本文關(guān)鍵詞： 剩余收益 資本投入 股票回報(bào)　出處：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：在對(duì)上市公司的研究中,基于會(huì)計(jì)信息的研究顯得非常重要。因?yàn)闀?huì)計(jì)信息反映了企業(yè)的經(jīng)營(yíng)成果、資產(chǎn)狀況等信息,是外部主體了解企業(yè)發(fā)展現(xiàn)狀,分析企業(yè)未來(lái)發(fā)展?jié)摿Φ闹匾畔⑶�。在學(xué)術(shù)研究領(lǐng)域,相關(guān)會(huì)計(jì)信息的使用使得很多的經(jīng)濟(jì)規(guī)律被發(fā)現(xiàn)。這些發(fā)現(xiàn)可以幫助參與者進(jìn)行投資分析,幫助參與者進(jìn)行投資決策制定,或是幫助監(jiān)管者制定規(guī)范市場(chǎng)發(fā)展的制度等。尤其是在我國(guó)這樣的新興經(jīng)濟(jì)市場(chǎng)上,對(duì)會(huì)計(jì)信息與上市公司股票價(jià)值之間的關(guān)系研究不管是在理論上,還是在實(shí)際中都是非常有意義的。 不管是投資者、分析師還是學(xué)術(shù)研究者都在努力地探索與股票的回報(bào)有關(guān)的信息。我國(guó)的資本市場(chǎng)發(fā)展的時(shí)間不長(zhǎng),在政府主導(dǎo)下設(shè)立并發(fā)展,政府的監(jiān)管或是扶持政策對(duì)資本市場(chǎng)的發(fā)展方向與發(fā)展速度影響很大。我國(guó)資本市場(chǎng)的某些現(xiàn)象可能存在獨(dú)特性,利用市場(chǎng)的數(shù)據(jù)來(lái)探究現(xiàn)象之間的關(guān)系就顯得非常必要。 我國(guó)證券市場(chǎng)的發(fā)展時(shí)間相對(duì)于美國(guó)等的證券市場(chǎng)發(fā)展時(shí)間較短,市場(chǎng)的發(fā)育程度還有待加快,市場(chǎng)參與者的素質(zhì)還需要進(jìn)一步提高,相關(guān)投資的投機(jī)性有待降低。證監(jiān)會(huì)等部門陸續(xù)出臺(tái)了相關(guān)政策,逐步完善我國(guó)證券市場(chǎng)的發(fā)展。2012年4月28日,證監(jiān)會(huì)發(fā)布《關(guān)于進(jìn)一步深化新股發(fā)行體制改革的指導(dǎo)意見(jiàn)》；2012年6月28日滬深交易所分別發(fā)布了完善退市制度的方案；2013年7月26日深交所發(fā)布修訂的交易規(guī)則等等。在我國(guó)證券市場(chǎng)上,投機(jī)思想的生存空間必將越來(lái)越小,證券市場(chǎng)上莊家的意志并不能再轉(zhuǎn)移上市公司股票價(jià)格的均衡發(fā)展。上市公司真正的經(jīng)營(yíng)情況會(huì)越來(lái)越被市場(chǎng)知曉,并反映在市場(chǎng)對(duì)股票的定價(jià)上,股票的回報(bào)率,也將更加有效地與企業(yè)真實(shí)的盈利能力掛鉤。 自從Ball、Brown(1968)對(duì)會(huì)計(jì)收益與股票之間的關(guān)系研究開(kāi)始,越來(lái)越多的研究顯示會(huì)計(jì)收益與股票之間存在明顯的相關(guān)關(guān)系。如,陳信元、陳冬華、朱紅軍(2002)運(yùn)用Ohlson(1995)剩余收益定價(jià)模型研究了剩余收益、會(huì)計(jì)收益、凈資產(chǎn)三個(gè)變量對(duì)股票價(jià)格的解釋能力。李亞靜、朱宏泉、張明善(2004)研究了會(huì)計(jì)信息(凈資產(chǎn)、凈利潤(rùn))、剩余收益與市場(chǎng)價(jià)值的相關(guān)性等。 本研究論文通過(guò)探討剩余收益變化與股票回報(bào)率之間的關(guān)系,增加了國(guó)內(nèi)學(xué)術(shù)界關(guān)于剩余收益與股票回報(bào)之間的關(guān)系研究。雖然,國(guó)內(nèi)學(xué)術(shù)界關(guān)于資本投入與股票回報(bào)之間的關(guān)系研究比較多,但是都是單一方面的研究。本文不僅僅研究資本增長(zhǎng)與股票回報(bào)之間的關(guān)系,也分析研究剩余收益與資本投入對(duì)股票回報(bào)影響的相對(duì)關(guān)系,加深相關(guān)研究在此領(lǐng)域的發(fā)展。 本論文在目前的市場(chǎng)環(huán)境以及相關(guān)理論研究的背景下進(jìn)行了選題。從目前的研究現(xiàn)狀入手,解釋了本文的研究意義。闡述了相關(guān)理論之后,揭示了本文適用模型的推導(dǎo)。本文使用Sudhakar Balachandran和Partha Mohanram(2012)關(guān)于會(huì)計(jì)盈余變化的分解等式為基礎(chǔ)進(jìn)行研究模型的建立。并利用我國(guó)上海證券交易所A股上市公司的相關(guān)會(huì)計(jì)數(shù)據(jù)、股票回報(bào)數(shù)據(jù)進(jìn)行了實(shí)證分析,并在利用數(shù)據(jù)之間呈現(xiàn)的關(guān)系的基礎(chǔ)上,分析了相關(guān)變量之間的關(guān)系,說(shuō)明了我國(guó)股票市場(chǎng)上的相關(guān)現(xiàn)象。 本文的預(yù)期貢獻(xiàn)可能包括：1、將剩余收益與資本成本與股票回報(bào)的關(guān)系對(duì)比分析,突破了現(xiàn)有研究中僅僅從一方面進(jìn)行研究說(shuō)明的現(xiàn)狀：本文認(rèn)為這種對(duì)比能夠更好地解釋我國(guó)資本市場(chǎng)的某些現(xiàn)象；2、本文建立分析模型時(shí),沒(méi)有使用Ohlson的剩余收益模型,而是使用基于會(huì)計(jì)盈余的分解來(lái)建立了模型；本文的這種模型選擇可以從不同于以往相關(guān)學(xué)術(shù)研究的視角進(jìn)行相關(guān)關(guān)系探索；并且基于會(huì)計(jì)盈余與股票之間關(guān)系的現(xiàn)有研究成果,有理由相信這種基于會(huì)計(jì)盈余分解的模型嘗試是有意義的；3、本文的研究結(jié)果發(fā)現(xiàn)了剩余收益信息在股票回報(bào)上的信息漂移現(xiàn)象,并在一定程度上支持資本增長(zhǎng)異象,以及市場(chǎng)對(duì)于剩余收益與資本投入的不同態(tài)度,以及對(duì)其信息消化的不同轉(zhuǎn)變,為資本市場(chǎng)權(quán)益投資者的投資決策分析有較強(qiáng)的參考意義。 