会计盈余、盈余质量对股票回报的影响——利用股票价格调整模型对股价进行修正  

Effect of Accounting Earnings and Earnings Quality on Stock Returns: Using the Stock Price Adjustment Model to Adjust Stock Price

作　　者：赵息[1] 熊耀鹏[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《重庆理工大学学报（自然科学）》2016年第5期112-118,共7页Journal of Chongqing University of Technology：Natural Science

基　　金：教育部人文社会科学研究基金资助项目(11YJA630208)

摘　　要：以2007—2012年沪深两市的A股上市公司为研究对象,利用Amihud和Mendelson具有白噪声过程的股票价格调整模型对股票价格进行修正,然后计算出股票的市场超额收益率,并利用Jones模型计算操纵性应计数字以衡量公司的盈余质量,从而研究会计盈余和盈余质量对股票回报的影响。结果发现:会计盈余水平越高,其股票回报就越高;公司盈余质量越高,其股票回报就越高;与盈利的公司相比,亏损公司中盈余质量对股票回报的正向影响更加显著。By sampling A-share firms listed in Shanghai and Shenzhen stock exchange from 2007 to 2012, the author used the Amihud and Mendelson stock price adjustment model to adjust stock price, and then figured out the stock market excess yield. And the author calculated the companies＇ maneuverability accrued figures to measure earnings quality on the basis of the Jones model. The author examined the influence of accounting earnings and earnings quality on stock returns. The results show that： The higher accounting earnings is, the more stock returns can be achieved. The better earnings quality is, the more stock returns can be achieved. Comparing with the profitable companies, the positive impact of earnings quality on stock returns is more significant for the lossy companies.

关 键 词：股票回报 会计盈余 盈余质量 股票价格调整模型 

分 类 号：O22[理学—运筹学与控制论] F275.2[理学—数学]