亏损与非线性对会计盈余与股票回报关系的影响——基于中国资本市场的分析与经验证据

The Effect of Losses and Nonlinearity on the Relation between Accounting Earnings and Stock Returns: Analysis and Empirical Evidence from China's Stock Market

本文基于中国资本市场环境,研究了公司亏损与非线性对会计盈余与股票关系的边际与联合效应。边际效应检验表明盈余—回报关系中的亏损与非线性的边际效应均显著;此外通过联合效应模型的检验表明亏损样本的存在将使得盈余反应系数降低,非线性因素也与盈余反应系数负相关,即未预期盈余绝对水平(|UX|)越高,盈余反应系数越低。本研究还进行了拓展性检验及敏感性测试,结果进一步证实和加强了本文的相关推断和理论解释。

This paper studies the marginal and combination effects of corporations' losses and non-linearity on the relation between accounting earnings and stock returns based on the China's capital market. Marginal effects test indicates they are dominant by both losses and nonlinearity factors on the earnings-return relation. Combination model test indicates the loss samples make ERC have a drop drastically, and nonlinearity also is negative correlative to ERC, that is, the larger the absolute unexpected earnings, the lower the ERC. This paper also makes robust tests and sensitive tests, which prove and strengthen the relative conclusions and theoretic explanations in this paper.