企業(yè)盈利預測偏差與通貨膨脹預期
發(fā)布時間：2018-11-28 20:31
【摘要】：通貨膨脹預期是長期以來宏觀經(jīng)濟領域的重要課題,其影響因素是學界和宏觀調控部門關注的重點之一。微觀企業(yè)的盈利信息,特別是盈利表現(xiàn)、盈利預測和盈利預期偏差均與通貨膨脹存在必然的聯(lián)系。但各個經(jīng)濟主體在形成通貨膨脹預期時,是否考慮了這些信息卻是學術界尚未明確回答的問題(S.P.Kothari,2012),本文將在中國的經(jīng)驗證據(jù)上嘗試回答這一問題。本文根據(jù)2002年2季度至2015年3季度滬深A股上市公司自發(fā)披露的預期盈利和真實盈利計算,并加權平均得到盈利預測偏差,以CPI和PPI度量我國的通貨膨脹水平。論文使用朗潤CPI預測及和訊PPI預測數(shù)據(jù)作為經(jīng)濟學家的通貨膨脹預期,根據(jù)央行儲戶調查系統(tǒng)數(shù)據(jù),采用Carlson-Parkin法計算居民的通貨膨脹預期,并根據(jù)通脹預期及真實通脹計算通脹預期偏誤。論文首先采用VEC模型基礎上的格蘭杰因果檢驗統(tǒng)計量,檢驗盈利預測偏差與通貨膨脹的關系。實證結果發(fā)現(xiàn),企業(yè)盈利預測偏差是CPI的格蘭杰因,工業(yè)企業(yè)盈利預測偏差是PPI的格蘭杰因,意味著企業(yè)盈利預測信息有助于預測未來通脹。在控制貨幣因素、經(jīng)濟增長率等因素的基礎上,論文做通貨膨脹預期偏差關于滯后盈利預期偏差的回歸分析。實證結果顯示,盈利預測偏差對經(jīng)濟學家的CPI預期偏差影響不顯著,對經(jīng)濟學家PPI預期偏差影響結果不穩(wěn)健,對公眾CPI預期偏差影響顯著。結果意味著,經(jīng)濟學家對CPI的預期充分吸收了企業(yè)盈利預測偏差信息,但經(jīng)濟學家PPI預期是否充分吸收盈利預測偏差信息證據(jù)不足,公眾通脹預期也并未充分吸收企業(yè)盈利預測偏差信息。論文的一系列穩(wěn)健性檢驗說明上述結果是穩(wěn)健的。論文的主要創(chuàng)新點和貢獻在于,對回答通貨膨脹預期是否充分吸收微觀企業(yè)的盈利信息提供我國的經(jīng)驗證據(jù)。
[Abstract]:Inflation expectation is an important subject in the field of macroeconomics for a long time, and its influencing factors are one of the focal points of academic circles and macro-control departments. The profit information, especially the profit performance, the deviation of profit forecast and profit expectation of micro enterprises have certain relation with inflation. However, whether or not the economic agents take these information into account is an unanswered question (S.P. Kotharii 2012). This paper will try to answer this question on the empirical evidence in China. This paper calculates the expected profit and the real profit of the Shanghai and Shenzhen A-share listed companies spontaneously from the second quarter of 2002 to the third quarter of 2015, and obtains the deviation of the average profit forecast. The inflation level of our country is measured by CPI and PPI. The paper uses Langrun CPI forecast and PPI forecast data as economists' inflation expectation. According to the data of central bank depositor survey system, Carlson-Parkin method is used to calculate the residents' inflation expectation. And based on inflation expectations and real inflation calculation of inflation expectations bias. Firstly, Granger causality test statistic based on VEC model is used to test the relationship between profit forecast deviation and inflation. The empirical results show that the deviation of corporate profit forecast is Granger of CPI, and that of industrial enterprise is Granger of PPI, which means that the information of enterprise earnings forecast is helpful to predict future inflation. On the basis of controlling monetary factors, economic growth rate and other factors, the paper makes regression analysis of inflation expectation deviation about lag profit expectation deviation. The empirical results show that the deviation of earnings forecast has no significant effect on the CPI expected deviation of economists, but the effect on PPI expected deviation of economists is not robust, and it has a significant impact on the public CPI expected bias. The result means that economists' expectation of CPI fully absorbs the deviation information of enterprise profit forecast, but the evidence of whether economist PPI's expectation fully absorbs the deviation information of profit forecast is insufficient. Public inflation expectations also did not fully absorb corporate earnings forecast bias information. A series of robust tests show that the above results are robust. The main innovation and contribution of this paper is to provide empirical evidence to answer whether inflation expectations fully absorb the profit information of micro enterprises.
【學位授予單位】：華南理工大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F275;F822.5
本文編號：2364180
[Abstract]:Inflation expectation is an important subject in the field of macroeconomics for a long time, and its influencing factors are one of the focal points of academic circles and macro-control departments. The profit information, especially the profit performance, the deviation of profit forecast and profit expectation of micro enterprises have certain relation with inflation. However, whether or not the economic agents take these information into account is an unanswered question (S.P. Kotharii 2012). This paper will try to answer this question on the empirical evidence in China. This paper calculates the expected profit and the real profit of the Shanghai and Shenzhen A-share listed companies spontaneously from the second quarter of 2002 to the third quarter of 2015, and obtains the deviation of the average profit forecast. The inflation level of our country is measured by CPI and PPI. The paper uses Langrun CPI forecast and PPI forecast data as economists' inflation expectation. According to the data of central bank depositor survey system, Carlson-Parkin method is used to calculate the residents' inflation expectation. And based on inflation expectations and real inflation calculation of inflation expectations bias. Firstly, Granger causality test statistic based on VEC model is used to test the relationship between profit forecast deviation and inflation. The empirical results show that the deviation of corporate profit forecast is Granger of CPI, and that of industrial enterprise is Granger of PPI, which means that the information of enterprise earnings forecast is helpful to predict future inflation. On the basis of controlling monetary factors, economic growth rate and other factors, the paper makes regression analysis of inflation expectation deviation about lag profit expectation deviation. The empirical results show that the deviation of earnings forecast has no significant effect on the CPI expected deviation of economists, but the effect on PPI expected deviation of economists is not robust, and it has a significant impact on the public CPI expected bias. The result means that economists' expectation of CPI fully absorbs the deviation information of enterprise profit forecast, but the evidence of whether economist PPI's expectation fully absorbs the deviation information of profit forecast is insufficient. Public inflation expectations also did not fully absorb corporate earnings forecast bias information. A series of robust tests show that the above results are robust. The main innovation and contribution of this paper is to provide empirical evidence to answer whether inflation expectations fully absorb the profit information of micro enterprises.
【學位授予單位】：華南理工大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F275;F822.5
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