本文關鍵詞：公允價值會計信息的資本市場定價效率研究　出處：《西南財經(jīng)大學》2014年博士論文　論文類型：學位論文

  更多相關文章： 公允價值會計信息 定價效率 應計異象 風險相關性 價值相關性

【摘要】：在國際趨同背景的指引下我國進行了會計制度的改革,使得會計確認基礎經(jīng)歷了2次大的“飛躍”。第一次飛躍起因于2006年《企業(yè)會計準則》引入公允價值計量模式。2006年2月15日財政部發(fā)布《企業(yè)會計準則》,要求上市公司在2007年1月1日起在財務報告中加大公允價值計量的應用。在歷史成本計量的基礎上,公允價值計量增加了在金融工具、投資性房地產(chǎn)、債務重組、非貨幣性資產(chǎn)交換準則中的應用。相應在利潤表增設“公允價值變動損益”的會計科目。第二次飛躍起因于2009年財政部發(fā)布《企業(yè)會計準則解釋第3號》,要求上市公司從2009年1月1日起在利潤表增設“其他綜合收益”和“綜合收益總額”科目。同時在當年的12月,財政部又頒布了《關于執(zhí)行會計準則的上市公司和非上市公司做好2009年年報工作的通知》,對利潤表和損益表的格式要求作出修改,并具體規(guī)定了綜合收益項目的相關披露工作。 在1998年和2008年國際金融危機爆發(fā)之后,公允價值會計成為全球經(jīng)濟發(fā)展的焦點話題。2009年6月17日,中國金融會計學會“公允價值應用與金融風險防范”學術研討會在北京舉行,會議提出要構建適合我國國情的公允價值會計改革制度,以防范和減少金融風險,更好地發(fā)揮會計信息的作用并完善我國的金融市場。會上還對公允價值會計對經(jīng)濟周期波動以及金融市場的影響等話題作了討論。鑒于公允價值計量帶給資本市場的較大風險(即較大的不確定性),公允價值信息的資本市場定價問題作為一個世界性難題,成為經(jīng)濟學術界討論的熱門話題。2013年1月12日,在中國人民大學召開了第17屆中國資本市場論壇,會議對資本市場的定價問題做了討論,提出我國的資本市場“出了問題”(市場估值偏低),而問題的核心在于資本市場的資本定價方面,彰顯出資本市場定價效率研究對我國具有重大意義。 本文的研究預期實現(xiàn)以下幾個目的：第一,探尋公允價值會計信息影響資本市場定價效率的理論基礎。從新準則的會計報告目標和有效市場假說出發(fā),探尋在對資本市場定價效率的影響方面,公允價值信息具有哪些特點以及公允價值會計信息對資本市場定價效率的傳導機理。第二,尋求公允價值會計信息的資本市場定價效率研究的經(jīng)驗證據(jù)。在理論分析的基礎上,主要是從價值相關性、風險相關性以及應計異象三個實證角度來考察公允價值信息的定價效率,以得出相應的經(jīng)驗證據(jù)。第三,分析公允價值信息表內(nèi)和表外披露的現(xiàn)狀,結合前文實證結論,提出相應的對策建議,并提出構建公允價值信息披露理論框架的設想。第四,通過理論分析、經(jīng)驗證據(jù)和相關信息披露研究,為我國新企業(yè)會計準則的實施、金融風險的防范以及投資者的決策等提供參考意見或建議。 全文分為三大部分展開論述： 第一至三章為第一部分,為全文的鋪墊。其中第一章為導論。這章主要介紹本文的研究背景、研究意義、研究思路、研究方法、研究框架以及文章的創(chuàng)新之處和不足之處。第二章為本文的文獻綜述。這章主要包括會計信息與資本市場定價效率、公允價值會計信息的價值相關性、風險信息定價效率以及公允價值會計信息與應計異象等文獻內(nèi)容。通過對現(xiàn)有文獻進行回顧和總結,并對已有文獻的評述,找出已有文獻中可用于借鑒的成果和不足,以助于確定本文的研究重點、主要內(nèi)容以及未來的研究方向。第三章為公允價值會計信息與資本市場定價效率研究的理論分析。本章分析了公允價值會計信息的特點和論述了公允價值會計信息對市場定價效率的傳導機理。這章內(nèi)容加上前述的文獻綜述部分,共同為后面三章的理論分析和實證內(nèi)容作出理論上的鋪墊。 第四至七章為第二部分。第四章為公允價值會計信息的價值相關性研究。主要通過理論分析和檔案式的實證研究,從價值相關性的角度回答“公允價值會計信息是否發(fā)揮了其應有的市場定價作用"和“對市場定價影響的程度如何”這兩個問題,重點考察不同公允價值計量程度下的會計信息(包括公允價值程度為O的剔除公允價值的每股賬面價值、公允價值變動每股賬面價值、公允價值程度為0的剔除公允價值的每股收益、公允價值變動導致的超額每股收益等)與資本市場股價和市場回報的相關性。第五章為公允價值盈余波動的風險相關性研究。主要通過理論分析和檔案式的實證研究,人為構建歷史成本凈利潤,從風險相關性的視角,考察歷史成本凈利潤、凈利潤和綜合收益總額這三類公允價值盈余的風險信息和兩類增量風險信息(即為凈利潤波動在歷史成本凈利潤波動之上的增量信息、綜合收益總額波動在凈利潤波動之上的增量信息)與資本市場股價和市場回報的相關性。