企业盈亏、流通股规模与股票定价——来自中国证券市场的经验证据

An Empiric Analysis of the Impact of Firm Losses and Current Shares on Stock Pricing

我国亏损企业利润和净资产与股价的相关性不显著,模型的回归功效不到1％,远低于美国市场的45％,说明我国亏损 企业的股价吸收了较多的非会计信息。企业利润和净资产对股价的解释效力由高到低的顺序是:盈利的大企业>盈利的小企 业>亏损的大企业>亏损的小企业。

The paper examines the impact of firm losses and current shares on the value-relevance of earnings and book values, makes some conclusions as follows. For the pooled cross-section sample from 1993 to 2002, earnings and book values are significantly positive value-relevant at a<1%. The adjusted R2 increases and current share ratio is negatively value-relevant as the current share ratio is put into Ohlson model as an explaining variable. But the impacts of current share ratio are insignificant and the signs of its regression coefficients are uncertain when total samples are split into four portfolios based on the sign of earnings and the size of current shares. Firm earnings and book values are insignificant for negative earnings companies, and the adjusted R2 is less than 1%. compared with 45% in the U. S. It seems that investors in China take more non-accounting information at valuation of firms with negative earnings. At last, the study concludes with the implications for improving the information disclosure systems and the pricing of stock.