk-reporting framework based on the above financial-statement-based risk measures. Based on panel data, this paper illustrates that the previously mentioned financial variables are significantly correlated with firm systematic risk, which means the financial variables have significant ,information content related to riskiness, thus enriching the study literature concerning the research of the correlation between

关 键 词：财务变量 系统风险 风险信息含量 Parks面板模型 

分 类 号：F406.72[经济管理—产业经济] F832.51F224