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  本文選題：賬市比信息效應(yīng)　切入點(diǎn)：賬市比分解　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：賬市比效應(yīng)指的是高賬市比的公司獲得較高額收益的現(xiàn)象。自從賬市比效應(yīng)提出之后，學(xué)者們致力于探究賬市比效應(yīng)存在的原因。然而，早期對(duì)賬市比效應(yīng)的解釋存在一些與現(xiàn)實(shí)不符的現(xiàn)象，沒(méi)能讓學(xué)者們滿意�；谶@一背景，Daniel and Titman(2006)另辟蹊徑，從信息的角度來(lái)解釋賬市比效應(yīng)（賬市比信息效應(yīng)）。他發(fā)現(xiàn)美國(guó)股市賬市比效應(yīng)之所以存在，是因?yàn)橘~市比中的無(wú)形信息對(duì)股票回報(bào)的預(yù)測(cè)作用，而不是因?yàn)槠髽I(yè)基本面狀況的作用。這一發(fā)現(xiàn)解釋了早期解釋與現(xiàn)實(shí)部分不符的根本原因，發(fā)掘出美國(guó)賬市比效應(yīng)存在的真正原因。 本文從信息的角度出發(fā)，結(jié)合我國(guó)特有國(guó)情來(lái)探究我國(guó)上市公司存在賬市比效應(yīng)的內(nèi)在原因。首先，運(yùn)用1999年1月至2011年12月期間符合要求的上市公司數(shù)據(jù)進(jìn)行FM橫截面回歸，通過(guò)實(shí)證模型的模擬與檢驗(yàn)發(fā)現(xiàn)，在整個(gè)時(shí)間區(qū)間內(nèi)我國(guó)上市公司賬市比效應(yīng)存在的原因跟美國(guó)股市一樣，都是因?yàn)橘~市比中所含有的無(wú)形信息對(duì)股票未來(lái)回報(bào)具有預(yù)測(cè)作用。然后，本文結(jié)合股權(quán)分置改革這一壯舉，探究股權(quán)分置改革對(duì)我國(guó)賬市比信息效應(yīng)的影響。通過(guò)對(duì)比股改前后兩個(gè)子樣本的FM回歸結(jié)果發(fā)現(xiàn)，隨著股權(quán)分置改革的推行，我國(guó)賬市比效應(yīng)增強(qiáng)，賬市比信息效應(yīng)也發(fā)生相應(yīng)的改變：由股改前無(wú)形信息單獨(dú)起作用變?yōu)楣筛暮笥行涡畔⒑蜔o(wú)形信息共同起作用。這就是中國(guó)與美國(guó)賬市比信息效應(yīng)的區(qū)別。
[Abstract]:The book-market ratio effect refers to the phenomenon that companies with high accounting market ratios earn higher returns. Since the introduction of the accounting market comparison effect, scholars have devoted themselves to exploring the reasons for the accounting and market comparison effects. However, The explanation of the early market comparison effect was inconsistent with the reality and failed to satisfy the scholars. Based on this background, there is a different way to go. From the angle of information, he explains the book-market ratio effect. He finds that the reason why the book-market ratio effect exists in the United States stock market is because the intangible information in the book-market ratio predicts the stock return. This finding explains the fundamental reasons why the early explanation does not conform to the reality, and finds out the real reason for the existence of the American book-market ratio effect. In this paper, from the perspective of information, combined with the unique situation of China to explore the internal reasons for the existence of accounting and market comparison effect of listed companies in China. First of all, Using the data of listed companies from January 1999 to December 2011 to carry out FM cross-section regression, it is found by the simulation and test of empirical model, In the whole time period, the reason why the book-market ratio effect of listed companies in our country exists is the same as that in the American stock market, because the intangible information contained in the book-market ratio can predict the future return of the stock. Combined with the feat of the reform of split share structure, this paper probes into the influence of the reform of split share structure on the information effect of book-market ratio in China. By comparing the results of FM regression of two sub-samples before and after the stock reform, it is found that, with the implementation of the reform of split share structure, In China, the effect of accounting and market comparison has been strengthened. The information effect of book-market ratio also changes correspondingly: from invisible information acting alone before stock reform to tangible information and intangible information acting together after stock reform, this is the difference between Chinese and American accounting market information effect.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

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本文編號(hào)：1631593