( ) (insurance) KPMG (assurance),, Menon Williams (1994) Laventhol Horwath(L&H), L&H,,L&H ( [2003]2 ),,Menon Williams (1994) L&H L&H, Menon Men

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0 202 0.01 12-1.81 0.07 13 0.0 019 0.01 62 0.1 2 0.905 8 B R C H + H 3 0.00 02 0.00 33 0.06 0.955 0.0 093 0.00 48 1.9 5 0.050 9 D A + H 4 0.02 86 0.01 46 1.96 0.05 08 0.0 192 0.02 12 0.9 1 0.

8 ,H7 ( ) ,,, H8:,, 3, 5 10, : 3 ( Simunic,, 3, H8, ( [2003]2 3 ) 2003 f LNFEE ()*+ N "M /0 Sinofin 2002 INSURANCE!"#$ % & % ASSET ()*+,-. /0 CSMAR 1lnfee INVREC ()* ,-.":; CSMAR 1lnfee SUBCNT Wind 1lnfee CONSUM ()*+CDE"FGHIJKLMNO!P 1lnfee, ()*+Q RS5 CSMAR DA 1lnfee, T UVJones& $WXYZ % [W % SUBLINE \]^_= ( Ta-bXTa)/ c,-. CSMAR 1lnfee [ ()*+def( g" hijklm ST CSMAR 1lnfee 1 ijklmn0 oijklm ()*+D2001~2002 pq derstuvww BRCH CSMAR 1lnfee 1 rstuvwwn0 xyrstuvww PB ) z= g{k,) / c -.{K CSMAR 1lnfee VAR } ~ =} g CSMAR 1lnfee ROE -.Y z=q Ta/ c -. CSMAR 1lnfee LEV -. z=, /-., CSMAR 1lnfee CURRENT :z= -./ CSMAR 1lnfee ded C BIG5 1 h n0 CSMAR 1lnfee IND *+WX WX$ (GICS)" Wind 1lnfee

$P 1lnfee, ()*+Q RS5 CSMAR DA 1lnfee, T UVJones& $WXYZ % [W % SUBLINE \]^_= ( Ta-bXTa)/ c,-.$

9 1980;Francis and Simon,1987;Gul et al.,2003),,,,, ,,Gul (2003) ; ; (2009), 968 (INSURANCE) RENT) (LEGAL), 2003 (3) ( ) :,, H8,, 2003 (2002 ) 78% T OLS 4,,, (1) 5 (CAR5), (ROE LEV CUR- (2) (3) (ROE LEV CURRENT) (LE- 4 GAL) ;,, H8,

10 ( ) T P T P T P Intercept INSURANCE ASSET < < <.0001 INVREC SUBCNT < < CONSUM < < < < < < DA ST BRCH PB VAR ROE LEV CURRENT BIG IND R-Square= R-Square= R-Square= F F Value=15.93 Pr < F Value=7.91 Pr < F Value=18.87 Pr < H8,,,,,,,, ;,, (SUBLINE) (PB) (VAR) (Factor_DA, (FGLS) Factor_SUBLINE,Factor_PB,Factor_VAR),FGLS OLS P,,, (DA), ,,,

0018 5.77 <.0001 0.0102 0.0021 4.91 <.0001 0.0111 0.0034 3.31 0.0012 CONSUM <0.0001 <0.0000 1.83 0.067 <0.0000 <0.0000 1.91 0.0561 <0.0000 <0.0000-0.6 0.5519 DA 0.2474 0.2007 1.23 0.2182 0.1863 0.

11 , ;, 2003, Factor_DA,Factor_SUBLINE, Factor_PB,Factor_VAR,, (2005) , Jones (DA) (SUBLINE), , 1 Jones, 9 ; 10, (, ), 5 10, ; ~ 1 2, ; ; [2003]2 3 [2001]43 [2003]2 [2007]12, ( ) [2003]2 ( [2003]2 ), ( [1993]15 ) 3,

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12 ( ) ,, (6)Baber, W. R., K. R. Kumar and T. Verghese, 1995, Client, Security Price Reactions to the Laventhol and Horwath Bankruptcy, Journal of Accounting Research, 33(2), pp.385~395. ; (7)Ball, R. and P. Brown, 1968, An Empirical Evaluation of Accounting Income Numbers, Journal of Accounting Research, 6 (Autumn), pp.159~178., (8)Brown, D., S. Shu and G. M. Trompeter, 2008, The Insurance Hypothesis: The Case of KPMG s Audit Clients, 5, ssrn.com., (9)Chow, C., L. Kramer and W. Wallace, 1988, The Environment of Auditing, In Research Opportunities in Auditing: 6 (2007) The Second Decade, Sarasota, FL: American Accounting Association. (10)Dontoh, A., J. Ronen and B. Sarath, 2008, Financial 4 Statements Insurance, 7, (11)Francis, J. R. and D. T. Simon, 1987, A Test of Audit Pricing in the Small -client Segment of the US Audit Market, 8 The Accounting Review, 62(1), pp.145~ (12)Gul, Ferdinand A., Charles J. P. Chen and Judy S. L. (BIG5) (CLEAN) Tsui, 2003, Discretionary Accounting Accruals, Managers Incentives and Audit Fees, Contemporary Accounting Research, 10 20(3), pp.441~464. (13)Jones J. J., 1991, Earnings Management During Import Relief Investigation, Journal Of Accounting Research, 29 (2),, pp.193~228. ( Jones (14)Lintner, J., 1965, The Valuation of Risk Assets and ) T the Selection of Risky Investments in Stock Portfolios and Capital :, Budgets, Review of Economics and Statistics, 47, pp.13~37. (15)Menon, K. and J. D. Williams, 1994, The Insurance Jones Hypothesis and Market Prices, The Accounting Review, 69 (2), Jones pp.327~342.,t, (16)Ronen, J., 2002, Policy Reforms in the Aftermath of Jones Accounting Scandals, Journal of Accounting and Public Policy, 21(4~5), pp.281~286. (1) : (17)Sharpe, W. F., 1964, Capital Asset Prices: A Theory of,, Market Equilibrium Under Conditions of Risk, Journal of Finance, 19, pp.425~442. (2) : (2006),,2007 (18)Simunic, D. A., 1980, The Pricing of Audit Services: (3) : Theory and Evidence, Journal of Accounting Research, 18(1),,, pp.161~190. (4) :,1995 (19)Wallace, W., 1987, The Economic Role of the Audit in Free and Regulated Markets: A Review, Research in Accounting (5) : Regulation, 1, pp.7~

Trompeter, 2008, The Insurance Hypothesis: The Case of KPMG s Audit Clients, http:// 5, ssrn.com., (9)Chow, C., L. Kramer and W.

<4D6963726F736F667420576F7264202D20323031342DB5DA32C6DA2DD6D0B4F3B9DCC0EDD1D0BEBF2DC4DACEC42D6F6B2DD2BBD0A32E646F63>

<4D6963726F736F667420576F7264202D20323031342DB5DA32C6DA2DD6D0B4F3B9DCC0EDD1D0BEBF2DC4DACEC42D6F6B2DD2BBD0A32E646F63> 中大管理研究 2014 年第 9 卷 (2) 投资者情绪与会计信息价值相关性基于中国上市公司的实证分析 1 季美惠宋顺林王思琪摘要 : 目前, 国内有关投资者情绪的研究主要集中于投资者情绪与股票回报之间关系的研究, 有关投资者情绪对