货币政策、加总会计盈余与市场总回报  

Monetary Policy, Aggregate Earnings and Market Returns

作　　者：肖土盛[1,2] 郑登津 袁薇 XIAO Tu-sheng;ZHENG Deng-jin;YUAN Wei(School of Accountancy,Central University of Financo and Economics,Beijing 100081,China;China Manaaement Accounting Research and Devvlopment Center,Central University of Financo and Economics,Beijing 100081,China)

机构地区：[1]中央财经大学会计学院,北京100081 [2]中央财经大学中国管理会计研究与发展中心,北京100081

出　　处：《厦门大学学报（哲学社会科学版）》2021年第6期133-145,共13页Journal of Xiamen University(A Bimonthly for Studies in Arts & Social Sciences)

基　　金：国家自然科学基金项目“党组织嵌入与民营上市公司的治理决策:需求、渠道与后果”(71802206);教育部人文社会科学研究青年基金项目“党组织制度化嵌入民营上市公司的治理效应研究:理论分析和实证检验”(18YJC630262);北京高校高精尖学科“金融安全工程”2020年度应急项目“新冠疫情冲击下的中国金融安全研究”;北京市社会科学基金一般项目“京津冀一体化与企业高质量发展”(20JJB015);中央高校基本科研业务费专项资金;中央财经大学科研创新团队支持计划“资本市场参与者个体特质与行为研究:基于多学科融合视角”。

摘　　要：厘清加总会计盈余、市场总回报与货币政策之间的联动关系,有利于加深对货币政策影响股票市场机制传导的理解,这在危机事件期间尤为重要。基于我国上市公司季度数据,实证检验货币政策、加总盈余与市场总回报之间的关系。研究发现,加总盈余与市场总回报显著负相关,意味着上市公司加总盈余提升时股票市场总体反应为负,出现股票市场表现与实体经济的"背离"。进一步分析发现,加总盈余中包含的货币政策信息能够较好地解释这种"背离",且加总盈余中包含的货币政策信息越多,二者之间的负相关性越强。结论表明,加总会计盈余指标有助于理解股票市场的整体走向和更好地制定货币政策,进一步健全货币政策、防控金融风险。Clarifying the linkage between aggregate earnings,market returns and monetary policy is beneficial to deepening the understanding of the influence of monetary policy on the stock market,and it is especially important during crisis periods.Using the quarterly data of listed companies in China,this paper examines the relationship between monetary policy,aggregate earnings and market returns.The results show a significantly negative relation between aggregate earnings and market returns,indicating that the performance of the stock market deviates from the real economy.Further analysis shows that the monetary policy information contained in the aggregate earnings can explain this deviation,that is,the more monetary policy information contained in the aggregate earnings,the stronger the negative aggregate earnings-returns relation.Our conclusion shows that proxy of aggregate earnings is helpful to understanding the performance of the stock market and better formulating monetary policy,and that it has important policy implications.

关 键 词：加总会计盈余 股票市场总回报 货币政策 宏观经济预测 

分 类 号：F23[经济管理—会计学] F820.1[经济管理—国民经济]