本文關(guān)鍵詞： OTC市場 CAR 盈余信息 信息含量 未預(yù)期盈余 RIPS　出處：《東北財經(jīng)大學(xué)》2012年博士論文　論文類型：學(xué)位論文

【摘要】：我國資本市場經(jīng)過多年的努力與發(fā)展,現(xiàn)已形成了主板、中小企業(yè)板、創(chuàng)業(yè)板和OTC市場等不同定位的市場。OTC市場,又稱場外市場,為我國處于成長期的企業(yè)和中小企業(yè)籌集大量初始資本,其主體是各地以高新園區(qū)形式創(chuàng)立的高新技術(shù)企業(yè)。深證證券交易所代辦股份轉(zhuǎn)讓系統(tǒng)中新三板企業(yè)正是OTC主體市場的典型代表。現(xiàn)在,OTC市場的主體已初具雛形。 通過調(diào)研和統(tǒng)計發(fā)現(xiàn)的我國OTC市場研究特征和規(guī)律如下：其一,目前OTC市場的研究范圍僅能傾向于新三板。雖然我國的OTC市場范圍比較廣泛,包含深交所代辦股份轉(zhuǎn)讓系統(tǒng)內(nèi)的新三板企業(yè)、老三板企業(yè)、B股退市轉(zhuǎn)入企業(yè),還包含天津?yàn)I海新區(qū)、武漢高科技園區(qū)等84個國家級高新科技園區(qū)中的非上市公司。然而,老三板和B股退市轉(zhuǎn)入的企業(yè)均為退市公司,財務(wù)狀況差；各地獨(dú)自創(chuàng)立的OTC市場大都沒有公開數(shù)據(jù),或數(shù)據(jù)難以取得。其二,根據(jù)樣本周平均非正常報酬率AAR的統(tǒng)計和分布情況,發(fā)現(xiàn)OTC市場的CAR窗口期為報表日前后的[-2,+2]周。 OTC市場中的廣義盈余信息數(shù)據(jù)集,包含直接盈余信息和間接盈余信息：其一,直接盈余信息,是指投資者或報表使用者通過企業(yè)財務(wù)報告能夠直接查詢或簡單加和后可以直接獲取的盈余信息。其二,間接盈余信息,是指投資者或報表使用者通過對直接盈余信息的復(fù)雜加工和計算,能夠得出的新的盈余信息。 OTC市場廣義未預(yù)期盈余表現(xiàn)為直接盈余信息、間接盈余信息引起的超出投資者預(yù)期的盈余增量,在數(shù)值上等于廣義盈余披露數(shù)值與相應(yīng)正常預(yù)期盈余的差值。正常預(yù)期盈余,可以采取分析師預(yù)測、上期盈余Et-1、同行業(yè)平均利潤等。然而在OTC市場中存在一種特殊狀態(tài),即正常預(yù)期盈余E為0時的特殊數(shù)值。當(dāng)正常預(yù)期盈余E為0值時,未預(yù)期盈余UE在數(shù)值上等于靜態(tài)盈余的數(shù)值。由于OTC市場剛剛形成不久,暫時還沒有分析師預(yù)測、行業(yè)報告以及可靠數(shù)據(jù)的獲取。因此,只有使用動態(tài)盈余△EPS、△RIPS和特殊市場狀態(tài)的靜態(tài)盈余EPS、RIPS,用于信息含量檢測。 本文設(shè)計了分組別比對方案,通過描述性統(tǒng)計、模型回歸、敏感性測試等方法,檢驗(yàn)了OTC市場中廣義盈余信息的信息含量,得到的主要結(jié)論有以下幾點(diǎn)：第一,通過對直接盈余信息的信息含量檢驗(yàn)顯示,直接盈余信息△EPS、EPS的披露具備信息含量,能夠?qū)ν顿Y者獲取超額收益帶來有益幫助。第二,在對靜態(tài)剩余收益RIPS的信息含量檢驗(yàn)中,發(fā)現(xiàn)混合樣本及2010年的RIPS均具有信息含量,能為投資者提供有益的投資參考。第三,通過直接盈余內(nèi)部,直接盈余與間接盈余的比對發(fā)現(xiàn),△EPS. RIPS和EPS在分組差異化的表現(xiàn)上各有千秋。多元回歸模型及其穩(wěn)定性檢驗(yàn)發(fā)現(xiàn),GB(EPS)、GB(△EPS)、GB(RIPS)同投資者累計超額收益評價正相關(guān)。因此,廣義盈余信息中EPS、△EPS、RIPS三類盈余信息具備信息含量,可以幫助投資者進(jìn)行投資決策。 在具體的廣義盈余信息使用策略中,筆者認(rèn)為：其一,靜態(tài)盈余的方式顯然簡單明了,近期適用于個人投資者。其二,使用動態(tài)盈余△EPS信息需要具備一定條件,主要是投資者對所投資的企業(yè)有初步了解,且市場和行業(yè)狀態(tài)穩(wěn)定。其三,剩余收益作為未預(yù)期盈余也是有限制條件的,即：投資者知識結(jié)構(gòu)和數(shù)量有一定基礎(chǔ),具備風(fēng)險意識�？傊�,在使用廣義盈余信息進(jìn)行投資決策中,建議機(jī)構(gòu)投資者使用考慮了資本成本和經(jīng)濟(jì)利潤因素的RIPS指標(biāo),并結(jié)合盈余EPS、△EPS互相印證,作為穩(wěn)定性檢測,這樣更有助于信息含量的準(zhǔn)確判斷。同時,建議個人投資者依據(jù)自身知識結(jié)構(gòu)和計算難度,使用EPS或△EPS。