东西部上市公司会计信息价值相关性的比较

中南民族大学硕士学位论文东西部上市公司会计信息价值相关性的比较姓名：闻德美申请学位级别：硕士专业：民族经济指导教师：张跃平20050520I1993-200311519932003AII1994-20031995-1996199619971997:199619961999Collinsetal.19991999(1)(2)(3)20902090IIIAbstractThefinancialreportisamainmeansofinformationdisclosureforlistedcompanies.Oneofitsbasicgoalsistosupplythepresentandpotentialusersaccountinginformationthatcanhelpthemmakeeconomicdecisions.Manydomesticandforeignscholarshavestudiedtheusefulnessofaccountinginformationinoursecuritymarket.Theirconclusionsaremuchthesame:accountinginformationhasinformationcontentandvaluerelevance.Butmostoftheirstudyperiodsarenotsolong,themethodsarebasicallyeventstudy,andthereisnocomparisonbetweenthewesternandeasternlistedcompanies.Ourcountryisimplementingthedevelop-the-weststrategy,andthewesternlistedcompaniesareoneoftheimportantimpulsesofthewesterndevelopment.Then,hasthevaluerelevanceofaccountinginformationdifferencesbetweenthewesternandeasternlistedcompaniesornot?Whatdoinvestorsneedtopayattentiontowhileusingtheaccountinginformationofthewesternlistedcompanies?Withthedatafrom1993to2003,thethesiscomparesthevaluerelevancebetweenthewesternandeasternlistedcompaniesbymeansofassociationstudy.Allisdividedintofivechapters.Chapteroneintroducesthebackgroundandtherelatedresearches.Thefirstpartintroducestheoriginoftheresearchesonthevaluerelevanceofaccountinginformation.Thesecondpartrecommendsthetwoschools:informationperspectiveandvaluationmodelperspective.Onthebasisofefficientmarkethypothesis,theinformationperspectivestudiestherelationshipbetweenaccountinginformationandstockprice.However,thevaluationmodelperspectivelaysmoreemphasisontheinternalvaluationofstockbysomemodels.Althoughtheresomedifferencesbetweenthetwoschools,theyhavethesamefinalaim.Finally,thischapterintroducesrecentsituationofresearchesathomeandabroad.Foreignscholars’researchesshowaccountinginformationhassomeusefulness,butpresentsthedownwardtrend,anddifferentindicatorshavedifferentvaluerelevance.Accordingtothedomesticscholars,theaccountinginformationofoursecuritymarkethasdecisionusefulnessbutpresentsthedownwardtrendbecausetheadvancedresponsetoaccountinginformation.Chaptertwodiscussesseveralproblemsintheresearchdesign,suchasmeasurementofunexpectedearningsandabnormalreturns,longorshortofeventwindow,researchmethod,sampleselection.ConsideringtheshorthistoryofourstockIVmarketandtheexistenceofnonnegotiablestocks,thethesisselectsnaivemodelandequallyweightedaveragemethodtocalculateexpectedearningsandmarketreturnsrespectively.Inordertocomparethevaluerelevanceofaccountinginformationbetweenthewesternandeasternlistedcompanies,thethesisstudiesallA-sharecompanieslistedonShanghaiandShenzhenStockExchangefrom1993to2003inlightofinformationperspectiveandvaluationmodelperspectivewith1-yearwindow.Chapterthreestudiesthevaluerelevanceofaccountinginformationbyreturnmodelandassociationstudyonthebasisofinformationperspective.Mainfindingsare:accountinginformationhasremarkablevaluerelevance,andtherelevanceoftheeastishigherthanthatofthewest.ButtheR-squareofreturnmodelislow.Amongyearmodels,theresponsecoefficientofaccountingearningsoftheeastisbasicallydownwardandthatofthewesthasnoregularity.Thecoefficientofnetassetsoftheeastrisessharplyfrom1995to1996,thendropsrapidlyandpresentsdownwardtendencygenerally.Astothewest,mostofthetimeitislowerthantheeast,butfluctuatesmuchsmaller;before1997itlagsbehindtheeastoneyear,buttheybasicallyhasthesametendencyafterthat.Chapterfourstudiesthevaluerelevanceofaccountinginformationbypricemodelonthebasisofvaluationperspective.Thefindingsinclude:sameasreturnmodel,accountinginformationhasremarkablevaluerelevance,andtherelevanceoftheeastishigherthanthatofthewest.TheR-squareoftheeastisalsohigherthanthatofthewest.Theincreasedexplanatoryabilityofaccountingearningsandthatofthesimultaneouseffectofaccountingearningsandnetassetsoftheeastarehigherthanthoseofthewest.Buttheincreasedexplanatoryabilityofnetassetsisreverse.Amongyearmodels,theincreasedexplanatoryabilityofaccountinginformationoftheeastreachesthepeakin1996.Sincethen,thevaluerelevanceoftheaccountingearningsdeclinesyearbyyear.Butfrom1999,theexplanatoryabilityofnetassetsincreasesrapidly,whichoffsetsthedeclineoftheaccountingearningsandthejointvaluerelevancerisesoverall.ItisthesameastheconclusionofCollinsetalabouttheAmericanlistedcompanies.Before1999,thetendencyofthewestandtheeastdiffergreatly;afterthat,itissamebasically.Chapterfiveisanoverview.First,itsummarizesthesimilaritiesanddifferencesofthevaluerelevanceofaccountinginformationbetweenthewesternandeasternlistedcompanies:(1)boththewesternandeasternlistedcompanies’accountinginformationhaveremarkablevaluerelevance;(2)thevaluerelevanceofthewestislowerthanthatoftheeast;(3)thevaluerelevanceofthewesthasnoregularityorlagsbehindtheeastoneyearininitialstage,butastimegoeson,itshowsthesametendencyastheeastVfromtheendof1990s.Aboutthedifferences,theauthorconsidersthereasonliesintheregionalcharacteristicofthewestsecuritymarket,suchas:thestructureofthewesternlistedcompaniesissingleandmostofthewesternlistedcompaniesbelongtore