詳細(xì)研究思路如下： 第一章闡述了研究的相關(guān)背景。在相關(guān)背景的基礎(chǔ)上說(shuō)明了本文研究的理論意義以及現(xiàn)實(shí)意義。并對(duì)本論文的研究工具、研究方法進(jìn)行了說(shuō)明。 第二章說(shuō)明分別闡述了國(guó)外國(guó)內(nèi)關(guān)于剩余收益研究的研究現(xiàn)狀,國(guó)外國(guó)內(nèi)關(guān)于資本投資與股票關(guān)系的研究現(xiàn)狀。之后對(duì)研究現(xiàn)狀進(jìn)行了評(píng)述,說(shuō)明本研究的思路來(lái)源。 第三章在理論基礎(chǔ)中,說(shuō)明了會(huì)計(jì)數(shù)據(jù)與證券市場(chǎng)研究的理論基礎(chǔ),剩余收益與公司股票價(jià)值的聯(lián)系理論基礎(chǔ),資本增長(zhǎng)異象的相關(guān)解釋理論。 第四章中介紹了本論文使用模型的推導(dǎo)過(guò)程。并解釋了一些重要變量的處理過(guò)程。 第五章本文利用我國(guó)上海證券市場(chǎng)A股上市公司的數(shù)據(jù)進(jìn)行了相關(guān)關(guān)系分析。首先是從統(tǒng)計(jì)特征上大致分析變量之間的關(guān)系。然后利用統(tǒng)計(jì)模型從時(shí)間變化、截面特征等方面深入研究。最后進(jìn)行了穩(wěn)健性檢驗(yàn)。 第六章對(duì)本文研究結(jié)果進(jìn)行了總結(jié)與分析。提出了未來(lái)研究的可能方向與本文研究中可能存在的不足。 本文的研究結(jié)果顯示,剩余收益增長(zhǎng)與當(dāng)期股票回報(bào)之間存在著正相關(guān)關(guān)系,而投入資本增加與當(dāng)期回報(bào)之間也存在著正相關(guān)關(guān)系。但是市場(chǎng)對(duì)于這兩者的價(jià)值理解是不同的,市場(chǎng)更加看重投入資本增長(zhǎng)帶來(lái)的股票回報(bào)。此外,對(duì)于規(guī)模較小的公司,市場(chǎng)對(duì)于其剩余收益增長(zhǎng)、投入資本增長(zhǎng)能夠解釋的當(dāng)期股票回報(bào)的差別更大。而對(duì)于近期盈利能力較高的公司來(lái)說(shuō),市場(chǎng)賦予它們的剩余收益增長(zhǎng)、投入資本增長(zhǎng)能夠解釋的當(dāng)期股票回報(bào)的價(jià)值更高。 其次,在進(jìn)一步的研究中,本文發(fā)現(xiàn)剩余收益的增長(zhǎng)可以帶來(lái)會(huì)計(jì)盈余增長(zhǎng)的持續(xù)性；而由投入資本增加帶來(lái)的會(huì)計(jì)盈余增長(zhǎng)則表現(xiàn)出顯著的均值回歸性。 最后,本論文研究了剩余收益增長(zhǎng)、投入資本增長(zhǎng)與企業(yè)股票的未來(lái)回報(bào)率之間的關(guān)系。結(jié)果顯示,剩余收益增長(zhǎng)與未來(lái)股票回報(bào)之間存在著正相關(guān)關(guān)系,這也說(shuō)明市場(chǎng)對(duì)于剩余收益增長(zhǎng)信息的反應(yīng)存在著會(huì)計(jì)信息漂移現(xiàn)象；投入資本增加與未來(lái)股票回報(bào)之間卻存在著負(fù)相關(guān)關(guān)系,這說(shuō)明市場(chǎng)扭轉(zhuǎn)了其最初看重的投入資本增加帶來(lái)的會(huì)計(jì)盈余增長(zhǎng),意識(shí)到高估了其價(jià)值,未來(lái)市場(chǎng)意識(shí)到這些信息之后,市場(chǎng)上做出相應(yīng)的反應(yīng),減少了對(duì)企業(yè)股票的追捧,其股票的回報(bào)率就會(huì)減小,因此表現(xiàn)出較強(qiáng)的均值回歸性。對(duì)于規(guī)模較小的公司來(lái)說(shuō),市場(chǎng)對(duì)于其剩余收益增長(zhǎng)、投入資本增長(zhǎng)能夠解釋的當(dāng)期股票回報(bào)的差別仍然最大。對(duì)于近期盈利能力較強(qiáng)的公司來(lái)說(shuō),資本投入增加與未來(lái)股票回報(bào)的關(guān)系是負(fù)相關(guān)的,這說(shuō)明資本投入的增加并不能給股權(quán)投資者帶來(lái)價(jià)值的增值。 本文的研究結(jié)果可能說(shuō)明我國(guó)資本市場(chǎng)對(duì)于資本成本信息的理解能力還不夠強(qiáng),對(duì)于經(jīng)濟(jì)意義上的利潤(rùn)信息的消化吸收存在一定的信息漂移現(xiàn)象；另外本文的研究結(jié)果支持現(xiàn)有文獻(xiàn)中關(guān)于資本增長(zhǎng)異象的研究成果。
[Abstract]:In the research of listed companies , the research on accounting information is very important . Because accounting information reflects the enterprise ' s operating results , asset status and so on , it is an important information channel for the external subject to understand the present situation of the enterprise and analyze the future development potential of the enterprise . In the field of academic research , the use of relevant accounting information makes many economic laws be found . Whether it is an investor , an analyst or an academic researcher is trying to explore the information about the return of the stock . The development of capital market in our