公允价值计价会计信息相关性研究——来源于A股市场经验证据.pdfVIP

摘 要 摘 要 人们普遍认同公允价值计价为投资者决策提供的会计信息具有较强的相关性，但 2008 年美国爆发的次贷危机引起了人们对公允价值的再思考。在这次危机引起的争论 中，金融界认为正是公允价值的顺周期效应放大了市场风险，公允价值的相关性受到较 大质疑。基于这样的背景，本文意在检验在我国资本市场中，公允价值提供的会计信息 是否具有相关性，及其相关性的强弱。 本文借鉴国内外学者对会计信息相关性的研究方法，采用 Ohlson 价格模型评价公 允价值计量是否对资本市场股价具有显著影响。在该模型基础上，引入公允价值对损益 及净资产的影响，将模型自变量每股收益和每股净资产进行了分解，选取2007-2009年 A 股上市公司年报数据为样本，通过相关分析及回归分析，得到以下结论：公允价值计 价提供的会计信息具有价值相关性，但A股市场经验数据显示新准则实行后的3年里， 其相关性逐年降低。这主要是由于公允价值引入我国时间较短，且样本期间正是次贷危 机发生前后，投资者出于审慎性考虑，对市场信息作出的合理反应。这一研究结果，有 助于我们了解公允价值计量属性在我国的运用情况，指导投资者行为。同时提出了完善 公允价值应用的几点建议，具有一定的现实意义。 关键词 公允价值 价值相关性 新会计准则 Ohlson模型 I Abstract Abstract Conventionally，the information of fair value accounting is relevant to making decisions. But from 2008, the subprime mortgage crisis in the United States gave rise to reconsideration of the fair value accounting. During the debate caused by this crisis, the financial community deemed that the pro-cyclical effect of fair value enlarged the market risk, and its relevance was queried. Based on this background, this paper is intended to test in the China’s capital market, if the information provided by fair value accounting is relevant, and the strength of its relevance. This paper references the foreign and domestic scholars’ research methods on accounting information relevance, using Ohlson Model evaluate whether the fair value accounting have a significant impact on stock price in capital market. Based on the model, this paper introduces the profit or loss and net assets influenced by changes of fair value, selecting the 2007-2009 Annual Report of the A-share market companies as the sample data. Through the correlation and regression analysis, we obtain the following conclusions: The accounting information provi