其他综合收益列报的市场反应——基于盈余反应系数的视角  

Research on Market Reaction to Disclosure of Other Comprehensive Income Information in Annual Report:Based on Earnings Response Coefficient

作　　者：王清刚[1] 吴志秀 WANG Qinggang;WU Zhixiu(School of Accounting,Zhongnan University of Economics and Law,Wuhan 430073,China)

机构地区：[1]中南财经政法大学会计学院,湖北武汉430073

出　　处：《财经论丛》2021年第12期81-91,共11页Collected Essays on Finance and Economics

摘　　要：会计信息披露是资本市场高质量发展的基石。本文采用事件研究法,以沪深A股上市公司2012—2018年年报数据为样本,以盈余反应系数为工具,检验了其他综合收益列报的市场反应。研究发现:其他综合收益与盈余反应系数显著负相关,这可能与其他综合收益导致投资者对企业未来盈余及其持续性的保守估计和投资者认知能力不足有关。该负向关系在审计质量低、股东关联度高、高管持股比例高、机构投资者持股比例低的企业,及2014年其他综合收益列报制度变更后更为显著。本文进一步从其他综合收益与未预期盈余波动和盈余持续性的关系两方面进行了内在机理检验。Accounting information disclosure is the cornerstone of the high-quality development of the capital market.Using the event study method and based on the data of Chinese A-share listed companies from 2012 to 2018,this paper applies ERC as a research tool to test the market reaction of other comprehensive income information disclosure in annual reports.The results show that other comprehensive income has a significant negative correlation with ERC,which may be related to investors’conservative estimation of future earnings and its sustainability and investors’lack of cognitive ability caused by other comprehensive income.Further research finds that when the audit-quality is low,or the degree of shareholder correlation is high,or the proportion of executive ownership is high,or the shareholding ratio of institutional investors is low,the negative relationship between other comprehensive income and ERC is more significant.The negative relationship between the two is also more significant after the change of the criteria in 2014.The paper also conducts an internal mechanism test from the following two aspects:the relationship between other comprehensive income and unexpected earnings fluctuation,the relationship between other comprehensive income and earnings persistence.

关 键 词：其他综合收益 信息含量 市场反应 盈余反应系数 

分 类 号：F230[经济管理—会计学]