【作者】 黄晓芝；

【导师】 谭洪涛；

【作者基本信息】 西南财经大学 ， 财务管理， 2014， 博士

【摘要】 在国际趋同背景的指引下我国进行了会计制度的改革,使得会计确认基础经历了2次大的“飞跃”。第一次飞跃起因于2006年《企业会计准则》引入公允价值计量模式。2006年2月15日财政部发布《企业会计准则》,要求上市公司在2007年1月1日起在财务报告中加大公允价值计量的应用。在历史成本计量的基础上,公允价值计量增加了在金融工具、投资性房地产、债务重组、非货币性资产交换准则中的应用。相应在利润表增设“公允价值变动损益”的会计科目。第二次飞跃起因于2009年财政部发布《企业会计准则解释第3号》,要求上市公司从2009年1月1日起在利润表增设“其他综合收益”和“综合收益总额”科目。同时在当年的12月,财政部又颁布了《关于执行会计准则的上市公司和非上市公司做好2009年年报工作的通知》,对利润表和损益表的格式要求作出修改,并具体规定了综合收益项目的相关披露工作。在1998年和2008年国际金融危机爆发之后,公允价值会计成为全球经济发展的焦点话题。2009年6月17日,中国金融会计学会“公允价值应用与金融风险防范”学术研讨会在北京举行,会议提出要构建适合我国国情的公允价值会计改革制度,以防范和减少金融风险,更好地发挥会计信息的作用并完善我国的金融市场。会上还对公允价值会计对经济周期波动以及金融市场的影响等话题作了讨论。鉴于公允价值计量带给资本市场的较大风险(即较大的不确定性),公允价值信息的资本市场定价问题作为一个世界性难题,成为经济学术界讨论的热门话题。2013年1月12日,在中国人民大学召开了第17届中国资本市场论坛,会议对资本市场的定价问题做了讨论,提出我国的资本市场“出了问题”(市场估值偏低),而问题的核心在于资本市场的资本定价方面,彰显出资本市场定价效率研究对我国具有重大意义。本文的研究预期实现以下几个目的：第一,探寻公允价值会计信息影响资本市场定价效率的理论基础。从新准则的会计报告目标和有效市场假说出发,探寻在对资本市场定价效率的影响方面,公允价值信息具有哪些特点以及公允价值会计信息对资本市场定价效率的传导机理。第二,寻求公允价值会计信息的资本市场定价效率研究的经验证据。在理论分析的基础上,主要是从价值相关性、风险相关性以及应计异象三个实证角度来考察公允价值信息的定价效率,以得出相应的经验证据。第三,分析公允价值信息表内和表外披露的现状,结合前文实证结论,提出相应的对策建议,并提出构建公允价值信息披露理论框架的设想。第四,通过理论分析、经验证据和相关信息披露研究,为我国新企业会计准则的实施、金融风险的防范以及投资者的决策等提供参考意见或建议。全文分为三大部分展开论述：第一至三章为第一部分,为全文的铺垫。其中第一章为导论。这章主要介绍本文的研究背景、研究意义、研究思路、研究方法、研究框架以及文章的创新之处和不足之处。第二章为本文的文献综述。这章主要包括会计信息与资本市场定价效率、公允价值会计信息的价值相关性、风险信息定价效率以及公允价值会计信息与应计异象等文献内容。通过对现有文献进行回顾和总结,并对已有文献的评述,找出已有文献中可用于借鉴的成果和不足,以助于确定本文的研究重点、主要内容以及未来的研究方向。第三章为公允价值会计信息与资本市场定价效率研究的理论分析。本章分析了公允价值会计信息的特点和论述了公允价值会计信息对市场定价效率的传导机理。这章内容加上前述的文献综述部分,共同为后面三章的理论分析和实证内容作出理论上的铺垫。第四至七章为第二部分。第四章为公允价值会计信息的价值相关性研究。主要通过理论分析和档案式的实证研究,从价值相关性的角度回答“公允价值会计信息是否发挥了其应有的市场定价作用"和“对市场定价影响的程度如何”这两个问题,重点考察不同公允价值计量程度下的会计信息(包括公允价值程度为O的剔除公允价值的每股账面价值、公允价值变动每股账面价值、公允价值程度为0的剔除公允价值的每股收益、公允价值变动导致的超额每股收益等)与资本市场股价和市场回报的相关性。第五章为公允价值盈余波动的风险相关性研究。主要通过理论分析和档案式的实证研究,人为构建历史成本净利润,从风险相关性的视角,考察历史成本净利润、净利润和综合收益总额这三类公允价值盈余的风险信息和两类增量风险信息(即为净利润波动在历史成本净利润波动之上的增量信息、综合收益总额波动在净利润波动之上的增量信息)与资本市场股价和市场回报的相关性。这实质上是对公允价值风险信息含量的考察。第六章是公允价值信息与应计异象研究。主要通过理论分析和档案式的实证研究,考察历史成本净利润、净利润以及综合收益总额三类盈余及其成分的持续性,以及考察利用三类盈余信息,基于应计策略的投资者是否能够显著获得超额回报的“应计异象”,从而为资本市场提供更多解释应计异象的经验证据。第七章为定价效率下的公允价值信息披露的研究。包括公允价值信息披露的现状、对策建议以及提出构建公允价值信息理论框架的设想,这部分需要结合前面三章的实证结论综合分析。第八章为全文的总结,为第三部分。包括全文的研究结论、不足之处以及对未来研究的展望。这是本文的最后一章,通过对全文的结论、观点等进行综合,提出了对投资者和相关政策机构的建议,并提出本论文存在的局限、不足之处以及未来研究展望。通过相关理论分析、经验数据的检验以及信息披露研究的探讨,本文的主要结论如下：第一,公允价值会计信息对定价效率影响的理论基础。(1)可靠性质疑和顺周期效应是导致公允价值信息定价效率降低的关键。结合会计报告目标、会计信息特征分析了定价效率视角下公允价值计量的特点,我们归结出公允价值具有相关性增强、可靠性受质疑、具有顺周期效应的特点,其中可靠性的质疑源自公允价值第二层和第三层的计量误差以及管理层的人为操作等行为,而顺周期效应预示着公允价值可能给资本市场带来的较大风险,这两个因素是导致公允价值信息定价效率降低的关键所在。(2)信息观和计量观下具有不同的传导机制。信息观者强调信息的充分披露,主要根据资本市场上披露的会计信息的“信息含量”对公司的价值进行判断和决策,但他们认为不同的计量模式以及混杂的信息、公允价值损益等不一定可靠,因此他们可能认为历史成本计量的数据要更加可靠些,趋向于在历史成本计量的财务报告基础上进行资本市场定价分析。计量观者认为会计报告的意义在于计量和报告全部或部分企业价值,提供投资者决策所使用的信息,强调“经济利润”这个盈余和反映企业内在价值的会计信息披露,因此趋向于在公允价值计量的财务报告基础上进行资本定价分析。第二,公允价值信息具有价值相关性。(1)公允价值信息的价值相关性易受金融危机等资本市场环境的影响。因为本文在数据的选取上,采用的是金融危机之后后金融时代的数据,实证结果整体表现出较弱的显著性。我们认为理由在于：由于金融危机对全球资本市场造成了重大损失,受其影响我国证券市场投资者信心大失,股价一撅不振,因此我国资本市场会计信息与资本市场股市行情出现了偏差,资本市场发生了较大的定价错误。(2)金融类和非金融类公司存在不同的结论。在非金融上市公司,剔除公允价值的账面价值(NBVE)的系数大于预测理论值1,表明股价和回报率更多地取决于剔除公允价值的账面价值,公允价值相关信息的价值性含量相对较少。而在金融上市公司,NBVE的系数小于预测理论值1,股价和回报率更多地与公允价值账面价值相连,这与金融企业存在较多公允价值计量的金融资产或负债这个本身的特点相符合。第三,公允价值盈余波动具有风险相关性。(1)金融业的股票回报率波动与盈余波动风险的相关系数是非金融业的38-52.5倍,说明金融业资本市场的投资风险对盈余波动的反应要比非金融业更为敏感。(2)净利润波动的信息和增量信息与资本市场的投资风险和价格存在显著的相关关系,“净利润”科目仍是衡量资本市场的投资风险最核心的盈余指标。(3)综合收益总额波动的信息和增量信息与资本市场的风险和价格具有相对较弱的显著相关性,“综合收益总额"科目是衡量资本市场的投资风险的重要盈余指标。(4)盈余波动、利率风险与股票回报率波动和股票价格显著相关,是重要的风险因素。第四,资本市场存在应计异象。(1)综合收益总额与净利润相比,盈余总额及应计利润成分的持续性呈下降趋势。(2)随着公允价值计量程度的增加,盈余及其成分对未来一年的原始回报的预测力呈下降趋势。(3)基于应计的套利策略的实证研究结论表明,资本市场仍然存在应计异象,主要是通过买入应计利润程度最低的股票投资组合、卖出应计程度最高的投资组合,可以获得5%左右的超额回报收益,这与在历史成本净利润下采用同样方式计算得出的超额市场回报10%(Sloan,1996)和7.4%(李远鹏等,2007)相比,存在一定幅度的下降。