【摘要】：隨著經(jīng)濟(jì)的全球化,我國(guó)資本市場(chǎng)上也出現(xiàn)了許多新的行業(yè),市場(chǎng)上金融工具的形式也變得多樣化,為了滿足金融工具的核算要求,我國(guó)2006年頒布了新的企業(yè)會(huì)計(jì)準(zhǔn)則全面引入公允價(jià)值,并在準(zhǔn)則中對(duì)利得和損失的概念進(jìn)行了闡述,體現(xiàn)了綜合收益觀的觀點(diǎn)。由于我國(guó)經(jīng)濟(jì)環(huán)境也在不斷的發(fā)生變化,資本市場(chǎng)也日趨復(fù)雜化,按照2006年準(zhǔn)則計(jì)量披露的會(huì)計(jì)凈利潤(rùn),已經(jīng)不能夠滿足報(bào)表使用者對(duì)會(huì)計(jì)信息的需求。并且在大的經(jīng)濟(jì)環(huán)境下,金融工具的應(yīng)用越來(lái)越廣泛,從而迫使財(cái)務(wù)報(bào)表更要反映企業(yè)真實(shí)的財(cái)務(wù)狀況和經(jīng)營(yíng)成果,來(lái)滿足投資者的決策需要。因此我國(guó)財(cái)政部2009年印發(fā)了第3號(hào)企業(yè)會(huì)計(jì)準(zhǔn)則解釋,在第3號(hào)解釋中正式提出綜合收益觀,并要求上市企業(yè)在報(bào)表中詳細(xì)披露綜合收益和其他綜合收益。這一系列舉措,無(wú)不彰顯我國(guó)財(cái)政部對(duì)綜合收益信息的重視程度正在不斷提高。我國(guó)于2014年又發(fā)布了《企業(yè)會(huì)計(jì)準(zhǔn)則第30號(hào)——財(cái)務(wù)報(bào)表列報(bào)》準(zhǔn)則,準(zhǔn)則中明確了綜合收益觀的運(yùn)用。在公允價(jià)值的研究中,公允價(jià)值應(yīng)用與金融風(fēng)險(xiǎn)防范受到各界的關(guān)注,其中公允價(jià)值應(yīng)用的資本市場(chǎng)反應(yīng)成為一個(gè)重要的研究領(lǐng)域。雖然我國(guó)一直致力于國(guó)際會(huì)計(jì)準(zhǔn)則趨同,但我國(guó)資本市場(chǎng)的發(fā)展起步晚,市場(chǎng)的還不完善,許多資產(chǎn)還不存在活躍的市場(chǎng),市場(chǎng)的參與程度相對(duì)較低,估值技術(shù)較為落后,這些因素都將導(dǎo)致我國(guó)公允價(jià)值計(jì)量產(chǎn)生的市場(chǎng)反應(yīng)可能不同于西方國(guó)家。因此,本文以金融資產(chǎn)公允價(jià)值變動(dòng)列報(bào)位置的差異,考察公允價(jià)值計(jì)量的金融工具的未實(shí)現(xiàn)收益引起市場(chǎng)反應(yīng)程度,為我國(guó)有效實(shí)施綜合收益觀提供經(jīng)驗(yàn)性證據(jù)。首先,本文對(duì)國(guó)內(nèi)外關(guān)于公允價(jià)值相關(guān)性研究、市場(chǎng)反應(yīng)研究及公允價(jià)值列報(bào)不同位置研究的文獻(xiàn)進(jìn)行了歸納總結(jié)和評(píng)述。然后對(duì)國(guó)內(nèi)外公允價(jià)值定義變更進(jìn)行概述了,并分析公允價(jià)值變動(dòng)損益的性質(zhì)與特征。其次,本文以有效市場(chǎng)假說(shuō)、信息觀與計(jì)量觀、決策有用觀、功能鎖定假設(shè)為理論基礎(chǔ),采用事件研究法運(yùn)用市場(chǎng)模型進(jìn)行實(shí)證研究。以2007-2014年滬市A股上市公司的年報(bào)為樣本數(shù)據(jù),以每年的盈余公告日作為事件日,對(duì)估計(jì)窗口和事件窗口公允價(jià)值變動(dòng)損益和股票回報(bào)為研究對(duì)象,驗(yàn)證公允價(jià)值變動(dòng)在不同的位置列示帶來(lái)的市場(chǎng)反應(yīng),并得出實(shí)證研究結(jié)果。最后,根據(jù)本文得出的結(jié)論提出相關(guān)的建議。本文通過(guò)實(shí)證回歸檢驗(yàn)得出以下結(jié)論:第一,公允價(jià)值變動(dòng)呈報(bào)于利潤(rùn)表時(shí),公允價(jià)值變動(dòng)產(chǎn)生的未實(shí)現(xiàn)利得和損失會(huì)導(dǎo)致股票市場(chǎng)過(guò)度反應(yīng);第二,當(dāng)公允價(jià)值變動(dòng)損益列報(bào)于所有者權(quán)益變動(dòng)表時(shí),股票市場(chǎng)反應(yīng)不足;第三,當(dāng)公允價(jià)值變動(dòng)損益同時(shí)計(jì)入利潤(rùn)表和所有者權(quán)益變動(dòng)表時(shí),股票市場(chǎng)對(duì)公允價(jià)值變動(dòng)產(chǎn)生的信息充分反應(yīng)。本文的創(chuàng)新點(diǎn):第一,通過(guò)對(duì)我國(guó)文獻(xiàn)的梳理發(fā)現(xiàn),大部分學(xué)者的文獻(xiàn)都對(duì)價(jià)值相關(guān)性角度進(jìn)行研究,而學(xué)者們從市場(chǎng)反應(yīng)角度來(lái)研究的很少。本文研究列入不同報(bào)表中公允價(jià)值變動(dòng)損益帶來(lái)市場(chǎng)反應(yīng)程度存在的差異。驗(yàn)證了我國(guó)投資者關(guān)注信息時(shí)存在功能鎖定現(xiàn)象。第二,本文以會(huì)計(jì)準(zhǔn)則引入綜合收益觀為背景,研究金融資產(chǎn)公允價(jià)值變動(dòng)產(chǎn)生未實(shí)現(xiàn)損益列報(bào)位置的不同帶來(lái)的市場(chǎng)股價(jià)的波動(dòng)�，F(xiàn)有的文獻(xiàn)僅研究了公允價(jià)值變動(dòng)損益列報(bào)在某一位置的市場(chǎng)反應(yīng),本文拓展不同列報(bào)位置公允價(jià)值變動(dòng)損益市場(chǎng)反應(yīng)的研究。本文的不足之處:第一,本文研究主要以滬市A股上市公司的非金融行業(yè)為主,對(duì)于可供出售金融資產(chǎn)的公允價(jià)值變動(dòng)損益數(shù)據(jù)查找是通過(guò)查閱年報(bào)手工采集,可能受到主觀性影響從而影響到研究結(jié)論的準(zhǔn)確性。第二,由于本文只采用了非金融行業(yè)的金融資產(chǎn)作為研究對(duì)象,沒有對(duì)行業(yè)進(jìn)行區(qū)分比較。由于不同行業(yè)公司的資產(chǎn)結(jié)構(gòu)有較大區(qū)別,所以研究結(jié)論存在局限性。