這實質(zhì)上是對公允價值風險信息含量的考察。第六章是公允價值信息與應計異象研究。主要通過理論分析和檔案式的實證研究,考察歷史成本凈利潤、凈利潤以及綜合收益總額三類盈余及其成分的持續(xù)性,以及考察利用三類盈余信息,基于應計策略的投資者是否能夠顯著獲得超額回報的“應計異象”,從而為資本市場提供更多解釋應計異象的經(jīng)驗證據(jù)。第七章為定價效率下的公允價值信息披露的研究。包括公允價值信息披露的現(xiàn)狀、對策建議以及提出構建公允價值信息理論框架的設想,這部分需要結合前面三章的實證結論綜合分析。 第八章為全文的總結,為第三部分。包括全文的研究結論、不足之處以及對未來研究的展望。這是本文的最后一章,通過對全文的結論、觀點等進行綜合,提出了對投資者和相關政策機構的建議,并提出本論文存在的局限、不足之處以及未來研究展望。 通過相關理論分析、經(jīng)驗數(shù)據(jù)的檢驗以及信息披露研究的探討,本文的主要結論如下： 第一,公允價值會計信息對定價效率影響的理論基礎。 (1)可靠性質(zhì)疑和順周期效應是導致公允價值信息定價效率降低的關鍵。結合會計報告目標、會計信息特征分析了定價效率視角下公允價值計量的特點,我們歸結出公允價值具有相關性增強、可靠性受質(zhì)疑、具有順周期效應的特點,其中可靠性的質(zhì)疑源自公允價值第二層和第三層的計量誤差以及管理層的人為操作等行為,而順周期效應預示著公允價值可能給資本市場帶來的較大風險,這兩個因素是導致公允價值信息定價效率降低的關鍵所在。(2)信息觀和計量觀下具有不同的傳導機制。信息觀者強調(diào)信息的充分披露,主要根據(jù)資本市場上披露的會計信息的“信息含量”對公司的價值進行判斷和決策,但他們認為不同的計量模式以及混雜的信息、公允價值損益等不一定可靠,因此他們可能認為歷史成本計量的數(shù)據(jù)要更加可靠些,趨向于在歷史成本計量的財務報告基礎上進行資本市場定價分析。計量觀者認為會計報告的意義在于計量和報告全部或部分企業(yè)價值,提供投資者決策所使用的信息,強調(diào)“經(jīng)濟利潤”這個盈余和反映企業(yè)內(nèi)在價值的會計信息披露,因此趨向于在公允價值計量的財務報告基礎上進行資本定價分析。 第二,公允價值信息具有價值相關性。 (1)公允價值信息的價值相關性易受金融危機等資本市場環(huán)境的影響。因為本文在數(shù)據(jù)的選取上,采用的是金融危機之后后金融時代的數(shù)據(jù),實證結果整體表現(xiàn)出較弱的顯著性。我們認為理由在于：由于金融危機對全球資本市場造成了重大損失,受其影響我國證券市場投資者信心大失,股價一撅不振,因此我國資本市場會計信息與資本市場股市行情出現(xiàn)了偏差,資本市場發(fā)生了較大的定價錯誤。(2)金融類和非金融類公司存在不同的結論。在非金融上市公司,剔除公允價值的賬面價值(NBVE)的系數(shù)大于預測理論值1,表明股價和回報率更多地取決于剔除公允價值的賬面價值,公允價值相關信息的價值性含量相對較少。而在金融上市公司,NBVE的系數(shù)小于預測理論值1,股價和回報率更多地與公允價值賬面價值相連,這與金融企業(yè)存在較多公允價值計量的金融資產(chǎn)或負債這個本身的特點相符合。 第三,公允價值盈余波動具有風險相關性。 (1)金融業(yè)的股票回報率波動與盈余波動風險的相關系數(shù)是非金融業(yè)的38-52.5倍,說明金融業(yè)資本市場的投資風險對盈余波動的反應要比非金融業(yè)更為敏感。(2)凈利潤波動的信息和增量信息與資本市場的投資風險和價格存在顯著的相關關系,“凈利潤”科目仍是衡量資本市場的投資風險最核心的盈余指標。(3)綜合收益總額波動的信息和增量信息與資本市場的風險和價格具有相對較弱的顯著相關性,“綜合收益總額"科目是衡量資本市場的投資風險的重要盈余指標。(4)盈余波動、利率風險與股票回報率波動和股票價格顯著相關,是重要的風險因素。 第四,資本市場存在應計異象。 (1)綜合收益總額與凈利潤相比,盈余總額及應計利潤成分的持續(xù)性呈下降趨勢。(2)隨著公允價值計量程度的增加,盈余及其成分對未來一年的原始回報的預測力呈下降趨勢。(3)基于應計的套利策略的實證研究結論表明,資本市場仍然存在應計異象,主要是通過買入應計利潤程度最低的股票投資組合、賣出應計程度最高的投資組合,可以獲得5%左右的超額回報收益,這與在歷史成本凈利潤下采用同樣方式計算得出的超額市場回報10%(Sloan,1996)和7.4%(李遠鵬等,2007)相比,存在一定幅度的下降。這主要是從歷史成本凈利潤和凈利潤兩項盈余上得到的結論,而在綜合收益總額這項盈余下,該投資策略不能獲得顯著的超額回報。 