这主要是从历史成本净利润和净利润两项盈余上得到的结论,而在综合收益总额这项盈余下,该投资策略不能获得显著的超额回报。本文的主要研究贡献和创新之处在于：第一,较为系统地分析了公允价值会计信息的资本市场定价效率的传导机理。本文根据公允价值信息具有的相关性增强、可靠性质疑以及顺周期效应的特点,从信息观和计量观等两个层次及整体层次上探讨了公允价值信息的资本市场定价效率的传导机理,为这方面的经验研究等奠定了一定的理论基础。第二,按照公允价值的计量程度,将盈余区分为自建的历史成本净利润、净利润以及综合收益总额这三类,将账面价值、每股收益区分为剔除公允价值和包含公允价值变化的部分等。在这些基础上,进一步考察了不同公允价值程度的会计信息的资本市场定价效率。这些做法为本文考察公允价值信息以及增量信息含量提供了较大的便利,值得为后文相关的经验研究所借鉴。第三,将盈余波动作为公允价值风险信息的替代变量,对风险信息定价效率进行了探索性的实证研究,为金融风险的防范提供了极具价值的经验证据。我们认为公允价值盈余的波动作为风险也是重要的定价因素。并通过经验研究证实了我们的观点：公允价值盈余波动信息具有资本市场的定价作用,无论是投资者投资决策还是准则制定机构制定政策都需要考虑这一因素。这为会计信息与资本市场定价效率的研究提供了新的视角和较有价值的经验证更多还原

【Abstract】 With the guidance of international convergence, China carried out the reform of the accounting system, and Accounting recognition basis has experienced two major "leap". The first leap in2006due to the fair value measurement used in the accounting standards. On February15,2006,the Ministry of Finance issued "Accounting Standards for Business Enterprises" and required listed companies to enlarge the application of fair value measurement in the financial reports from January1,2007. On the basis of historical cost measurement, fair value measurement increased application in financial instruments, real estate investment, debt restructuring, and non-monetary assets exchange. At the same time, it adds the "Gains and Losses of Fair Value Changes" account in the income statement. The second leap in2009due to the "Interpretation of the Accounting Standards No.3" issued by Ministry of Finance. The interpretation required listed companies to set up "Other Comprehensive Income" and "Total Comprehensive Income" in income statement from January1,2009. In the same year in December, Ministry of Finance promulgated the "Notice on Well-done on Annual Reports of2009in Listed and Non-listed Companies Carrying Out Accounting Standards", which revised the format of income statement and stipulated the disclosure of the total comprehensive income.After international finance crisis broken out in1998and2008, fair value accounting has become the focus topic of global economic development. On June17,2009,"Fair Value Applications and Financial Risk Prevention" academic seminar of China’s Financial Accounting Institute held in Beijing. The seminar proposed to build a fair value accounting reform system suited to China’s actual situation in order to prevent and reduce financial risks, and play the role of accounting information better and improve our financial market. There was also discussion on the influence of fair value accounting to the economic cycle, as well as to financial markets. Considering the greater risk of fair value measurement to the capital market (i.e. greater uncertainty), the issue of capital market pricing problems of fair value information as a difficult problem in the world, becomes a hot topic to discuss in economic academic area. On January12,2013, the17th China capital market Forum held in Renmin University. The meeting discussed the pricing problem of capital market, and proposed our country’s capital market had "problems"(the market appraisement lower than normal). The core of the problem lies on the capital pricing of capital market, and shows that the significance of capital market pricing efficiency studies.This study is expected to achieve the following purposes:firstly, it tries to explore the theoretical basis of pricing efficiency in capital market influenced by fair value accounting information. Proceed from the accounting objective and efficient market hypothesis of new standards, the study discusses the characteristics of fair value information and conduction mechanism of the information