我国上市公司独立审计意见的预测价值分析

Research on the Value Prediction of Chinese Listed Companies from Independent Audit Opinion

选取沪、深两市2000～2002年样本的综合数据和各年度子样本数据,运用超额收益和Logistic回归分析方法,同时考虑公司规模和样本所属板块的影响,对各解释变量与累计超额收益率的价值相关性及审计意见类型对股价超额收益的增量解释能力进行了研究.单变量检验结果表明,净资产收益率与股价超额收益具有显著的正价值相关性,审计意见类型则弱之;联合价值检验显示,审计意见类型和其他相关因素的联动作用与审计意见类型单独作用相比,对样本累计超额收益的影响具有显著差异;Logistic回归分析得出,审计意见类型具有预测价值.

Empirical study is made for the compound data of sample companies and son sample companies from Shenzhen stocking market and Shanghai stocking market in the period from 2000 to 2003 through excess earning analysis and logistic regress analysis. By the side taking the influences of companies＇ scale and industrial sector into consideration, correlation between the value of excess earn- ing rate and the explanatory variables were calculated, the relationship between the types of independent audit opinions and the increases of the companies excess earning were analyzed as well. Singlevariable test shows that excess earning of stock price has a high positive correlation with return ratio on net assets, but a weak correlation with audit opinion type. On the other hand, the joint value test shows that audit opinion type has high correlation with excess earning of stock price when it is jointed with other relevant factors. Furthermore, logistic regression shows that audit opinion type can be used to predict excess earning of stock price.