Comprehensive earnings 8 Balachandran Mohanram 9 Karami Hajiazimi 10 Gokmen 11 Kousenidi 12 Manganaris 13 Separated earnings Ball Brown 5

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1 1 周晓苏 2 吴锡皓 ( 1. 南开大学商学院, 天津 ; 2. 海南大学经济与管理学院, 海口 ) 基于不同投资者类型的分析视角, 本文探析了会计稳健性对非经常性收益和损失的价值相关性的影响研究表明, 在以机构投资者为主的公司中, 稳健性的增强会导致非经常性收益缺乏价值相关性, 但却提高了非经常性损失的价值相关性, 并且二者的差异随着稳健性的增强而加大 ; 而以散户为主的公司中, 稳健性的增强会同时提高非经常性收益和损失的价值相关性该结果表明, 在稳健性影响分项盈余价值相关性的过程中, 投资者的信息甄别能力起到了至关重要的作用稳健性 ; 非经常性损益 ; 价值相关性 ; 机构投资者 ; 散户 ; 信息甄别能力 Good news Bad news 1 Asymmetric timeliness 1-4 Value relevance JZD YJA Beaver Ryan 2 Conditional conservatism Unconditional conservatism 2 Ball Brown MANAGEMENT REVIEW REVIEW Vol.26 Vol.25 No No.02(2013) 3

2 Comprehensive earnings 8 Balachandran Mohanram 9 Karami Hajiazimi 10 Gokmen 11 Kousenidi 12 Manganaris 13 Separated earnings Ball Brown 5 Holthausen Watts 18 Barth QFII 4 管理评论 Vol.25%%%No.02(2013) Vol.26 No

3 EPS Karami Hajiazimi 10 Gokmen 11 8 Kousenidi 12 Kousenidi 12 U Manganaris 13 IFRS IFRS IFRS Balachandran Mohanram 9 Unrelated Brown 19 Higher accrual intensity Lower accrual intensity Wang Trimble 14 Wang Trimble Special items Wang Trimble Positive Negative Wang Trimble 14 Lipe 20 Jian Wong Elliott Hanna 24 5 Elliott Hanna 24 Black Cready 27 Francis Elliott Hanna 24 1 Elliott Hanna 24 MANAGEMENT REVIEW REVIEW Vol.26 Vol.25 No No.02(2013) 5

4 1-4 1 Time News /Earnings t 0 Good news Bad news Positive earnings Negative earnings t 2 - t 0 t 1 - t Positive earnings Negative earnings Foreseen Unforeseen Opportunities and capabilities Sophistication 6 管理评论 Vol.25%%%No.02(2013) Vol.26 No

5 1 H1a H1b H1c Functional fixation 6 Hand H2a H2b 1 检验模型与变量 1 Price model Return 6 Functional Fixation Hypothesis FFH Efficient Market Hypothesis EMH EMH FFH 32 MANAGEMENT REVIEW REVIEW Vol.26 Vol.25 No No.02(2013) 7

6 model Unexpected earnings Expected earnings 33 8 Balachandran Mohanram 9 Wang Trimble 14 Panel data R it = α 0 + α 1 ΔEPS it /P it -1 + α 2 GainPS it /P it -1 + α 3 LossPS it /P it -1 + α 4 BEPS it /P it -1 + α 5 C - Score it + α 6 GainPS it /P it -1 * C - Score it + α 7 LossPS it /P it -1 * C - Score it + ε it 1 1 i t 1 1 α 6 α 7 α 6 α 7 0 α 6 α C-Score it 1 Khan Watts 4 Basu 1 EPS it /P it -1 = β 0 + β 1 RET it + β 2 D it + β 3 D it * RET it 2 G - Score = β 1 = μ 1 + μ 2 Size it + μ 3 M /B it + μ 4 Lev it 3 C - Score = β 3 = λ 1 + λ 2 Size it + λ 3 M /B it + λ 4 Lev it 4 2 Basu 1 3 G-Score 4 C-Score G-Score C-Score C-Score R it 变量 EPS it ΔEPS it P it-1 SGainPS it LossPS it BEPS it 变量定义 1 公司 i 在第 t 年 5 月 1 日至第 t+1 年 4 月 30 日止的股票回报率每股盈余第 t 年和第 t-1 年的每股盈余 ( EPS) 的差分值第 t 年 4 月份最后一个交易日的收盘价每股非经常性收益, 等于 : 营业外收入 / 普通股股数 7 每股非经常性损失, 等于 : -( 营业外支出 + 资产减值损失 ) / 普通股股数 8 每股基本盈余, 等于每股盈余 ( EPS) 扣除每股非经常性收益和每股非经常性损失后的余额 C-Score it 稳健指数, 计算过程参考 Khan 和 Watts [4] RET it 公司 i 在第 t 年 5 月 1 日至第 t+1 年 4 月 30 日止的经过市场调整的股票回报率 D it 虚拟变量, 当 RET it 为负时,D it 取值为 1, 否则为 0 7 8Elliott Hanna 24 Wang Trimble 管理评论 Vol.25%%%No.02(2013) Vol.26 No