acted on the pricing efficiency of capital market in the side of influence of pricing efficiency. Secondly, it explores the empirical evidences of capital market pricing efficiency of fair value accounting information. Based on the theoretical analysis, it inspects the pricing efficiency of fair value information mainly from the perspective of value relevance, risk relevance and accrued anomalies, and gains the empirical evidences. Thirdly, it analyzes the current situation of in or off-balance sheet information of fair value information, and puts forward the proposal after combining to the former conclusion. And it presents the imagine of constructing the theoretical framework of disclosure on fair value information. Lastly, the study puts forward suggestions on implement of accounting standards, precaution of financial risk and decision of investors via analyzing on theory, empirical evidences and research on disclosure of relative information.The study includes three sections:The first section includes the chapter1to3and it is the base of the paper. Chapter1is the introduction. The chapter introduces the research background, significance, route, methods, framework and innovation points and weakness. Chapter2is literature review. It includes the literature of accounting information and capital market pricing efficiency, value relevance of fair value accounting information, risk information pricing efficiency, as well as the fair value accounting information and accrued anomalies. By means of reviewing, summing and analyzing of existed research, it finds out the achievement and insufficient. And it contributes to determine the research emphasis, main contents and direction. Chapter3is the theoretical analysis of fair value and capital market pricing efficiency. It analyzes the features of fair value information, and discusses the conduction mechanism of fair value information to market pricing efficiency. Combined to the reviews of relative literatures, it is the bases of the latter3chapters.The second section includes the chapter4to7. Chapter4is the research on value relevance of fair value accounting information. The part based on theoretical analysis and empirical study, replies two questions from the view of value relevance:one is whether the fair value accounting information play a role of market pricing or not, the other is the effect degree of fair value information. And it put emphasis on the accounting information of different degree of fair value (includes market value per share without fair value, market value per share when fair value changed, etc.). Chapter5is the research on risk relevance of fair value earning variance. The chapter constructs historical cost net income artificially, and discusses the risk information and increment risk information of historical cost net income, net income and comprehensive income from the view of risk relevance(i.e. increment information of both net income fluctuation on historical cost net income fluctuation, and comprehensive income fluctuation on net income), by using the theoretical analysis and archive study. Chapter6is the study on the accrued anomalies. The chapter discusses the historical cost net income, net income and comprehensive income, and their persistence, using the same methods as the previous chapter. It also discusses whether existing the accrued anomalies that the investors gain the abnormal return by using the information of the three kinds of earning information. And the result provides more empirical evidences on explaining the accrued anomalies of capital market. Chapter7is the study on pricing efficiency