基本信息的价值增量相关性研究

A Study on the Incremental Value-Relevance of Fundamental Information

该文探讨基本信息的价值相关性,尤其是在不同盈余质量下的价值增量相关性。通过统计检验,特别是依据E/P对基本信息进行分组检验后发现,某些基本信息具有价值相关性,但与盈余指标相比,基本信息的价值相关性较弱,在统计意义上不具有价值增量作用,投资者也不会因为公司盈余以暂时性为主而增加对公司基本信息的权重。这反映出中国投资者对基本信息价值的认知还有待提高。

This paper conducts an empirical research on the value-relevance of fundamental information,especially on the different levels of earnings permanence measured by the earning-to-price ratio.By the statistical test,it finds that some fundamental information variables possess the value-relevance,which means that investors might make decisions according to some fundamental variables.However,the fundamental information has weaker value-relevance than earnings;it has no significant incremental explanatory power for stock return.Investors will not rely more heavily on fundamental information when earnings possess more transitory item.It may indicate that the Chinese investors should increase the understanding of the importance of fundamental information.