货币政策、加总会计盈余与市场总回报

Monetary Policy, Aggregate Earnings and Market Returns

厘清加总会计盈余、市场总回报与货币政策之间的联动关系,有利于加深对货币政策影响股票市场机制传导的理解,这在危机事件期间尤为重要。基于我国上市公司季度数据,实证检验货币政策、加总盈余与市场总回报之间的关系。研究发现,加总盈余与市场总回报显著负相关,意味着上市公司加总盈余提升时股票市场总体反应为负,出现股票市场表现与实体经济的"背离"。进一步分析发现,加总盈余中包含的货币政策信息能够较好地解释这种"背离",且加总盈余中包含的货币政策信息越多,二者之间的负相关性越强。结论表明,加总会计盈余指标有助于理解股票市场的整体走向和更好地制定货币政策,进一步健全货币政策、防控金融风险。

Clarifying the linkage between aggregate earnings,market returns and monetary policy is beneficial to deepening the understanding of the influence of monetary policy on the stock market,and it is especially important during crisis periods.Using the quarterly data of listed companies in China,this paper examines the relationship between monetary policy,aggregate earnings and market returns.The results show a significantly negative relation between aggregate earnings and market returns,indicating that the performance of the stock market deviates from the real economy.Further analysis shows that the monetary policy information contained in the aggregate earnings can explain this deviation,that is,the more monetary policy information contained in the aggregate earnings,the stronger the negative aggregate earnings-returns relation.Our conclusion shows that proxy of aggregate earnings is helpful to understanding the performance of the stock market and better formulating monetary policy,and that it has important policy implications.