under disclosure of fair value information. The chapter includes the current situation and strategy of disclosure of fair value information, and puts forward the imagine of constructing fair value information theoretical framework. It should be based on the conclusion of the former three chapters.Through theory analysis, data examination and study of information disclosure, empirical discussed the main conclusions of the in this article are as follows:First, the theoretical basis of the fair value accounting information on the impact of pricing efficiency.(1)The key cause of the fair value information with lower pricing efficiency is that reliability suspected and pro-cyclical effects. The characteristics of fair value measured. With accounting objectives and characteristics of accounting information, I analyze the characteristics of the fair value measurement in pricing efficiency perspective. This paper summarize that the enhanced relevance, reliability suspected and pro-cyclical effects are the characteristics of fair value. The reasons of the reliability suspected are the measurement error of the fair value in the second and third tiers and management manipulate. Pro-cyclical effects indicate that the fair value may bring a greater risk to the capital markets. These two factors led to lower the pricing efficiency of fair value.(2)There are different transmission mechanism with the information perspective and measurement perspective. Scholars of the information perspective emphasize full disclosure of information. According to the "information content" of accounting information disclosure to judge the value of the company, they think that different measurement modes, mixed messages and gain or loss may not be reliable. So they may think that measured with historical cost is more reliable, they are more willing to analyze the capital market pricing by the financial statements with the historical cost. Scholars of the measured perspective think that the significance of accounting reports are measure and report all or part of the company value, and providing information for investors. They emphasize the economic profit and the accounting information disclosure on company’s intrinsic value. So they are more willing to analyze the capital market pricing by the financial statements with the fair value measured.Second, the fair value information has value relevance(1) The capital market environment likely to be impact on the value relevance of fair value, such as the financial crisis. Because the data in this paper selected after the financial crisis, the empirical results overall were significantly weaker. We believe the following reasons:the financial crisis on the global capital markets caused significant damage, it prompting the investor lack of confidence in the stock market and stock prices fell. Therefore there are some deviations between the accounting information and the stock market in China’s capital market.Financial and non-financial companies have different specific conclusions. In the non-financial listed companies, excluding the fair value’s book value (NBVE) coefficients greater than the predicted value1, indicating that the stock and rates of return depends more on excluding the fair value’s book value. The fair value of the information content value is relatively small. In the financial listed companies, the coefficient of NBVE is less than the predicted theoretical value1, the stock price more connected to the fair value’s book value. This is consistent with that the financial firms have more financial assets or liabilities measured at fair value.Third, the surplus fluctuations of the fair value has the risk correlation.