商誉、利润可预测性与股票错误定价--基于代理成本观的实证检验

Goodwill, Earnings Predictability and Stock Mispricing: An Empirical Study on Agency Cost View

现有的研究表明企业的商誉并非越高越好。但是商誉的价值是否受企业代理成本的影响?投资者是否明白不同代理成本下商誉价值的差异?这两个问题至今未解。本文从商誉对利润可预测性的影响以及股价是否正确反映这种影响两个方面结合起来对以上问题加以研究,并应用Mishkin模型检验股票市场在评定商誉价值方面的有效性。本文发现较高的商誉账面值会降低利润的可预测性,在管理者和大股东这两类代理成本较高时尤其如此,但这个事实并不被市场所认知,导致股票被错误定价,错误定价在第二年起会被市场纠正致使股票收益发生反转。本文的研究结果表明,严重的代理问题会导致会计信息因会计准则的不当执行被扭曲,进而影响股票市场的效率。

Existing literatures report that a company’s goodwill is not the higher the better.But is the vulue of goodwill affected by agency costs? Do investors understand the difference in the value of goodwill under different agency costs? These two questions are still unresolved.This paper studies the above questions from the influence of goodwill on the predictability of earnings and whether the stock price correctly reflects this influence, and uses the Mishkin model to test the effectiveness of the stock market in identifying the value of goodwill.This paper finds that higher book value of goodwill significantly reduces the predictability of earnings, especially when the agency costs of managers and major shareholders are high, But this fact is not understand by the market and leads to the mispricing.The mispricing will be corrected by the market from the second year, resulting in the reversal of stock returns.The results of this paper show that serious agency issues will lead to accounting information being distorted due to improper implementation of accounting standards, thereby affecting the efficiency of the stock market.