会计盈余与股票市场回报非线性关系研究_与线性关系的对比及来自沪市的证据.pdfVIP

会计盈余与股票市场回报非线性关系研究 会计盈余与股票市场回报非线性关系研究 程小可, 李玲玲 ( 中国人民大学 商学院, 京 100872) : 本研究从分析线性盈余- 回报模型的假定开始, 指出了线性模型的固有缺陷因此, 我们提出了盈余与 股票回报之间的非线性关系, 相对于线性模型而言, 非线性模型能够更好地解释未预期盈余与未预期回报间的 关系根据盈余- 回报之间关系的特点, 我们使用了反正切函数作为研究非线性盈余- 回报关系的基础实 证检验结果表明: 非线性模型显著地比线性模型具有更好的拟合优度; 通过从盈余 中剔除暂时性项目, 我们观 察到非线性模型的拟合优度显著降低, 这说明持续性较差的暂时性项目可能是产生非线性盈余- 回报关系的 原因之一 : 盈余; 股票回报; 非线性; 盈余反应系数 : F23 : A : 1002- 9753( 2004) 02- 0037- 07 On the Nonlinear Relation between Earnings and Stock Returns in China A Comparative Analysis with Linear Relation of Earnings- Returns Evidence from Shanghai E change CHENG Xiao- ke, LI Lin - lin ( Business School , Renmin Univ ersity of China, Beij ing 1008 72, China) Abstract:This study be ins with the analysis of the assumptions of the Linear Earnin s- Returns Model, and points out the inherent disadvanta es of the linear model. So we assume that the relation of unexpected earnin s and unexpected stock re turns is nonlinear. Nonlinear Earnin s- Returns Model can provide si nificantly hi her explanatory power than linear mod el. Accordin to the natures of unexpected earnin s and unexpected stock returns, we employ inverse tan ent ( arctan func tion) as the basic model of our empirical study. The related tests show that nonlinear model has more si nificant oodness- of - fit than linear model. After excludin the transient items from earnin s, the oodness- of - fit of nonlinear model drops a lot. This proves that the transient items may be one of the reasons that cause the nonlinear relation of Earnin s- Re turns. Key words: earnin s; stock returns; nonlinearity; ERC ( Value Relevant) , - , ,