【作者】 潘世平；

【导师】 梅世强；

【作者基本信息】 天津大学 ， 会计学， 2008， 硕士

【摘要】 本文主要研究盈余反应系数的非线性问题。首先分析ERC线性模型的理论缺陷,引出盈余反应系数的非线性理论研究。然后,在总结国内外研究结论的基础上,联系我国上市公司实际,采用事项研究法,运用二次曲线模型对ERC的非线性进行了总体与分段研究,并与线性模型作了相应比较。论文选取2003-2006年沪深两市A股制造业上市公司1458个样本,从总体和正负各分段区间上,对模型中两个主要变量未预期盈余和累计超额股票回报做了描述性统计分析,同时对盈余反应系数的线性与非线性模型进行了实证检验。得出非线性模型在总体与负区间上,比线性模型更能反应会计盈余信息,验证了会计盈余信息决策的有用性,显示了ERC的亏损与非线性边际效应,即盈余持续性与ERC负相关,未预期盈余绝对水平越高,盈余持续性越低,盈余反应系数也就越低。而只在一小部分正区间内,线性模型比非线性模型表现得更好。大部分正区间内,线性模型与非线性模型均不能很好地对ERC进行回归。说明市场对“好消息”和“坏消息”的反应具有非对称性,投资者对“利好消息”反应不敏感。相比盈余信息,亏损信息的预测对投资者来说更及时。考虑到非线性问题在我国的适用性问题、样本选择以及盈余反应系数研究的复杂性,论文最后指出了今后研究需要进一步改进的地方。更多还原

【Abstract】 This paper focuses on non-linear research of earnings response coefficient. Firstly, the defects in theory of linear model leads to a surplus of non-linear theoretical research. Secondly, in summing up the conclusion of the study at home and abroad and on the basis of actual contact listed companies in China, this article uses fact research, and the second curve model of the ERC to the overall non-linearity and sub-studies, in the other, lists a corresponding comparison of linear model.After selecting 1,458 samples in A-share manufacturing listed companies of the Shanghai and Shenzhen exchanges from 2003 to 2006, the author gives the descriptive statistics of unexpected earnings and accumulative abnormal stock return in the whole range of plus and minus subparagraphs, At the same time, the paper makes the study of linear and non-linear model on earnings response coefficient for Positive Test. In the whole range of plus and minus subparagraphs, the non-linear model is better than the linear model for information of accounting earnings. This shows the usefulness of the information policy in accounting earnings, also, shows the loss and non-linear of that marginal effect on the ERC. On the other, only within the small range, the performance of linear model is better than non-linear model. Within most range, neither liner nor non-linear model can be good for the reunification of the ERC. The response of non-symmetry for the market of“good news”and“bad news”is proved. Taking the applicability of non-linear problems in China as well as the complexity of the response factor into account ,this paper provide the improvement suggestion in the future research.更多还原