公允价值盈余波动的风险相关性实证研究  

作　　者：谭洪涛[1] 黄晓芝[1] 汪洁[1] 

机构地区：[1]西南财经大学会计学院

出　　处：《投资研究》2013年第11期60-77,共18页Review of Investment Studies

基　　金：教育部“新世纪人才支持计划”(NCET-12-0924);教育部人文哲学和社会科学资助项目(09YJC790220);四川省《哲学社会科学“十二五”规划基金》(SC12E011)项目;西南财经大学“中央高校基本科研业务费专项基金”(JBK120206);中央高校基本科研业务费专项资金(项目号:JBK1307157)的资助

摘　　要：本文研究了历史成本净利润、净利润和综合收益总额三类与公允价值相关的盈余波动的风险信息含量。发现金融业资本市场的投资风险对盈余波动的反应要比非金融业更为敏感;净利润波动的信息和增量信息与资本市场的投资风险和股价存在显著的相关关系,净利润是衡量资本市场投资风险的最核心的盈余指标;综合收益总额波动的信息和增量信息与资本市场的投资风险和股价具有较弱的显著相关性,综合收益总额是衡量资本市场投资风险的重要盈余指标。This paper studies the risk information content of three income volatilities based on the measure of historical cost, net income, and comprehensive income. We find that the reaction of investment risk in the financial industry to earnings volatility is more sensitive than that in nonfinancial industries. Furthermore, a significant correlation is documented between information including the incremental information of the net income volatility and investment risk including the stock price in the capital market.Net income is the core measure of earnings for investment risk in the capital market. Last but not least, there is a signif- icant but weaker correlation between the information including the incremental information of the comprehensive income vola- tility and investment risk including the stock price in the capital market. Our empirical evidence shows that the comprehensive income is an imoortant measure of earnings for investment r/~k in the eznitn! mnrk,~t

关 键 词：风险相关性 公允价值 盈余波动 利率风险 

分 类 号：F832.51[经济管理—金融学]