本文的主要研究貢獻和創(chuàng)新之處在于： 第一,較為系統(tǒng)地分析了公允價值會計信息的資本市場定價效率的傳導機理。本文根據(jù)公允價值信息具有的相關性增強、可靠性質(zhì)疑以及順周期效應的特點,從信息觀和計量觀等兩個層次及整體層次上探討了公允價值信息的資本市場定價效率的傳導機理,為這方面的經(jīng)驗研究等奠定了一定的理論基礎。 第二,按照公允價值的計量程度,將盈余區(qū)分為自建的歷史成本凈利潤、凈利潤以及綜合收益總額這三類,將賬面價值、每股收益區(qū)分為剔除公允價值和包含公允價值變化的部分等。在這些基礎上,進一步考察了不同公允價值程度的會計信息的資本市場定價效率。這些做法為本文考察公允價值信息以及增量信息含量提供了較大的便利,值得為后文相關的經(jīng)驗研究所借鑒。 第三,將盈余波動作為公允價值風險信息的替代變量,對風險信息定價效率進行了探索性的實證研究,為金融風險的防范提供了極具價值的經(jīng)驗證據(jù)。我們認為公允價值盈余的波動作為風險也是重要的定價因素。并通過經(jīng)驗研究證實了我們的觀點：公允價值盈余波動信息具有資本市場的定價作用,無論是投資者投資決策還是準則制定機構制定政策都需要考慮這一因素。這為會計信息與資本市場定價效率的研究提供了新的視角和較有價值的經(jīng)驗證
[Abstract]:In the background of international convergence under the guidance of China carried out the reform of the accounting system, the accounting basis has experienced 2 big leap. The first leap in 2006 due to the "enterprise accounting standards" introduced the fair value measurement model.2006 year in February 15th the Ministry of Finance issued the "accounting standards for business enterprises, requiring listed companies in January 1, 2007 in the financial report to increase the application of fair value measurement. Based on the historical cost, fair value measurement has increased in financial instruments, investment property, debt restructuring, non monetary assets exchange standards. In addition the corresponding income statement profit and loss from fair value changes of the second leap of accounting subjects. In 2009 due to the Ministry of Finance issued" enterprise accounting standards Interpretation No. third ", requiring listed companies from January 1, 2009 onwards in the profit statement added" other comprehensive income "and" comprehensive income The total benefit subjects. At the same time in December of that year, the Ministry of Finance issued "on the implementation of accounting standards of listed companies and non-listed company to the 2009 annual report of the notice", to change the format of profit and loss balance sheet requirements, and the specific provisions of the relevant disclosure of comprehensive income.
