会计盈余与股票市场回报非线性关系研究——与线性关系的对比及来自沪市的证据  

On the Nonlinear Relation between Earnings and Stock Returns in China——A Comparative Analysis with Linear Relation of Earnings-Returns & Evidence from Shanghai Exchange

作　　者：程小可[1] 李玲玲[1] 

机构地区：[1]中国人民大学商学院,北京100872

出　　处：《中国软科学》2004年第2期37-43,共7页China Soft Science

摘　　要：本研究从分析线性盈余-回报模型的假定开始,指出了线性模型的固有缺陷。因此,我们提出了盈余与股票回报之间的非线性关系,相对于线性模型而言,非线性模型能够更好地解释未预期盈余与未预期回报间的关系。根据盈余-回报之间关系的特点,我们使用了反正切函数作为研究非线性盈余-回报关系的基础。实证检验结果表明:非线性模型显著地比线性模型具有更好的拟合优度;通过从盈余中剔除暂时性项目,我们观察到非线性模型的拟合优度显著降低,这说明持续性较差的暂时性项目可能是产生非线性盈余-回报关系的原因之一。This study begins with the analysis of the assumptions of the Linear Earnings-Returns Model, and points out the inherent disadvantages of the linear model. So we assume that the relation of unexpected earnings and unexpected stock returns is nonlinear. Nonlinear Earnings-Returns Model can provide significantly higher explanatory power than linear model. According to the natures of unexpected earnings and unexpected stock returns, we employ inverse tangent (arctan function) as the basic model of our empirical study. The related tests show that nonlinear model has more significant goodness-of-fit than linear model. After excluding the transient items from earnings, the goodness-of-fit of nonlinear model drops a lot. This proves that the transient items may be one of the reasons that cause the nonlinear relation of Earnings-Returns.

关 键 词：上海 股票市场 股票回报 会计盈余 非线性关系 

分 类 号：F832.51[经济管理—金融学]