上市公司非经常性损益的信息噪音研究

A Study on Nonrecurring Gins and Losses Information Noise of listed companies

文章以2002～2005年上市公司披露的非经常性损益为研究对象,对非经常性损益与股票价格、投资回报率之间的关系进行研究,检验其信息噪音。在借鉴价格模型和收益模型的基础上,通过加入年度虚拟变量对模型进行优化,发现优化后的模型拟合优度R2显著提高;进一步的检验假设表明:非经常性收益与股价、投资回报率呈现显著的相关关系,其信息噪音不明显,而非经常性损失存在明显的信息噪音。

The paper examines information noise, and the relationship between extraordinary items, stock price, and rate of return after using listed companies＇ extraordinary items data from 2002 to 2005. On the basis of the price model and return model, we optimize the models by adding year as a dummy variable. The results show that R squares of the updated models have been improved. Furthermore, we find that nonrecurring gains have significant relationship with stock price and rate of return, but nonrecurring losses have significant information noise.