会计信息与系统风险的相关性研究——来自中国A股上市公司的经验证据

The Correlation between Accounting Information and Systematic Risk:The Empirical Evidence from A-Share Listed Companies

本文应用沪深A股制造业2001~2009年度相关数据,基于PARKS面板数据模型实证检验了会计信息与系统风险的相关性,剖析了我国资本市场反常流动比率、不良杠杆组合及股利政策＂异象＂的实质所在,据此提出了基于系统风险影响因子构建会计风险报告框架、完善企业会计准则及强化资本市场监管等政策建议。

Based on PARKS panel data model, by using Chinese A-share manufacturing industry annual data from 2001 to 2009, this paper first tested the correlation between the accounting information and systematic risk, and then explored the essence of the unusual current ratio, adverse leveraged portfolio and dividend policy ＂irregularity＂ in Chinese capital market. And finally put forward some relevant policy recommendations as follows： （1） constructing accounting risk reporting framework based on systematic risk factors; （2） improving enterprise accounting standards; （3） strengthening the supervision of the capital market.