盈余质量、分析师与股票价格暴跌风险  

Surplus Quality,Analysts and the Risk of Stock Price Crash

作　　者：牛冬梅[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《当代经济科学》2014年第4期94-100,127-128,共7页Modern Economic Science

摘　　要：股价暴跌(Price Crash)是指在无任何信息前兆的情况下,市场指数或者个股价格在短期内突然大幅度下降的现象。本文以中国资本市场上2003-2012年的上市公司为研究样本,探讨了盈余质量、分析师对股票价格暴跌风险的影响。实证结果表明,较高的盈余质量能够降低股价发生暴跌的可能性。本文以分析师作为信息环境的代理变量,研究发现,盈余质量与信息环境之间具有互补作用,在信息环境较差的情况下,盈余质量和股价暴跌风险之间的负向相关性更强。Stock Price Crash refers to phenomenon that the market index or the price of a kind of stock ab-ruptly falls significantly in the short term without any information precursors. This paper studies the effect of surplus quality and analysts on the risk of stock price crash based on the research sample of Chinese listed companies from 2003 to 2012. The empirical results show that relatively high surplus quality can decrease the possibility of stock price crash. This paper takes analysts as the proxy variable for information environment and finds surplus quality and information environment are mutually complemented. In a relatively poor information environment,a more significant negative correlation exists between surplus quality and stock price crash risk.

关 键 词：盈余质量 分析师 股票价格暴跌 市场摩擦 

分 类 号：F832.51[经济管理—金融学] F275