In 1998 and 2008 after the outbreak of the international financial crisis, fair value accounting has become the focus of global economic development.2009 in June 17th, China learned "financial accounting of fair value and the financial risk prevention symposium held in Beijing, the meeting proposed to build our country's fair value accounting system reform, in order to prevent and reduce financial risks, better play the role of accounting information and improve China's financial market. It also discussed the fair value accounting of economic fluctuation and financial market impact and other topics. In view of a greater risk of fair value measurement to the capital market (i.e. greater uncertainty), the capital market pricing problem of fair value information as a worldwide problem, has become a hot academic topic in the discussion of economic.2013 in January 12th, the seventeenth held in Renmin University of China The China capital market forum, meeting on the capital market pricing problem is discussed, put forward China's capital market "is a problem" (market undervalued), the core of the problem lies in the capital pricing of capital market, highlights the research on pricing efficiency of capital market in China is of great significance.
This study is expected to achieve the following purposes: first, explores the theoretical basis of fair value accounting information affects the pricing efficiency of capital market. From the point of view of the new accounting standards accounting report targets and the efficient market hypothesis, explore the impact on the capital market pricing efficiency, fair value information conduction mechanism which features as well as the fair value of accounting information for the the capital market pricing efficiency. Second, empirical evidence on pricing efficiency of capital market for fair value accounting information. On the basis of theoretical analysis, mainly from the value relevance, risk correlation and accrual anomaly three empirical perspective of fair value information pricing efficiency, to draw the relevant empirical evidence. Third. The analysis of fair value information disclosure status table and table, combined with the empirical results, put forward corresponding countermeasures and suggestions, and put forward. The idea of establishing the theoretical framework of fair value information disclosure is discussed. Fourth, through theoretical analysis, empirical evidence and information disclosure research, we will provide references and suggestions for the implementation of new accounting standards, financial risk prevention and investors' decision making in China.
The full text is divided into three parts:
The first to the three chapter is the first part, is the foundation. The first chapter is introduction. This chapter mainly introduces the research background, research significance, research ideas, research methods, research framework and the innovation and deficiencies. The second chapter is the literature review. This chapter mainly includes the pricing efficiency of accounting information with the capital market, the value relevance of fair value accounting information, risk information pricing efficiency and the fair value of accounting information and the accrual anomaly literature content. Based on the existing literature review and summary, and review of literatures, find out the existing literature can be used for reference of the achievements and shortcomings in order to help determine the focus of this study the main contents and directions for future research. The third chapter is the analysis of the efficiency value of accounting information and capital market fair pricing theory. This chapter analyzes the fair value The characteristics of information and the transmission mechanism of fair value accounting information to the market pricing efficiency are discussed. The content of this chapter plus the foregoing literature review part lays a theoretical foundation for theoretical analysis and empirical content of the three chapters.
The fourth to the seven chapter is the second part. The fourth chapter is the research on the value relevance of fair value accounting information. Through theoretical analysis and empirical research archives, from the point of view of value relevance of fair value accounting information to answer whether or not to play its due role of market pricing "and" how to "impact on the market price of the two degree a problem, focus on the different degree of fair value measurement of accounting information (including the book value per share, the fair value of the extent of O eliminated the fair value of the book value per share, the changes in the fair value of fair value of 0 earnings per share excluding fair value, fair value changes in excess earnings per share in correlation with capital etc.) market shares and market returns. The fifth chapter is the research on the relevance of fair value earnings volatility risk. The research mainly through empirical analysis and theory of file The historical cost of net profit, human construction, from the risk perspective, examines the historical cost of net profit, net profit and total comprehensive income for the three kinds of fair value earnings risk information and two kinds of incremental risk information (i.e. fluctuations in net profit for the incremental information, historical cost in the fluctuation of net profit of the total comprehensive income fluctuation increment the information on the net profit volatility correlation with capital market price) and the market return. This is essentially a study of the fair value of the risk information content. The sixth chapter is the research on fair value information and vision meter. Mainly through the theoretical analysis and empirical research archives, historical cost net profit, persistent net profit and total comprehensive income of three kinds of earnings and its components, and the use of three types of earnings information, whether accrued strategy investors can obtain excess returns significantly "should be based on The accrual anomaly ", so as to provide more empirical evidence to explain the accrual anomaly for the capital market. The seventh chapter is the research on information disclosure of fair value pricing efficiency under the fair value. Including the current situation of information disclosure, and puts forward the countermeasures and suggestions to construct the theoretical framework of fair value information, this part should be integrated with the empirical analysis conclusion in front of three chapter.