country is not long , and the development direction and the development speed of the capital market are influenced by the government ' s supervision or enabling policies . The development of stock market in our country is shorter than the development time of stock market , such as the United States , the market development degree is still to be accelerated , the market participant ' s quality needs further improvement , and the investment of the relevant investment needs to be reduced . On April 28 , 2012 , the CSRC issued the revised trading rules and so on . On April 28 , 2012 , the CSRC issued revised trading rules and so on . On April 28 , 2012 , the CSRC issued revised trading rules and so on . On April 28 , 2012 , the stock exchange issued revised trading rules and so on . The real operation situation of the listed company will be more and more widely known and reflected in the market ' s pricing of the stock , the return of the stock will also be more effectively linked to the real profitability of the enterprise . Since Ball , Brown ( 1968 ) began to study the relationship between accounting income and stock , more and more research shows that there is a clear correlation between accounting income and stock . For example , Chen Xinyuan , Chen DongHua and Zhu Hongjun ( 2002 ) use Ohlson ( 1995 ) Residual Income Pricing Model to study the explanation of stock price . Li Yajing , Zhu Hongquan and Zhang Mingshan ( 2004 ) have studied accounting information ( net assets , net profit ) , surplus income and market value . This paper discusses the relationship between the residual income and the return on stock by exploring the relationship between the residual income and the stock return . Although the relationship between the capital investment and the return of the stock returns more and more , the paper studies the relation between the capital increase and the return of the stock , and also analyzes the relative relationship between the residual income and the return effect of the capital investment on the return of the stock , and further studies the development of the relevant research in this field . In this paper , the research significance of this paper is explained in the background of the current market environment and relevant theoretical research . The research significance of this paper is explained from the current research situation . After the relevant theories are explained , the paper studies the establishment of the model . Based on the relationship between the accounting data and stock return data of the A - share listed company of Shanghai Stock Exchange , the paper analyzes the relationship between the relevant variables and explains the related phenomena in the stock market in China . The expected contribution of this paper may include : 1 . The comparative analysis of the relation between the surplus income and capital cost and the return of stock , breaks through the present situation