本文選題：Penman模型　切入點(diǎn)：會(huì)計(jì)異象　出處：《上海交通大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：我們將Penman的模型應(yīng)用于中國(guó)數(shù)據(jù)，用會(huì)計(jì)異象預(yù)測(cè)股票收益�？紤]到中美會(huì)計(jì)準(zhǔn)則及實(shí)例的差異，我們調(diào)整了變量及其組成部分，例如去掉其他應(yīng)收款和其他應(yīng)付款賬戶(hù)，因?yàn)檫@兩項(xiàng)常被認(rèn)為隱含關(guān)聯(lián)方資金占用。樣本包括2001年至2012年的A股市場(chǎng)上市公司，金融企業(yè)除外。回歸顯示了與美國(guó)相似的結(jié)果，五年滾動(dòng)基礎(chǔ)的樣本外測(cè)試也有顯著的超額收益。我們也檢驗(yàn)了包括其他應(yīng)收應(yīng)付賬戶(hù)的數(shù)據(jù)用于比較，進(jìn)一步確認(rèn)上述結(jié)論。 我們進(jìn)一步將研究拓展到其他不同條件。首先，將收益計(jì)算區(qū)間由一年縮短為4月末至8月末后，我們發(fā)現(xiàn)中期報(bào)告的披露對(duì)于投資者決策的影響較小。其次，我們將公司按行業(yè)分類(lèi)，對(duì)每類(lèi)行業(yè)回歸，結(jié)果僅能源類(lèi)和其他行業(yè)類(lèi)別有明顯差異。另外，由于虧損公司常出現(xiàn)會(huì)計(jì)操縱行為，可能降低異常效應(yīng)，我們研究了盈利公司樣本，但超額收益沒(méi)有改善。因此盈利公司并未表現(xiàn)出更強(qiáng)的應(yīng)計(jì)異象。
[Abstract]:We apply the Penman model to Chinese data to predict stock returns using accounting anomalies. Considering the differences between Chinese and American accounting standards and examples, we adjust variables and their components, such as removing other receivables and other accounts payable. Because these two items are often regarded as implied related party capital usages. The sample includes listed companies listed on the A-share market from 2001 to 2012, with the exception of financial enterprises. The regression shows a similar result to that of the United States. Extra-sample tests on the five-year rolling basis also showed significant excess returns. We also tested data including other accounts receivable and payable for comparison to further confirm the above conclusions. We further expand our research to other conditions. First, by shortening the return range from one year to the end of April to the end of August, we find that the disclosure of interim reports has less influence on investors' decisions. We classify the companies by industry and return to each industry. The results show that there are only significant differences between the energy category and other industry categories. In addition, because accounting manipulation is common in loss-making companies, the abnormal effects may be reduced. We looked at a sample of profitable companies, but the excess returns did not improve. Therefore, the profit companies did not show a stronger accrual vision.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51;F275

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本文編號(hào)：1625835