遠(yuǎn)期來看,分析師預(yù)測可能是未來的發(fā)展方向。 本文的創(chuàng)新之處在于：第一,首次發(fā)現(xiàn)我國OTC市場中,靜態(tài)盈余成為未預(yù)期盈余UE的一種表現(xiàn)形式。實(shí)證研究發(fā)現(xiàn),靜態(tài)盈余中每股收益EPS、每股剩余收益RIPS和動態(tài)盈余△EPS均具備信息含量,適宜作為未預(yù)期盈余UE；且靜態(tài)盈余的信息含量略微優(yōu)于動態(tài)盈余的信息含量。第二,首次提出OTC市場廣義盈余的涵蓋范圍和投資策略。第三,提出OTC市場數(shù)據(jù)篩選、使用和處理方法。由于OTC市場的特殊性,數(shù)據(jù)手工收集和整理的比例大、工作量大、變量計算難度大,因此只有通過系統(tǒng)性的解決方案才能實(shí)現(xiàn)。另外,OTC市場交易數(shù)據(jù)頻度低,數(shù)據(jù)庫缺乏；因此,投資者處理數(shù)據(jù)的方式和方法都有特定性。第四,首次利用我國OTC市場財務(wù)報表及股價變動的公開數(shù)據(jù),對該類特定市場的基本特征進(jìn)行判斷,取得實(shí)證經(jīng)驗(yàn)結(jié)論。第五,對OTC市場收益率Rmt、每股剩余收益RIPS、股票非正常報酬率AR和累計超額收益率CAR的計算等重要方面提出合理的創(chuàng)新計量方式和方法。
[Abstract]:The capital market of our country after years of efforts and development, has formed the motherboard, the SME board, the gem and the OTC market in different market positioning.OTC market, also known as the OTC market, China is in the growth stage of the enterprise and small and medium-sized enterprises to raise a large amount of initial capital, of which the main body is a high-tech enterprise with high-tech around park founded. Three new board business Shenzhen Stock Exchange stock transfer agent system is a typical representative of the main OTC market. Now, the main OTC market has begun to take shape.
Following through the investigation and statistics found that China's OTC Market Research Characteristics and laws: firstly, the research scope of OTC market can only tend to the new board. Although China's OTC market in a wide range, including Shenzhen Stock Exchange in the new three board business, youngest board business, B shares delisting into the enterprise. Also includes the Tianjin Binhai New Area, Wuhan high tech Park 84 national high-tech park in the non-listed company. However, the youngest board delisting and B-share Companies are transferred to the delisting of the company, the financial situation is poor; all alone founded the OTC market are not publicly available data, or it is difficult to obtain data. Secondly, according to the sample average non statistics the distribution and the normal rate of return of AAR, found the OTC market CAR window for the report before the date of [-2 after +2] weeks.
