基于ARMA模型的上市公司盈余质量判断

Research on Earnings Quality of Listed Companies Based on the ARMA Model

会计盈余因其具有较高的信息含量已被广泛认可,但是在不同年份,特别在差异的资本市场环境下,存在质量上的差异,造成中小股东及潜在投资者对公司及目标公司前后会计期间的盈余质量不易做出准确的判断。因此我们从会计前后期盈余之间的相关性及波动性来判断盈余质量,通过采用案例分析的方法,并利用Eviews软件进行模型检验。结果表明:基于ARMA的模型建立,对上市公司的前后期盈余质量之间关系具有较高的解释力度,比较好的反映出公司盈余数据的持续相关性及波动性。

Accounting earnings has been widely recognized because of its higher information content. But in different years, especially in the different capital market environment, the earnings＇ quality has been changed, resulting in the small shareholders and the potential investors being not easy to make accurate judgments on the accounting earnings quality of the company or the target company. Therefore, we judge the earnings quality from the relevance and the volatility of accounting earnings with case study methods and Eviews software. The results showed that earnings quality of the listed companies has higher interpretation strength between the before and after the period, and better reflected the relevance and volatility of the earnings data based on the ARMA model.