本文選題：業(yè)績(jī)預(yù)告　切入點(diǎn)：信息含量　出處：《上海外國語大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：業(yè)績(jī)預(yù)告制度的制定、完善和發(fā)展可以使投資者及時(shí)判斷證券的投資價(jià)值,降低信息不對(duì)稱程度。因此從理論上講,這樣的制度設(shè)計(jì)有利于提高證券市場(chǎng)的信息透明度,改善信息不對(duì)稱程度。那么在現(xiàn)實(shí)中,我國上市公司業(yè)績(jī)預(yù)告的信息含量如何?是否真的可以為投資者帶來新的信息,從而改善信息不對(duì)稱的情況?對(duì)于這個(gè)問題,國內(nèi)外研究者進(jìn)行了很多研究,不僅在數(shù)量上可觀,而且在研究?jī)?nèi)容上也趨于從多角度進(jìn)行研究,得出了許多有價(jià)值的結(jié)論。2013年中共十八屆三中全會(huì)提出的“推進(jìn)股票發(fā)行注冊(cè)制改革”,這對(duì)股票市場(chǎng)來說意義深遠(yuǎn)。2015年后,注冊(cè)制改革在全面深化改革的戰(zhàn)略指導(dǎo)下漸漸開始實(shí)行,這對(duì)業(yè)績(jī)預(yù)告制度的完善提出了新的要求。本文旨在在我國業(yè)績(jī)預(yù)告制度背景下研究我國上市公司業(yè)績(jī)預(yù)告的信息含量問題。根據(jù)研究需要,本文收集了2013-2014年滬深兩市A股上市公司的業(yè)績(jī)預(yù)告相關(guān)信息,利用事件研究法,對(duì)樣本公司在業(yè)績(jī)預(yù)告發(fā)布前后10個(gè)交易日內(nèi)的累計(jì)超額收益率(CAR)進(jìn)行了實(shí)證分析,從整體上分析了我國上市公司業(yè)績(jī)預(yù)告的信息含量。在事件研究法的基礎(chǔ)上,以業(yè)績(jī)報(bào)告性質(zhì)和預(yù)告類型為自變量,累計(jì)超額收益率(CAR)為因變量,建立回歸模型,對(duì)業(yè)績(jī)預(yù)告包含的信息進(jìn)行了進(jìn)一步分析。通過實(shí)證研究,本文得出以下結(jié)論:第一,從整體上看,我國上市公司業(yè)績(jī)預(yù)告具有良好的信息含量,能夠引起市場(chǎng)反應(yīng)。其中,好消息類業(yè)績(jī)預(yù)告呈現(xiàn)影響持續(xù)時(shí)間長(zhǎng),波動(dòng)幅度小的特點(diǎn);壞消息類業(yè)績(jī)預(yù)告呈現(xiàn)影響持續(xù)時(shí)間短,但是市場(chǎng)反應(yīng)強(qiáng)烈的特點(diǎn)。第二,從業(yè)績(jī)預(yù)告包含的信息看,業(yè)績(jī)變動(dòng)幅度具有較好的信息含量,尤其是以數(shù)值形式披露的業(yè)績(jī)變動(dòng)幅度,能夠引起市場(chǎng)的顯著反應(yīng)。基于眾多文獻(xiàn)的基礎(chǔ)上,本文的創(chuàng)新點(diǎn)如下:第一,多數(shù)對(duì)業(yè)績(jī)預(yù)告信息含量的研究止步于事件研究法結(jié)合T檢驗(yàn),本文在這個(gè)方法的基礎(chǔ)上,根據(jù)相關(guān)文獻(xiàn)提出了回歸模型,運(yùn)用回歸分析的方法進(jìn)一步來說明業(yè)績(jī)預(yù)告的信息含量問題。第二,本文在建立回歸模型時(shí),本文選擇業(yè)績(jī)預(yù)告中最重要的披露內(nèi)容,即業(yè)績(jī)變動(dòng)幅度作為控制變量,研究業(yè)績(jī)變動(dòng)幅度對(duì)市場(chǎng)產(chǎn)生的影響。除此之外,還引入了凈資產(chǎn)收益率、資產(chǎn)負(fù)債率、現(xiàn)金總資產(chǎn)比和公司規(guī)模等作為其余的控制變量,利用回歸模型研究不同報(bào)告性質(zhì)和預(yù)告類型的業(yè)績(jī)預(yù)告的信息含量。
[Abstract]:The establishment, perfection and development of the performance forecasting system can enable investors to judge the investment value of securities in a timely manner and reduce the degree of information asymmetry. Therefore, theoretically speaking, such a system design is conducive to improving the transparency of information in the securities market. Improve the degree of information asymmetry. In reality, what is the information content of the performance forecast of listed companies in China? Is it really possible to bring new information to investors, thereby improving information asymmetries? For this problem, researchers at home and abroad have carried out a lot of research, not only in terms of quantity, but also in the content of the research, which tends to be studied from various angles. Many valuable conclusions have been drawn. The third Plenary session of the 18 CPC Central Committee in 2013 proposed "advancing the reform of the registration system of stock issuance", which has far-reaching implications for the stock market. After 2015, The reform of the registration system has gradually begun to be implemented under the guidance of the strategy of comprehensively deepening the reform. The purpose of this paper is to study the information content of the performance forecast of listed companies in China under the background of the performance forecast system. This paper collects the relevant information about the performance forecast of A-share listed companies in Shanghai and Shenzhen stock markets in 2013-2014, and makes an empirical analysis on the cumulative excess return rate (CARR) of the sample companies within 10 trading days before and after the announcement of the forecast by using the method of event study. This paper analyzes the information content of the performance forecast of listed companies in China. Based on the method of event research, the regression model is established with the nature and type of performance report as independent variables and the cumulative excess return rate as dependent variable. Through the empirical research, this paper draws the following conclusions: first, on the whole, the performance forecast of listed companies in China has a good information content, which can cause market reaction. Good news performance forecast shows the characteristics of long duration and small volatility; bad news performance forecast shows the characteristics of short duration, but strong market reaction. Second, from the information contained in the performance forecast, the bad news class shows the characteristics of short duration, but strong market reaction. Second, from the perspective of the information contained in the performance forecast, The range of performance change has good information content, especially the range of performance change in the form of numerical disclosure, which can cause significant market reaction. Based on many literatures, the innovations of this paper are as follows: first, Most of the research on the information content of performance forecast stops at the combination of event research and T test. Based on this method, a regression model is put forward according to the relevant literature. The method of regression analysis is used to further explain the information content of the performance forecast. Secondly, this paper chooses the most important disclosure content in the performance forecast, that is, the range of the performance change as the control variable, when establishing the regression model. In addition, we introduce the return on net assets, the ratio of assets to liabilities, the ratio of total cash to assets and the size of the company as the remaining control variables. A regression model is used to study the information content of performance forecast with different reporting properties and types.
【學(xué)位授予單位】：上海外國語大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51;F275

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