【作者】 唐安平；

【导师】 陈收；

【作者基本信息】 湖南大学 ， 管理科学与工程， 2005， 硕士

【摘要】 会计盈余质量问题是当前会计理论界与实务界共同关注的焦点。本文从财务报表分析的角度，借鉴国外盈余质量的评价方法，结合中国证券市场的特点，建立中国上市公司的盈余质量综合评价指标体系，并探讨盈余质量对股票超额收益率的解释。论文首先依据上市公司公开披露的财务报表，构建公司盈余质量的综合评价指标体系，指标体系包括盈余的持续性、盈余的成长性、盈余的稳定性、盈余的现金保障性、盈余的安全性、盈余的可靠性、盈余的公司治理效果及盈余的行业特征等八个方面，并采用主成分分析法对盈余质量进行综合评价；接着配合盈余的未预期增长，利用逐步回归模型研究盈余质量与股票超额收益率的关系；再者，在上述未预期盈余与股票超额收益关系的回归分析中，未预期盈余变量的回归系数通常被称作盈余反映系数，因此论文接着分析了盈余质量与盈余反映系数的关系，研究盈余质量较好的公司是否具有较高的盈余反映系数；最后进一步将研究结果转换为投资策略，以探讨盈余质量分析能否获取超额收益。本文以2001-2003年间沪深股市的A股上市公司为样本进行实证研究，得到以下几点研究结论：(1) 评价盈余质量的8类指标中，6类指标与股票超额收益率具有显著的相关性，显示盈余质量分析在中国证券市场有一定的效果；(2) 盈余质量相对较好的上市公司具有较高的盈余反映系数；(3) 利用盈余质量分析，配合盈余的未预期增长，形成投资策略，能获取相当的超额收益。(4) 研究中所用用的数据全部来自公开的财务报表，却仍能解释未来的股票超额收益，似乎显示中国证券市场的效率不足。更多还原

【Abstract】 At present, accounting theory circle and practice circle pay close attention to earnings quality together. This paper constructs index system to assess earnings quality from the perspective of financial statement analysis, this construct draws lessons from foreign method of assessments of earnings quality, combine the characteristic of China’s securities market, set up the earnings quality comprehensive assessments index system of the Chinese listed company,. At the same time, this study examines whether earnings quality is related with the stock abnormal returns .This paper constructs the comprehensive assessments index system of company’s earnings quality according to the financial statement that the listed company reveals publicly at first. The index system includes properties of earnings as follows: persistence, growth, smoothness, cash ensuring, safety, reliability, corporate governance and industry properties etc. Principal component analysis is used in comprehensive assessments of earnings quality. Then this paper study abnormal return on indexes of earnings quality using stepwise regresses model .Moreover, the paper analyzes the relation between earnings quality and earnings response coefficient, final work examines whether investors can earn abnormal returns using earnings quality analysis strategy.This paper regards the A-share listed companies of stock markets of Shanghai and Shenzhen among 2001-2003 years as samples and carries on the positive research, get the following conclusion: first, earnings quality is significantly positively associated with future stock returns; second, higher earnings quality imply higher earnings response coefficients; third, investors can earn abnormal returns using earnings quality analysis strategies; finally, Chinese securities market is not enough efficient.更多还原