【作者】 赵曦；

【导师】 张晓君；

【作者基本信息】 上海交通大学 ， 工商管理， 2012， 硕士

【副题名】基于Feltham & Ohlson模型的实证研究

【摘要】 在中国证券市场的投资活动中，目前大部分研究都是基于基本面分析的，而在基本面分析中，会频繁的使用到财务报表当中的各类会计信息。过去十多年来，大量的会计研究文章考察了股票价格或其变化与特定的会计信息之间的经验联系，以评估这些会计信息的市值相关性。但是，在目前的研究领域中，还缺少针对中国证券市场周期性行业和非周期性行业的会计信息市值相关性的对比研究。因此，本论文以Feltham&Ohlson模型为基础，着重分析：（1）当期会计信息对中国证券市场的股票价格是否具有显著的解释能力；（2）不同会计信息对股票价格解释能力的比较，以及原因分析；（3）各种会计信息对周期性行业与非周期性行业股票价格解释能力的差别，以及原因分析。通过对Feltham&Ohlson模型的经验改造，对周期性行业和非周期性行业的会计信息与股票市值的回归分析，以及从营运特点和收益特点的角度对各种会计信息的股票价格解释能力的研究，本论文得出了以下主要结论：第一，在中国证券市场中，会计信息对股票价格具有显著的解释能力。第二，周期性行业和非周期性行业在会计信息市值相关性中存在着由运营模式和盈利特点差异造成的不同特征。第三，中国证券市场是一个趋于理性投资的市场。更多还原

【Abstract】 At present, most investment in China securities market is based on thefundamental analysis, in which the accounting information is usedfrequently. In the past decades, lots of research study the relationshipbetween the stock price (or its change) and the specific accountinginformation to evaluate the correlation between the accountinginformation and the market value.However, there is no comparing research for the cyclical and non-cyclical industry in China securities market in this field yet. Therefore,the paper is going to, based on Feltham&Ohlson Model, analyze:(1)whether the current accounting information can influence the marketvalue significantly;(2) the explanation capacity of different accounting items for the market value;(3) the correlation between differentaccounting data and the market value for the cyclical and non-cyclicalindustry, and the reasons.Trough the transformation of Feltham&Ohlson Model, the regressionbetween accounting information and the market value for the cyclical andnon-cyclical industry, and the analysis of the explanation capacity ofaccounting items in the terms of operation and income features, the paperhas got the following conclusions:Firstly, in China securities market, there is significant correlationbetween the accounting information and the market value. Secondly,there are different features for the correlation between the accountinginformation and the market value for the cyclical and non-cyclicalindustry because of the different operation and income models. Thirdly,China securities market tends to be a rational market progressively.更多还原