(1)We find that the reaction of investment risk in the financial industry to earnings volatility is more sensitive than that in nonfinancial industries.(2)Furthermore, a significant correlation is documented between information including the incremental information of the net income volatility and investment risk including the stock price in the capital market.Net income is the core measure of earnings for investment risk in the capital market.(3)there is a significant but weaker correlation between the information including the incremental information of the comprehensive income volatility and investment risk including the stock price in the capital market. Our empirical evidence shows that the comprehensive income is an important measure of earnings for investment risk in the capital market.(4)Earnings volatility, interest rate risk was significantly correlated with stock price volatility and stock prices is important risk factors.Fourth, there is accrual anomaly in the capital markets.(1) Total comprehensive income compared to the net profit, earnings and total accruals persistent downward trend.(2) With the increase in the extent of the fair value measurement, earnings for next year’s forecast return persistent downward trend Base on the study of accrual empirical research indicate that there is accrual anomaly in the capital markets. They buy the least accruals stock portfolio, selling the highest level of accrual portfolio. They can get excess returns about5%, which is lower than using the same way with the historical cost10%and7.4%. This is mainly based on the net income and net earnings to get these conclusions. However, the investment strategy of the total comprehensive income does not achieve significant excess returns.The main research contributions and innovations of this paper as follows:First, this paper systematically analyzes the transmission mechanism of the fair value accounting information on the market pricing efficiency.Based on that the fair value information have strong correlation, reliability suspected and pro-cyclical effects,this paper discusses the transmission mechanism in information perspective,measured perspective and the overall level,laid the theoretical foundation of this later research experience.Second,by the extent of at fair value the surplus is divided into the historical cost net profit, current net profit and total comprehensive income.the book value and the surplus is respectively divided into parts of excluding fair value and fair value change,etc. On the basis of these, i further investigated market pricing efficiency of fair value accounting information is divided by the different degree.These provide the basis for the later empirical incremental about the fair value information and incremental information content. Later studies worth learning experience.Third, this paper will earnings volatility as a proxy for the risk of fair value information and do the empirical research on the risk information content of the fair value, and provides valuable empirical evidence to guard against financial risks. This paper argues that fluctuations in the surplus of the fair value as a risk are also important pricing factors. And through empirical research confirms our view:The fluctuations in the surplus of the fair value have the pricing fluctuations in capital market. The investors and standard setters need to consider this factor. This provides a new perspective and more valuable empirical evidence for the study of accounting information and pricing efficiency of capital markets.更多还原