創(chuàng)業(yè)板盈余質(zhì)量與股票收益的相關(guān)性分析.pdf

1、 論文題目：創(chuàng)業(yè)板盈余質(zhì)量與股票收益的相關(guān)性分析 專 業(yè)：管理科學(xué)與工程 碩 士 生：任書娟 (簽名) 指導(dǎo)老師：王 嵐 (簽名) 摘 要 盈余是企業(yè)經(jīng)營成果的反應(yīng)， 是證券監(jiān)管部門管理上市公司和投資者做出決策時的重要參考指標， 近幾年證券市場上出現(xiàn)的一些造假行為使人

2、們普遍開始關(guān)注盈余的質(zhì)量問題，創(chuàng)業(yè)板市場運行已有將近三年的時間，經(jīng)歷了股價的大起大落，其盈余質(zhì)量和股票收益的關(guān)系如何呢？ 本文首先從決策有用觀的角度研究了盈余質(zhì)量的涵義、 特征、 影響因素和評價方法，從盈余質(zhì)量的特征出發(fā)設(shè)計出了八個財務(wù)指標， 并用變異系數(shù)綜合評價法綜合評價企業(yè)盈余質(zhì)量。接著論述了股票收益的涵義和表示方法，并從理論上論述了盈余質(zhì)量和股票收益的關(guān)系。 本文實證部分選取了在創(chuàng)業(yè)板上市的 150 家企業(yè)為樣本，用“盈余-收益”

3、模型分析了創(chuàng)業(yè)板企業(yè)盈余質(zhì)量與股票收益的相關(guān)性， 顯示出創(chuàng)業(yè)板上市公司盈余質(zhì)量與股票收益正相關(guān)，但盈余質(zhì)量對股票收益的解釋力度不大，盈余質(zhì)量的真實性與股票收益率不相關(guān)，現(xiàn)金保障性與股票收益率不顯著正相關(guān)，持續(xù)性與股票收益率負相關(guān)，盈利性和成長性與股票收益率顯著正相關(guān)，安全性與股票收益率顯著負相關(guān)。顯示出創(chuàng)業(yè)板的投資者僅僅重視企業(yè)的盈利性和成長性水平， 不關(guān)注主營業(yè)務(wù)帶來的利潤和銷售收入帶來的利潤，不關(guān)注現(xiàn)金流量對利潤的保障性和企業(yè)的風險

4、水平，表明投資者不能有效區(qū)分盈余質(zhì)量和盈余數(shù)量，從而不能識別企業(yè)的盈余操縱行為，投資存在盲目性。文章最后根據(jù)研究結(jié)果和創(chuàng)業(yè)板市場的現(xiàn)狀提出了一些對策和建議， 包括完善創(chuàng)業(yè)板新股發(fā)行制度和信息披露制度，培育專業(yè)的投資咨詢機構(gòu)和證券分析師等。 關(guān) 鍵 詞： 盈余質(zhì)量；股票收益；評價指標；相關(guān)性 研究類型：應(yīng)用研究 Subject: Correlation Analysis of Earnings Quality and Stock Retu

5、rns on GEM Specialty:Management Science and Engineering Master : Ren Shu Juan (Signature) Instructor: (Signature) ABSTRACT Surplus is the ou

6、tcome of the reaction of business and important index to the listed companies and the securities regulatory authorities when making decisions, some of the frauds in the stock market in recent years have emerged so that p

7、eople generally begin to pay attention to the earnings quality, GEM market operation has been nearly three years and experienced the ups and downs of stock prices, What’s the relationship of the earning’s quality and sto

8、ck return? From the perspective of decision’s usefulness, the article study the concept, characteristics, influencing factors and evaluation methods of the earning’s quality. This article design eight financial indicato

9、rs and use comprehensive evaluation of the coefficient of variation to evaluate earning’s quality. Then discusses the meaning and representation of stock returns and theoretically discoursed the relationship of the earni

10、ng’s quality and stock returns. The empirical part of the article select 150 companies listed on the GEM as sample, using the surplus-income model, show that the earnings quality and stock returns of companies listed on

11、 GEM is positively related,but little explanatory power of earning’s quality on stock returns, the earnings quality authenticity and stock gains rate is not related, cash safeguards and stock gains rate is not significan

12、tly related， earnings persistence and stock returns is negatively related, earnings growth and profitability have a significantly positive correlation with stock returns，earnings security has a significant negative corre

13、lation with stock returns. The results show that GEM investors only pay attention to corporate profitability and the level of growth, not care about profits of sales revenue and main business, are not concerned about the

14、 risk level of businesses and profits’ cash flow. The study show that investors of GEM can not effectively distinguish between earnings quality and earnings number, which does not recognize the corporate surplus manipula