A股盈余报告的有用性研究.doc

*98,A*(100084)(earnings),:;,;,:(1);(2)Ball,BrownBeaver1968,1990,:,19931995,BallBrown(1968):,(),()2119996,Beaver(1968),196119651431231NYSE,121,Beaver,()Beaver,(),:1,(unexpected earnings),(),R,R1Beaver(1968)143NYSE,()R,:(0),67%;,(10%15%)2(Cumulative Average Residuals,CAR)CAR,CAR;(),CAR,BallBrown(1968)261NYSE,19571965,(0)126CAR,(1998),BallBrown,158,22,3000,13,(ERC),Baruch Lev(1989)8019,5080,(R22%10%),90,CAR,BallKothari(1991),A(),1()1993,(,1997),1993;,(1)(),:1(19941997);21,1309,1993,1015,12992,460,839,121,Beaver,1231,23:Vit=VitVi,Vitit;Vitt;Vi;t(0),Vit124012,1517,12,(),24()1,(EPS),(ROA),:(1),EPS,(2),19941313,310%,19961310%,4(4)(1994),3,261805,19933,199414;,4;,20,1998410,199831320,764330,434,2562():(mean-adjusted,)(market-adjusted)(risk-ad-justed),:,(CAPM):Rit=i+iRmit+it(1):Ritit;Rmitt;ii;it,(),199411,1998410,150i,:ri,t= rf+i(rmit-rf) (2):rf();t(25t=0);ri,tit;rmitt,itri,t:ri,t=ri,t-ri,t(3):ri,tit(),5,;,(),:E(Yi,)=Yi,-1:Yi,i;Yi,-1,E;,iYi,:Yi,=Yi,-E(Yi,)=Yi,-Yi,-1(4),:ri,t=At+BtYi,+i,t(5):t(t=0);At;Bt;Yi,;i,t,20,(23)23,:(1),t(R2)(-20+20),;(2)R2R2=355%;R2=285%;R2=925%,R22%10%;(3),6,3,-6,2;(4)3,5,TF,R2925%,ChowChow,ChowF(2,760)=1258,1%,262(:ri,t=At+BtYi,+i,t)YTFF R2- 20 0004466 1172386 137449 0241408 0001801- 19 000453 1284852 1650844 0199235 0002162- 18 0003465 0856048 0732819 039224 0000961- 17 0010967 2282824*5211285 0022715 0006793- 16 0004384 107032 1145585 0284814 0001501- 15 -00018 -044429 0197397 0656957 0000259- 14 0002913 0734527 053953 0462853 0000708- 13 -000483 -124729 1555735 0212674 0002037- 12 -000213 -055489 0307906 0579131 0000404- 11 0007956 1961206*3846329 0050219 0005022- 10 0003843 0902931 0815284 0366848 0001069- 9 -000895 -206706*4272722 0039066 0005576- 8 0002246 0567915 0322527 057026 0000423- 7 0000729 0169931 0028876 086511 379E-05- 6 0010337 2091444*4374137 0036819 0005708- 5 0010626 2325309*5407063 0020317 0007046- 4 0005318 0873724 0763394 0382544 0001001- 3 0008917 1706894 2913487 0088249 0003809- 2 0023012 3733034*1393554 0000203 001796- 1 0007061 0889627 0791435 0373947 00010380 00528085 5292447349*2800999894 158E-07 00354551. -000097 -012936745 0016735937 0897101 22E-052. 00172719 2662059702*7086561858 00079301 00092143. 00094075 1530184048 2341463221 01263862 00030634. -0010836 -1909856189 3647550661 00565269 00047645. -0007891 -1357691794 1843327008 01749634 00024136. 00018194 0375997946 0141374456 07070231 00001857. -0008692 -1715561913 2943152676 00866488 00038488. -0008604 -1697241893 2880630044 00900593 00037669. 00011673 0224987802 0050619511 08220491 664E-0510. -0002995 -0621556451 0386332422 05344195 000050711. 0002186 0426058416 0181525774 06701856 000023812. 00133701 2319290868*5379110129 00206428 00070113. 00038255 0622536193 0387551311 05337756 000050814. 00008382 0145358638 0021129134 08844662 277E-0515. -0000605 -0106717098 0011388539 09150415 149E-0516. 00095722 1678410603 2817062151 0093677 000368317. -0001875 -0301747758 009105171 07629267 000011918. -0000876 -0138056762 001905967 00890232 25E-0519. -0007047 -1391018941 1934933695 01646257 000253320. -0003906 -0757573319 0573917334 04489407 0000753:*5%(),n=764273YTFF R2330 01756708 578090615 3341887602 173E-08 0092466434 00332207 356150447 1268431409 00004097 0028524764 00528085 529244734 2800999894 158E-07 0035455:t001=2326461,BallKothari,1994,128768,60%,56(1994)199434575%A,A,A,1997:,9,1998:,7Ball,R.,and Brown,P.1968,An Empirical Evaluation of Accounting Income Numbers,Journal of Accounting Research(Autumn).Ball R.,and Kothari,S.P.1991,SecurityReturns Around Earnings Announcements,The Accounting Review (October).Beaver,W.H.1968,The Information Content of Annual Earnings Announcements,Journal of Accounting Research (Su