of the research in the existing research only from one aspect : this paper holds that this comparison can better explain some phenomena in the capital market of our country ; The detailed research thought is as follows : In the first chapter , the background of the research is described . The theoretical significance and practical significance of the research are explained on the basis of the relevant background , and the research tools and research methods of this paper are described . The second chapter illustrates the present situation of the research on surplus income in foreign countries , and the current situation of the research on the relationship between capital investment and stock in foreign countries . After that , the present situation of research is reviewed and the source of thought of this study is explained . In chapter 3 , the theory basis of accounting data and stock market research , the relation theory basis of the surplus income and the company ' s stock value , and the related explanation theory of capital increase are explained . In chapter 4 , the derivation process of the use model of this thesis is introduced , and the processing of some important variables is explained . In the fifth chapter , we analyze the relationship between the data of A - share listed company in Shanghai stock market in China . Firstly , the relationship between variables is analyzed from the statistical characteristics . Then the statistical model is used to study deeply in terms of time and cross - sectional characteristics . Finally , the robustness test is carried out . The sixth chapter summarizes and analyzes the results of this paper . The possible directions of future research and the defects that may exist in this paper are put forward . The results of this paper show that there is positive correlation between the increase of residual income and the return of the current stock , but there is positive correlation between the increase of input capital and the return on investment . Secondly , in the further research , this paper finds that the growth of surplus income can bring about the persistence of accounting earnings growth , while the increase of accounting earnings caused by the increase of input capital shows a significant mean regression . Finally , this paper studies the relationship between the growth of the surplus income , the increase of input capital and the future returns of stock . The result shows that there is a positive correlation between the increase of the surplus income and the return of the future stock . The results of this paper may indicate that our country ' s capital market is not strong enough for the understanding of capital cost information , and there is a certain information drift phenomenon for the digestion and absorption of profit information in economy .

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F275

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