本文選題：上市公司　切入點(diǎn)：盈余質(zhì)量　出處：《天津大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：會計(jì)信息是資金分配的基礎(chǔ)，在金融市場中具有重要作用。投資者最關(guān)注、最綜合、最重要的信息是盈余。盈余質(zhì)量是會計(jì)信息質(zhì)量的一個典型代表，，在我國學(xué)者的研究中，經(jīng)常以盈余信息質(zhì)量作為會計(jì)信息質(zhì)量的替代變量，通過評價(jià)盈余信息質(zhì)量判斷會計(jì)信息質(zhì)量。關(guān)于盈余質(zhì)量的研究一直是理論界和實(shí)務(wù)界的研究熱點(diǎn)，本文從理論和實(shí)證研究角度，對盈余質(zhì)量與二級市場風(fēng)險(xiǎn)和定價(jià)之間的關(guān)系進(jìn)行了詳細(xì)而全面的探討和分析。具體內(nèi)容主要包括： 第一，盈余質(zhì)量研究文獻(xiàn)綜述。本部分系統(tǒng)的回顧和梳理了盈余質(zhì)量相關(guān)文獻(xiàn)，從盈余質(zhì)量的定義、度量，盈余質(zhì)量與二級市場風(fēng)險(xiǎn)的關(guān)系和盈余質(zhì)量與證券資產(chǎn)定價(jià)三個方面對國內(nèi)外相關(guān)研究進(jìn)行了總結(jié)，并引出了所要研究的問題。 第二，以價(jià)格沖擊作為信息不對稱的代理變量，盈余精確度、應(yīng)計(jì)質(zhì)量和盈余平滑度作為盈余質(zhì)量指標(biāo)，采用面板回歸的方法，實(shí)證研究了滬深A(yù)股上市公司的盈余質(zhì)量與信息不對稱的關(guān)系。研究發(fā)現(xiàn)，盈余質(zhì)量與信息不對稱顯著負(fù)相關(guān)。以公司規(guī)模為基礎(chǔ)構(gòu)造信息環(huán)境虛擬變量HighInfo，分析在不同信息環(huán)境下，盈余質(zhì)量對信息不對稱的影響。發(fā)現(xiàn)盈余質(zhì)量對信息不對稱的影響受公司的信息環(huán)境影響，在差的信息環(huán)境下，公司的盈余質(zhì)量對信息不對稱的影響更加顯著。 第三，以股票收益對市場流動性非預(yù)期變化的敏感性來度量流動性風(fēng)險(xiǎn)，選取盈余精確度、應(yīng)計(jì)質(zhì)量和盈余平滑度三個盈余質(zhì)量指標(biāo)，實(shí)證檢驗(yàn)了盈余質(zhì)量對市場流動性風(fēng)險(xiǎn)的影響。研究發(fā)現(xiàn)盈余質(zhì)量與流動性風(fēng)險(xiǎn)負(fù)相關(guān)，這種負(fù)相關(guān)關(guān)系在市場流動性急劇下降時期更加顯著。 第四，通過構(gòu)建盈余質(zhì)量因子EQfactor，將其作為定價(jià)因子放入資產(chǎn)定價(jià)模型（CAPM）、Fama-French三因子模型、四因子模型和加入流動性因子的五因子模型中，研究盈余質(zhì)量對股票超額收益率的影響，并分別以加入EQfactor因子后和加入EQfactor因子前兩種檢驗(yàn)作對比，分析盈余質(zhì)量作為信息風(fēng)險(xiǎn)因子是否提高了模型對超額回報(bào)率的解釋程度。研究發(fā)現(xiàn)，盈余質(zhì)量對股票超額收益率的變化有一定的解釋度，可以作為一個定價(jià)信息風(fēng)險(xiǎn)的因子。
[Abstract]:Accounting information is the basis of capital allocation and plays an important role in the financial market. The most important information of investors is earnings. Earnings quality is a typical representative of accounting information quality. The quality of earnings information is often regarded as the substitute variable of accounting information quality, and the quality of accounting information is judged by evaluating the quality of earnings information. This paper makes a detailed and comprehensive analysis of the relationship between earnings quality and secondary market risk and pricing from the perspective of theoretical and empirical research. First, the review of earnings quality research literature. This part systematically reviews and combs the earnings quality related literature, from the definition of earnings quality, measurement, The relationship between earnings quality and secondary market risk and the relationship between earnings quality and securities asset pricing are summarized in this paper. Secondly, the price shock is used as the proxy variable of asymmetric information, the accuracy of earnings, the quality of accrual and the smoothness of earnings are taken as the indicators of earnings quality, and the panel regression method is used. This paper empirically studies the relationship between earnings quality and information asymmetry of Shanghai and Shenzhen A-share listed companies. Earnings quality is negatively correlated with information asymmetry. Based on firm size, a virtual information environment variable High Infois is constructed to analyze different information environments. It is found that the effect of earnings quality on information asymmetry is affected by the information environment of the company. In the poor information environment, the effect of earnings quality on information asymmetry is more significant. Third, measure liquidity risk by the sensitivity of stock returns to unexpected changes in market liquidity, select three earnings quality indicators: earnings accuracy, accrual quality and earnings smoothness. The effect of earnings quality on market liquidity risk is tested empirically, and the negative correlation between earnings quality and liquidity risk is found, which is more significant in the period of sharp decline of market liquidity. In 4th, the earnings quality factor (EQF) was constructed and put into the asset pricing model (CAPM) -Fama-French three-factor model, the four-factor model and the five-factor model with liquidity factor to study the effect of earnings quality on the excess return rate of stock. By comparing the two tests after adding EQfactor factor and adding EQfactor factor, the paper analyzes whether earnings quality as an information risk factor can improve the interpretation of excess return rate by the model. Earnings quality has a certain degree of explanation to the change of excess return rate of stock, and it can be used as a factor of pricing information risk.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F275

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