公允价值计量的市场效应研究——基于A股上市公司2007-2011年的经验证据

Study on the Market Effect of Fair Value Measurement ——based on Empirical Evidence of A-share Listed Companies from 2007 to 2011

本文采用会计新准则执行后中国A股上市公司2007-2011年样本,基于股市指数波动的视角,研究了公允价值计量与公司股价之间的关系。研究发现,公允价值计量的市场效应受股票市场波动的影响,而股市波动又增强了管理层的盈余管理动机与投资者的非理性投资行为。本文不仅结合股票市场环境研究,而且深入挖掘公允价值信息深度,区分了公允价值持有收益与公允价值持有损失不同的价值相关性。本文结论有助于上市公司加强价值管理、投资者正确判断公允价值信息的市场效应以及监管者有针对性地限制公司盈余管理行为。

This paper chose A-share listed companies in the period of 2007--2011 as samples right after the implementation of new accounting standards, from the perspective of the stock index fluctuation, and studied the relationship between the fair value measurement and firm value. This paper found that the relationship between fair value holding gains or losses and firm value are susceptible to stock index fluctuation. Further research has also found that the fair value of the holding gains and losses have significantly different effects on the firm value. The results suggest that the stock market fluctuation enhances earning management and investors＇ irrational investment. This research not only takes stock market into consideration, but also digs information depth of the fair value to distinguish different value relevance between the fair value holding gains and the fair value holding losses. The conclusion of this paper is important for enhancing value management, for investors to correctly judge the market reaction of the fair value measurement and for regulators to restrict earnings management behavior.