[Abstract]:With the globalization of economy, there are many new industries in our capital market, and the form of financial instruments in the market is also diversified. In order to meet the accounting requirements of financial instruments, the new enterprise accounting standards have been introduced into the fair value in 2006. The concept of profit and loss is stated in the guideline, and the view of comprehensive income view is reflected. As China's economic environment is changing constantly, the capital market is becoming more and more complicated. The accounting net profit disclosed in the 2006 guidelines has not been able to meet the demand of the user of the report to the accounting information. and in a large economic environment, the application of financial instruments is becoming more and more extensive, thus forcing the financial statements to reflect the real financial position and operation results of the enterprise to meet the investor's decision-making needs. Therefore, in 2009, the Ministry of Finance of our country issued the Accounting Standards for Enterprises No. 3, which formally put forward the concept of comprehensive income in the interpretation of No. 3, and asked the listed enterprises to disclose the comprehensive income and other comprehensive income in detail in the statement. The series of initiatives show that the emphasis of the Ministry of Finance on the comprehensive income information is increasing. In 2014, China also issued the Accounting Standards for Enterprises No. 30 _ Presentation of the Financial Statement> Guidelines, and the application of the comprehensive income view is clearly defined in the guidelines. In the study of fair value, fair value application and financial risk prevention are concerned by various circles, and the capital market reaction of fair value application has become an important research field. Although our country has been working on the convergence of the international accounting standards, the development of the capital market in our country is very late, the market is not perfect, many of the assets still have no active market, the market participation degree is relatively low, the valuation technology is relatively backward, These factors will lead to the market response of the fair value measurement in China, which may be different from the western countries. Therefore, in this paper, based on the difference of the fair value of the financial assets, the non-realization income of the financial instruments measured at the fair value is examined to cause the market reaction degree, and the empirical evidence is provided for the effective implementation of the comprehensive income view in China. First of all, this paper summarizes and comments on the literature on the study of fair value-related research, market response and fair value presentation at home and abroad. Then, the changes of the fair value definition at home and abroad are summarized, and the properties and characteristics of the profit and loss of the fair value are analyzed. Secondly, this paper uses the effective market hypothesis, the information view and the measurement view, the decision-making useful