The eighth chapter is the conclusion of this thesis, including third parts. The main conclusions, shortcomings and prospects for future research. This is the last chapter of this paper, based on the conclusion of the paper, such as a comprehensive view, put forward the related policy suggestions for investors and institutions, and puts forward the limitations. Shortcomings and future research prospects.
Through the analysis of relevant theories, the test of empirical data and the study of information disclosure, the main conclusions of this paper are as follows:
First, the theoretical basis of the impact of fair value accounting information on pricing efficiency.
(1) questioned the reliability and the procyclical effects of fair value information is the key cause lower pricing efficiency. With the goal of accounting reports, accounting information characteristics analysis of the characteristics of the perspective of fair value pricing efficiency, we summed up the fair value associated with enhanced reliability by the question, has the characteristics of cyclical effect, artificial operation etc. the reliability of the question from the fair value of the second layer and the third layer of the measurement error and the management, and the cyclical effect indicates that fair value may be greater risks to the capital market, the two factors are the key cause of decrease of fair value information pricing efficiency. (2) has a different view of information transmission mechanism and the measurement perspective. The audience full disclosure of information on information, mainly based on the capital market accounting information disclosure of the information content of the value of the company For judgment and decision making, but they think the different measurement model and hybrid information, not necessarily reliable fair value gains and losses, so they may think that the historical cost measurement data are more reliable, tend to financial report based on the historical cost measurement analysis on capital market pricing. The measurement of accounting report viewer that is the measurement and reporting of all or part of the value of the enterprise, provide investors decision-making information, emphasizing the "economic profit" and the earnings reflect the intrinsic value of the enterprise accounting information disclosure, it tends to financial report in the fair value measurement based on capital pricing analysis.
Second, the fair value information has the value relevance.
(1) the value relevance of fair value information is easily affected by the financial crisis and the environment of capital market. Because of this in the selection of the data, using the data of the financial times after the financial crisis, the empirical results showed that the overall weak. We think the reason is: because of the financial crisis has caused great losses to the world under the influence of the capital market, China stock market investor confidence, the stock price depressed, so the stock market of China's capital market accounting information and capital market appeared deviation, the pricing error larger capital market. (2) there are different conclusions of financial and nonfinancial companies in non. The financial listed companies, the book value excluding fair value (NBVE) of the coefficient is larger than the predicted value of 1 indicates that the book value of shares and the rate of return depends more on the elimination of fair value, fair value The value of information content is relatively small. But in the financial listed companies, the NBVE coefficient is less than the predicted value of 1, the stock price and the rate of return is more fair value and book value is consistent with the characteristics of financial enterprises have more fair value of financial assets or liabilities of the itself.
Third, the volatility of the fair value surplus has a risk correlation.
(1) the correlation coefficient of the financial industry stock return volatility and earnings volatility risk is 38-52.5 times of the financial industry, the financial industry shows that the capital market investment risk to earnings volatility reaction is more sensitive than non financial industry. (2) there is a significant correlation between net profit volatility and information increment of information and capital the investment risk of the market and price, "the core net profit earnings index" is a measure of the capital market subject to investment risk. (3) the total comprehensive income fluctuation information and incremental information and capital market risk and price was significantly correlated with the relatively weak, "comprehensive income" is an important measure of capital account surplus the investment risk of the market. (4) earnings volatility, interest rate risk and stock return volatility and stock price correlation, are important risk factors.
Fourth, there is a difference in the capital market.
(1) the total comprehensive income compared with the total net profit, earnings and decrease persistent accruals components was. (2) with the increase of the fair value measurement of the degree of predictive power of earnings and its components on a year ahead of the original return decreased. (3) showed that the conclusions of the empirical study of arbitrage strategy accrued based on the capital market is still the accrual anomaly, mainly by buying the accrued profit with the lowest level of stock portfolio, selling accrued the highest degree of portfolio can get about 5% of excess returns, and that in the history of the net profit under the same calculated excess market returns (10% Sloan, 1996) and 7.4% (Li yepo, 2007) compared to decline in a certain range. This is mainly derived from the historical cost of net profit and net profit of two knots on earnings

【學位授予單位】：西南財經(jīng)大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F233;F832.51;F830.42

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