会计信息质量、货币政策意外与公司股票收益率  

Accounting Quality,Monetary Policy Surprise and the Corporate Stock Return

作　　者：李青原[1] 蔡程 王红建 LI Qing-yuan;CAI Cheng;WANG Hong-jian(School of Economics and Management,Wuhan University,Wuhan 430072,China;School of Economics and Management,Nanchang University,Nanchang 330031,China)

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072 [2]南昌大学经济与管理学院,江西南昌330031

出　　处：《预测》2021年第2期68-75,共8页Forecasting

基　　金：国家自然科学基金资助项目(71672129)。

摘　　要：本文以央行累计发布的43次调整存款准备金率事件为研究背景,分析了2007~2018年我国A股上市公司的短窗口股票收益率对货币政策意外的反应。研究结果表明,货币政策意外对公司股票收益率具有显著的影响,且当公司会计信息质量较高时,公司股票价格对货币政策意外的反应程度更大。进一步分析发现:(1)机构投资者持股比例更高的组,高会计信息质量的公司股票收益率对货币政策意外的反应程度较大;(2)紧缩性货币政策下,高会计信息质量的公司股票收益率对货币政策意外的反应程度较大。Based on the 43-time adjustment events of deposit reserve ratio issued by the Central Bank,this paper analyzes the short window stock returns of China’s A-share listed companies from 2007 to 2018 in response to monetary policy surprises.The results show that the monetary policy surprise has a significant impact on corporate stock returns and when the company’s accounting quality is higher,the stock price react more to the monetary policy surprise.Further analysis shows that:(1)The group with higher proportion of institutional investors,the stock return of the company with better accounting quality has a greater response to monetary policy surprise;(2)Under tight monetary policy,the stock return of companies with high accounting quality will react more to monetary policy surprise.

关 键 词：货币政策 会计信息质量 股票收益率 股票市场有效性 

分 类 号：F275[经济管理—企业管理]