摘要
利用深沪两市95年至2002年A股公司的数据,检验了在国外业绩变化规律研究中得到验证并被普遍接受的均值回归假说.均值回归假说是基于成熟市场经济条件下的竞争机制,中国的上市公司由于特殊制度背景,业绩的变化并不仅受竞争机制的影响.检验结果表明,中国上市公司业绩变化并不符合均值回归假说,存在业绩长期高于平均水平的公司.业绩高于平均水平的公司业绩一旦下滑到平均水平以下,就长期低于平均水平.这些结果与上市公司为融资而进行的盈余管理有密切关系,因此中国A股公司业绩变化规律的研究必须考虑中国特有的制度因素的影响.
Using Chinese stock market data, the article tests the “mean reverfing” hypothesis about esming dynamics. Because“mean reverting” hypothesis is based on perfect market competition, but China has other specific institution background which affect earning dynamics significantly, whether this hypothesis be true in China is an empirical issue. The result refuses “mean reverting” hypothesis： the good firm pedormance is too persistent, and once good firms become bad firms, these firms＇ performance are also persistent. These results are consistent with other research findings about Chinese A＇ share finns, and are correlated with earning management.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2006年第6期18-24,共7页
Systems Engineering-Theory & Practice
关键词
业绩变化规律
均值回归
盈余管理
earning dynamics
mean reverting
earning management
