公允价值计量与股价同步性研究——基于资本市场和个股层面的分析

Fair Value Accounting Rule and Comovement of Equity Price：Analysis at the Aggregate and Individual Level

本文以2002—2011年我国A股上市公司为样本，运用基本CAPM模型的总体可决系数科的演化指标（以下表示为SYN－MAR）和股价波动同步性（以下表示为SYN－RATIO）两种指标来衡量资本市场同步性和个股层面的同步性，以期系统分析公允价值计量模式对宏观（即资本市场）和微观（即个股）层面同步性的影响。我们发现，2007年新准则实施后公允价值计量模式的推行，会显著增加资本市场的同步性。同时，在个股层面的研究结果指出，公允价值计量模式的推行显著降低微观层面的同步性，有助于公司特质信息的传递。在此基础上，我们分析宏观和微观层面结果分歧的内在原因，并将样本按照市值高低分成10组分别展开研究。结果发现，市值较低组公司同步性会随着公允价值计量模式的推行而减小，而市值较高组公司的同步性会随着公允价值计量模式的推行而变大。由于市值最高的一组公司占到了资本市场总市值的50％以上，因此按照市值进行加权后，资本市场总体的同步性是上升的。本文的研究表明，公允价值计量模式的大力推行，虽然有助于中小规模上市公司特质信息的传递并提高市场有效性，但是会加剧大型上市公司股价的同质化波动，弱化资本市场的信息传递功能，对于资本市场整体的资源配置角色有负面影响。这意味着，公允价值计量模式在大型上市公司中推行时，更应该关注和监管相关公允价值的计量、披露与会计核算，以提高资本市场有效性，使得该模式顺利推广。

Using the data for A-share firms during year 2002--2011, we examine the effect of fair value accounting rule on the comovement of stocks at the aggregate and individual level. Two measures for comovement are used： transformed R2 for the CAMP model （hereafter referred to as SYN_MAR） and synchronicity （hereafter referred to as SYN_RATI-O）. The results suggest that after the implementation of fair value accounting in year 2007, there is more comovement of equity market. However, at the individual level, we find that fair value accounting rule＇leads to less comovement of equity market. To reconcile the incon- sistency between the results at the aggregate level and those at the individual level, we divide the sample into ten groups based on market cap. We find that, for the group of stocks with the largest market cap, fair value accounting rule leads to more comovement, and this group of stocks weighs more than 50% of total market. Our results demonstrate that, fair value accounting rule can improve the firm-specific accounting information revelation for medium andsmall stocks, thus improving the market efficiency. However, fair value accounting rule might increase the comovement of large stocks with the market, which weakens the market efficiency and the effectiveness of capital allocation through capital market. Our results sug gest that for large public firms, we should pay more attention and regulate value calculation and information disclosure when adopting fair value accounting rule to avoid its negative im pact on market efficiency.