7 变量 Size it M /B it Lev it Ins it 变量定义公司的规模, 等于 : 公司的股票市值的自然对数公司市账比, 等于 : 公司的股票市值 / 净资产账面价值杠杆水平, 等于 : 负债总额 / 股票市值机构投资者持股比重, 等于 : 机构投资者持股 / 实际流通股 Ins it Ins it 2 样本选择 A 100% Wind 1 描述性统计 R it GainPS it Ins it % % 变量均值中位数标准差最小值 25% 分位数 75% 分位数最大值 R it ΔEPS it GainPS it LossPS it BEPS it C-Score it Ins it 回归结果及其分析 Ins it Ins it 0-25% Ins it Ins it 25% Ins it % Ins it Ins it 75% Fixed effect Random effect Hausman Hausman P 5% Hausman P 5%3 9 9 Hausman MANAGEMENT REVIEW REVIEW Vol.26 Vol.25 No No.02(2013) 9

8 1 α 6 α 7 1% 8 Balachandran Mohanram 9 Karami Hajiazimi 10 Gokmen 11 8 Karami Hajiazimi 10 Gokmen 11 EPS Balachandran Mohanram 9 α α 6 0 H1a α 7 1% H1b α 6 1% H2a α 7 5% H2b H1c α 6 α 7 F α 6 = α 7 F H1c Intercept ( α 0 ) EPS it /P it-1 ( α 1 ) GainPS it /P it-1 ( α 2 ) LossPS it /P it-1 ( α 3 ) BEPS it /P it-1 ( α 4 ) C-Scoreit ( α 5 ) GainPS it /P it-1 * ( α 6 ) 自变量 C-Scoreit 3 10 管理评论 Vol.25%%%No.02(2013) Vol.26 No 全样本以机构投资者为主的样本以散户为主的样本回归系数显著水平回归系数显著水平回归系数显著水平 ( ) ( ) ( 7. 76) ( ) ( ) ( ) ( 3. 28) ( ) ( 1. 95) ( 0. 96) ( ) ( 5. 72) ( ) ( 1. 18) ( 3. 2) ( ) ( 4. 42) ( 3. 00) ( 6. 1) ( ) ( 3. 5) LossPS it /P it-1 * C-Scoreit ( α 7 ) ( 3. 55) ( 2. 58) ( 1. 96) Hausman Chi 值 ( P 值 ) ( ) ( ) ( ) R 观测值 t 3 敏感性分析

9 1 Ins it 20% 80% Ins it 20% 80% Ins it Ins it α H1a α % H1b α 6 α 7 F H1c α 6 α 7 H2a H2b Intercept ( α 0 ) EPS it /P it-1 ( α 1 ) GainPS it /P it-1 ( α 2 ) LossPS it /P it-1 ( α 3 ) BEPS it /P it-1 ( α 4 ) C-Scoreit ( α 5 ) GainPS it /P it-1 * ( α 6 ) 自变量 C-Scoreit 4 以机构投资者为主的样本以散户为主的样本回归系数显著水平回归系数显著水平 ( ) ( 1. 65) ( 2. 06) ( ) ( 5. 4) ( ) ( 0. 18) ( 1. 92) ( ) ( 6. 95) ( 3. 04) ( 8. 2) ( ) ( 4. 26) LossPS it /P it-1 * C-Scoreit ( α 7 ) ( 2. 03) ( 3. 22) Hausman Chi 值 ( P 值 ) ( 7) ( ) R 观测值 t Insit 10% 90% 2 8 Balachandran Mohanram 9 Easton Harris 34 Francis Schipper MANAGEMENT REVIEW REVIEW Vol.26 Vol.25 No No.02(2013) 11

