加总盈余传递贴现率信号吗  

Do Aggregate Earnings Convey Discount Rate Signals

作　　者：杨馥菁 孙坚强[1] 吴灏[2] Yang Fujing;Sun Jianqiang;Wu Hao

机构地区：[1]华南理工大学经济与金融学院 [2]华南理工大学跨境金融创新研究中心

出　　处：《金融经济学研究》2025年第2期75-88,共14页Financial Economics Research

基　　金：国家社会科学基金重大项目(19ZDA093);国家社会科学基金重大项目(23VRC056)。

摘　　要：识别加总盈余的贴现率信息内涵对投资者和宏观调控把握市场预期具有重要意义。构建包含贴现率信号变量的拓展ERC模型,直接检验中国上市公司加总盈余的贴现率信息内涵。研究结果显示,市场收益对加总盈余作出响应,基本盈余反应系数为0.118,表明加总盈余具有有价值的信息内涵,同时表明加总盈余的贴现率信息成分可能被现金流信息成分掩盖。进一步研究发现,拓展模型的加总盈余反应系数明显提高为0.190,且三个贴现率变量的系数均显著为负,表明贴现率信息成分被识别和分离,直接证实加总盈余传递了贴现率信号。结果对不同的变量测度和检验样本均是稳健的。本研究拓展了有关公司盈余宏观信息价值的研究文献,对宏观当局和市场主体判断贴现率预期有一定的启示。Identifying the informational content of discount rates in aggregate earnings is crucial for investors and macroeconomic regulators to grasp market expectations.In this study,an extended earnings response coefficient(ERC)model was constructed that incorporated discount rate signal variables to directly test the informational content of discount rates in the aggregate earnings of Chinese listed companies.The results indicated that market returns responded to aggregate earnings,with a basic ERC of 0.118,suggesting that aggregate earnings carry valuable information.The findings also imply that the discount rate information component in aggregate earnings may be obscured by the cash flow component.Further examination using the extended model showed a significant increase in the ERC of aggregate earnings to 0.190.Additionally,the ERCs of all three discount rate variables were significantly negative,indicating that the discount rate information component was identified and isolated,directly validating that aggregate earnings conveyed discount rate signals.The findings were robust across different variable measures,samples,and empirical methods.This study extends the literature on the macroeconomic information value of corporate earnings and provides policy insights for macro authorities and market participants in anticipating discount rates.

关 键 词：盈余反应 公司盈余 贴现率 盈余信息内涵 

分 类 号：F832.5[经济管理—金融学] F275