会计盈余的均值回复、年度审计效应和跨年效应  

Mean Reversion,Annual Audit Effect and Cross-year Effect of the Accounting Earnings

作　　者：蒋勇[1,2] 吴武清[3] 王国长[4] 刘幸[3] 

机构地区：[1]中国人民银行银行管理信息部,北京100032 [2]中国人民银行征信中心博士后科研工作站,北京100031 [3]中国人民大学商学院,北京100872 [4]暨南大学经济学院,广东广州510632

出　　处：《数理统计与管理》2016年第3期411-423,共13页Journal of Applied Statistics and Management

基　　金：中央高校基本科研业务费专项资金资助项目(11XNK027)

摘　　要：多种盈余管理动机的复合效应是产生盈余平滑。本文基于此认为稳定的盈余管理目标促使管理层选择盈余平滑策略,该论断可通过建立会计盈余的均值回复模型来验证。盈余管理策略也促发了对应计项的调整,该论断可通过建立一个简化的现金流盈余反应模型来验证。基于该简化模型可从盈余管理中分解出年度审计效应(实质来源于短期盈余管理行为)和跨年效应(实质来源于长期盈余管理行为)。实证部分对报告的会计盈余的均值回复性、盈余管理的年度审计效应和跨年效应进行了检验,检验结果表明公司管理层有比较稳定的盈余管理目标,并在非年报季度有较强的盈余管理行为,而年内盈余管理效应异于跨年盈余管理效应。实证结论符合理论预期。The combined effects which from multiple motivations of earnings management is to generate earnings smoothing. Based on the view the objectives of earnings Management induce management to select the earnings smoothing strategy which can be validated through the establishment of the mean reversion model of accounting earnings. The earnings management strategy also triggers the adjustment of Accruals which can be verified by a simplified cash flow of Earnings Response model. The earnings man- agement can be decomposed into annual audit effect （actually from the short-term earnings management behavior） and cross-year effect （actually from the long-term earnings management behavior） based on the simplified mode. The Empirical part tests mean reversion, annual audit effect and cross-year effect of the accounting Earnings, which the results show that the management have stable earnings management objectives and strong earnings management behavior of non-annual report quarter, and tile annual effect is different from cross-year effect. The empirical results are in accord with theoretical expectations.

关 键 词：盈余管理 均值回复 年度审计 跨年盈余管理 

分 类 号：F830[经济管理—金融学] O212[理学—概率论与数理统计]