盈余质量与交易成本  

Earnings Quality and Trading Cost

作　　者：魏明海[1,2] 岳勇坚[1,2] 雷倩华[1,2] 

机构地区：[1]中山大学管理学院,510275 [2]华南理工大学工商管理学院,510641

出　　处：《会计研究》2013年第3期36-42,95,共7页Accounting Research

基　　金：国家自然科学基金项目(71272202);广东人文社科基地重大项目(10JDXM63001)的阶段性成果

摘　　要：交易成本对证券市场效率和经济资源配置有着重大的影响。现有文献主要从融资成本、股票定价、市场风险、法律诉讼、契约安排和公司治理等方面探讨了盈余质量的经济后果,较少讨论盈余质量对交易成本的直接影响。基于信息不对称理论和内生性信息获取理论,本文深入分析了我国指令驱动型交易系统下盈余质量与交易成本之间的关系。研究表明:应计质量和盈余持续性的提高可显著降低交易成本,盈余越平滑或越波动都将导致交易成本的增加。经济意义显著性分析表明,相对于其他盈余质量指标,盈余持续性对交易成本的影响程度最大。本文的研究结论进一步支持了改善我国上市公司盈余质量的重要性,从而为强化市场监管、投资决策和公司治理提供了新的证据。Trading cost is important to market efficiency and resource allocation. For the consequences of earnings quality, most literatures focused on the cost of capital, pricing, market risk, litigation, contracting and corporate governance, few papers studied the relation between earnings quality and trading cost directly. Based on information asymmetry theory and endogenous information acquisition theory, this paper gives a deep analysis on the relation between earnings quality and trading cost in order-driven market of China. This paper finds that: improving accrual quality and earnings persistence may reduce trading cost, while extreme earnings smooth or extreme earnings volatility may increase trading cost. Economic significance analysis shows that earnings persistence influences trading cost most. This paper provides addition evidences on the importance of improving earnings quality in China.

关 键 词：盈余质量 信息不对称 交易成本 指令驱动市场 

分 类 号：F224[经济管理—国民经济] F275F832.51