Generalized earnings information in the OTC market data sets, including direct and indirect earnings earnings information: first, direct earnings information, refers to investors or users of financial statements by the enterprise financial report can directly query or simple and you can directly get the earnings information. The two, indirect earnings information refers to investors or users of financial statements through the complex processing and calculation of direct earnings information, new earnings information can be obtained.
Generalized OTC market unexpected earnings is the direct cause of earnings information, indirect earnings information beyond earnings incremental investors expected earnings disclosure, generalized difference compared with the corresponding normal earnings equal in value. The normal expected earnings, analysts predict the earnings can be taken, Et-1, with the industry average profit. However, there is a kind of special in the OTC market, which is normally expected surplus of E for special numerical 0. When the normal expected surplus value for the 0 E, not expected surplus of UE is equal in value to the static surplus. Because the OTC market has just formed soon, yet no analyst forecasts, industry reports and obtain reliable data. Therefore, only the use of dynamic surplus Delta EPS, Delta RIPS and the special market state of static surplus EPS, RIPS for information content detection.
This paper designed the grouping comparison method, through descriptive statistics, regression model, sensitivity test method, test the information content of generalized earnings information in the OTC market, the main conclusions are as follows: first, by checking the information content of earnings information directly proved that the direct earnings information disclosure of delta EPS, EPS have information content, can obtain excess returns to investors bring beneficial help. In second, test the information content of the static residual income RIPS, found mixed sample and 2010 RIPS has information content, can provide useful references for investors. Third, earnings ratio found by direct, direct and indirect surplus earnings EPS. RIPS, and EPS in packet differentiated performance. Each one has its own merits multivariate regression model and stability test showed that the GB (EPS), GB (EPS), GB (RIPS) with investors tired Positive correlation assessment of excess returns. Therefore, the generalized earnings information in EPS, EPS, three RIPS has the information content of earnings information, can help investors make investment decisions.
In general use earnings information of specific strategies, the author thinks that: firstly, the static surplus obviously is simple, suitable for short-term individual investors. Secondly, certain conditions need to use dynamic earnings Delta EPS information, the main reason is that investors have a preliminary understanding of the investment of enterprise, market and industry status and stability. Third, residual income as unexpected earnings also have limitations, namely: the knowledge structure and the number of investors have a certain foundation, have a sense of risk. In short, in the investment decision of using generalized earnings information, advises institutional investors consider RIPS index of capital cost and economic profit factors, combined with the surplus of EPS, Delta EPS each other as the stability of detection, accurate judgment, it is helpful to the information content. At the same time, individual investors based on their own knowledge structure and the difficulty of calculation, using EPS or A EPS. long term, analysts may be the future direction of development.
The innovation of this paper lies in: first, first found in China OTC market, is expected to become a non static earnings form of surplus UE. The empirical study shows that the static surplus earnings per share EPS, share the residual income of RIPS and delta EPS have the dynamic earnings information content, and appropriate for the unexpected earnings information content of UE; the information content of earnings slightly better than the dynamic and static earnings. Second, first proposed the scope of generalized OTC market earnings and investment strategy. Third, the selection of OTC market data, use and processing method. Due to the particularity of the OTC market, manual data collection and collation of the proportion of large workload, variable calculation difficulty. Therefore, the only way to systemic solutions. In addition, OTC market transaction data of low frequency, therefore, investors lack of database; data processing methods are specific. Four, for the first time use public data of financial statements and stock price changes in China's OTC market, the basic characteristics of the specific market to judge, to obtain empirical conclusions. Fifth, the OTC market yields Rmt, RIPS per share of residual income, stock put forward innovative measurement methods and reasonable method and calculate the cumulative normal rate of return of AR excess returns of CAR and other important aspects.

【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F275;F832.51

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