10 1 Basu S. The Conservatism Principle and the Asymmetric Timeliness of Earnings J. Journal of Accounting and Economics Beaver W. H. Ryan S. G. Conditional and Unconditional Conservatism Concepts and Modeling J. Review of Accounting Studies Watts R. L. Conservatism in Accounting. Part I. Explanations and Implications J. Accounting Horizons 2003a Khan M. Watts R. L. Estimation and Empirical Properties of a Firm Year Measure of Accounting Conservatism J. Journal of Accounting and Economics Ball R. Brown P. An Empirical Evaluation of Accounting Income Numbers J. Journal of Accounting Research J Barth M. E. Beaver W. H. Landsman W. R. The Relevance of the Value Relevance Literature for Financial Accounting Standard Setting Another View J. Journal of Accounting and Economics J Balachandran S. Mohanram P. Is the Decline in the Value Relevance of Accounting Driven by Increased Conservatism J. Review of Accounting Studies Karami G. Hajiazimi F. Value Relevance of Conditional Conservatism and the Role of Disclosure Empirical Evidence from Iran J. International Business Research Gokmen M. K. An Empirical Study on Conditional Conservatism and Value Relevance of Earnings J. The Journal of Academic Social Science Studies Kousenidi D. Ladas A. C. Negakis C. I. Value Relevance of Conservative and Non-conservative Accounting Information J. International Journal of Accounting Manganaris P. Floropoulos J. Smaragdi I. Conservatism and Value Relevance Evidence from the European Financial Sector J. American Journal of Economics and Business Administration Wang R. Z. Trimble M. K. The Asymmetric Market Valuation of Special Items and Accounting Conservatism R. SSRN Working Paper Hand J. R. M. A Test of the Extended Functional Fixation Hypothesis J. The Accounting Review D J Holthausen R. W. Watts R. L. The Relevance of the Value Relevance Literature for Financial Accounting Standard Setting J. 12 管理评论 Vol.25%%%No.02(2013) Vol.26 No

11 Journal of Accounting and Economics Brown W. D. He H. Teitel K. Conditional Conservatism and the Value Relevance of Accounting Earnings An International Study J. European Accounting Review Lipe R. The Information Contained in the Components of Earnings J. Journal of Accounting Research supplement Jian M. Wong T. J. Earnings Management and Tunneling through Related Party Transactions Evidence from Chinese Corporate Groups C. American Accounting Association 2004 Annual Conference Paper J J Elliott J. Hanna J. D. Repeated Accounting Write-offs and the Information Content of Earnings J. Journal of Accounting Research Black E. Carnes T. Richardson V. The Value Relevance of Multiple Occurrences of Nonrecurring Items J. Review of Quantitative Finance and Accounting D Cready W. Lopez T. J. Sisneros C. A. The Persistence and Market Valuation of Recurring Nonrecurring Items J. The Accounting Review Francis J. Hanna J. D. Vincent L. Causes and Effects of Discretionary Asset Write-offs J. Journal of Accounting Research Kohtari S. Zimmerman J. Price and Return Models J. Journal of Accounting and Economics Easton P. Security Returns and the Value Relevance of Accounting Data J. Accounting Horizons IPO J J D Easton P. Harris T. Earnings as an Explanatory Variable for Returns J. Journal of Accounting Research Francis J. Schipper K. Have Financial Statements Lost Their Relevance J. Journal of Accounting Research J A Research of the Impact of Conservatism on the Value Relevance of Non-recurring Gains and Losses Based on the Perspective of Different Investor Types Zhou Xiaosu 1 and Wu Xihao 2 1.Business School of Nankai University Tianjin Economics & Management School Hainan University Haikou Abstract This article investigates the impact of conservatism on the value relevance of non-recurring gains and losses based on the perspective of different investor types. It is found that the enhancement of conservatism could lead to the lack of the value relevance of nonrecurring gains while the improvement of the value relevance of non-recurring losses and that the difference between them will increase with the enhancement of conservatism in the companies whose main shareholders are institutional investors. However the enhancement of conservatism could lead to the improvement of the value relevance of both non-recurring gains and losses in the companies whose main shareholders are individual investors. These results show that investor s screening abilities play a crucial role in the impact of conservatism on the value relevance of the separated earnings. Key words conservatism non-recurring gains and losses value relevance institutional investors individual investors screening abilities MANAGEMENT REVIEW REVIEW Vol.26 Vol.25 No No.02(2013) 13

张肖飞.doc

张肖飞.doc 上市公司非经常性损益的信息噪音研究张肖飞 ( 中国人民大学商学院财务与金融系, 北京 100872) 摘要 : 文章以 2002 年 -2005 年上市公司披露的非经常性损益为研究对象, 对非经常性损益与股票价格投资回报率之间的关系进行研究,