盈余质量与我国股票收益波动——基于我国股票收益VAR方差分解的实证分析

Earnings Quality and The Volatility of Unexpected Returns——Based on The VAR Variance Decomposition of Stock Return in China

本文以1999~2009年我国A股上市公司为样本,基于非有效市场理论,运用VAR方差分解模型,分析了盈余管理如何影响股票收益波动及其组成部分。研究发现,盈余信息是我国非预期股票收益波动的主要驱动因素,盈余信息的方差贡献比折现率信息的方差贡献要大;盈余质量减少了股票收益的方差波动,特别是减少了盈余信息的方差贡献;当上市公司进行负向盈余管理时,盈余质量对股票收益波动的影响更大。本文不但丰富了盈余质量与股票收益波动的相关文献,而且对我国监管部门加强证券市场的稳定性发展具有一定的参考价值。

Using a sample of Chinese public companies from 1999 to 2009 and VAR variance decomposition methodology,this study explores how earnings quality affects the volatility of unexpected returns and its two components.We find that,in China,firm-level stock returns are mainly driven by earnings news.The variance of earnings news is more than that of discount rate news.Moreover,earnings quality decrease the volatihty of unexpected returns,especially the variance contribution of earnings news.When the managers make negative earnings management,the impact of earnings quality on the volatihty of unexpected returns.