view and the function locking hypothesis as the theoretical basis, and uses the event research method to use the market model to carry out the empirical study. Taking the annual report of the AShare listed company in Shanghai and Shanghai as the sample data in 2007-2014, the profit and loss of the fair value of the estimated window and the event window and the return of the stock to the study object are calculated on the basis of the annual earnings announcement day as the event day, and the market reaction brought by the change of the fair value in different positions is verified. and the result of the empirical study is obtained. Finally, the relevant suggestions are put forward according to the conclusions drawn in this paper. The following conclusions are drawn from the empirical regression test: when the first and the fair value changes are reported to the profit statement, the unrealized profit and loss arising from the change of the fair value can lead to over-reaction of the stock market; and the second, when the profit or loss of the fair value is presented in the statement of changes in the owner's equity, The stock market has insufficient response; and thirdly, when the profit or loss of the fair value is included in the income statement and the statement of changes in the owner's equity, the stock market is fully responsive to the information generated by the change of the fair value. The innovation point of this paper: First, by combing the Chinese literature, most of the scholars have studied the value-related angle, and the scholars have little research from the market reaction angle. In this paper, the differences between the fair value change and the profit and loss in different statements are studied in this paper. It is proved that there is a function locking phenomenon in our country's investor's attention. Secondly, the paper, based on the introduction of accounting standards into the concept of comprehensive income, studies the fluctuation of the market share price brought by the change of the fair value of the financial assets. The existing literature only studies the market response of the fair value change and loss in a certain position, and expands the research on the change of the fair value of the fair value and the market reaction of the profit and loss in different presentation positions. First, this paper mainly focuses on the non-financial industry of the AShare listed company in Shanghai, and finds that the profit and loss data of the fair value of the available-for-sale financial assets is collected manually by referring to the annual report. may be subject to subjectivity and thus affect the accuracy of the conclusions of the study. Second, since only the financial assets of the non-financial industry are used as the research object, there is no distinction between the industries. The research conclusion is limited because of the great difference in the asset structure of different industry companies.
【學(xué)位授予單位】：河南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2016
【分類號(hào)】：F233

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