【摘要】：2008年金融危機(jī)的爆發(fā),使得公允價(jià)值會計(jì)倍受關(guān)注。一個焦點(diǎn)問題是:公允價(jià)值會計(jì)是否會加劇市場波動。我們針對2007—2011年中國A股市場的情況對這一問題進(jìn)行了實(shí)證研究,主要結(jié)論如下:1)股價(jià)能夠反應(yīng)公允價(jià)值會計(jì)信息,且在市場波動期比平穩(wěn)期反應(yīng)更顯著;2)公允價(jià)值會計(jì)信息與波動率之間的正相關(guān)關(guān)系在市場波動期比在平穩(wěn)期更加顯著;3)波動率與公允價(jià)值會計(jì)信息的正相關(guān)性主要出現(xiàn)在長周期上。
[Abstract]:With the outbreak of financial crisis in 2008, fair value accounting has attracted more and more attention. A focus is whether fair value accounting will exacerbate market volatility. The main conclusions are as follows: 1) the stock price can reflect the fair value accounting information, and the volatility of the market is more significant than that of the stable period; (1) the stock price can reflect the fair value accounting information in China's A-share market from 2007 to 2011, and the main conclusions are as follows: 2) the positive correlation between the fair value accounting information and the volatility is more significant in the market volatility than in the stable period; 3) the positive correlation between the volatility and the fair value accounting information mainly appears in the long-term period.
【作者單位】： 上海交通大學(xué)安泰經(jīng)濟(jì)與管理學(xué)院;
【基金】：國家自然基金課題(項(xiàng)目號70772061) 上海交通大學(xué)“晨星青年學(xué)者獎勵計(jì)劃”一項(xiàng)基礎(chǔ)性工作
【分類號】：F224;F832.51

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