基于剩余收益模型的企业价值评估实证研究

文章通过对当前主流企业价值评估方法的局限性和剩余收益模型的优越性进行分析,采用中小板上市企业数据进行实证检验,运用剩余收益模型对剩余收益和净资产与股价的相关性进行回归,得出剩余收益模型对于股票价值有较强的解释力,将企业价值评估由理论推向了实证。     

上市公司非标准审计意见的市场反应及价值相关性研究——来自2001-2004年的经验证据

本文以中国证券市场2001年至2004年期间获得非标准审计意见的上市公司公布数据为样本，运用超额收益法和多元逻辑回归模型，分年度考察了非标准审计意见的市场反应及价值相关性。研究发现：（1）在年报公布日前后较短时窗内，市场对非标准意见表现出微弱的负反应，即非标准审计意见与股价超额收益增量呈负的弱价值相关性；（2）首次出具和连续出具的非标准审计意见分别与股价超额收益增量存在负和正的弱价值相关性，且前者的相关性低于后者；（3）2003年审计报告准则修订对非标准审计意见的价值相关性和决策有效性提升作用明显。     

连续时间剩余收益模型及股价连续波动分析

离散时间股票估值模型与股价连续波动走势之间存在矛盾。通过建立收益分解模型,获取上市公司实时财务数据,产生预测数据,生成连续时间剩余收益函数,在此基础上,建立股票的连续时间剩余收益估值模型。该模型提高了股票估值的准确性与时效性,并能够从会计盈余视角对股价短期波动走势作出理论解释与合理预测。     

基于人力资源和关系资源的商誉价值的确定

不管对正商誉的价值评估还是对负商誉的价值评估,都可以用超额收益法,其中关键问题是对未来企业年超额收益数或年降低收益数的估计.但是由于该方法默认的前提是:企业年超额收益数或年降低收益数全部是由商誉造成的,所以笔者认为用该方法估计商誉的价值误差会很大.不管对自创商誉还是对外购商誉,都可以用割差法.     

商誉会计理论的基石与重构

一、商誉会计理论的基石（一）传统的“三元理论”及其缺陷。商誉会计的“三元理论”即超额收益论、剩余价值论和无形资源论。超额收益论认为,商誉是超额收益部分的资本化价值;剩余价值论认为,商誉是企业总体价值与单项可辨认净资产的未来现金净流量与贴现值的差额,无...     

商誉减值的价值相关性——基于中国A股市场的经验证据

本文以2007—2014年中国A股上市公司为样本,研究商誉减值的价值相关性,并从盈余管理、内外部监督角度探究市场对商誉减值信息的价值判断。研究发现,商誉减值与股价和股票收益负相关,说明投资者对发生商誉减值的公司给予负面评价。进一步的研究显示,亏损公司的商誉减值信息的价值相关性较低,内部控制质量和审计质量高的公司商誉减值信息的价值相关性较高。上述发现表明,商誉减值信息具有价值相关性,且其价值相关性的高低受到盈余管理动机和内外部监督机制的影响。     

股票市场超额回报、参考机制与企业并购 ———来自制造业上市公司的经验证据

利用中国沪深两地制造业上市公司２００１—２０１６ 年并购事件为样本，探究企业先前并购事件的股票市场超额回报对后续并购行为的参照作用。研究发现，超额亏损与企业并购可能性呈显著负相关关系，超额收益与企业并购可能性呈显著正相关关系。进一步研究发现，超额收益较高时，超额收益与并购可能性的正相关关系并不显著。此外，并购绩效变动性与环境不确定性有重要的调节作用，较高的历史并购绩效变动性削弱了市场超额回报对后续并购行为的影响作用，较高的环境不确定性增强了两者之间的关系。     

新企业会计准则下盈余结构的价值相关性——来自沪市A股的经验证据

基于2007年沪市A股中报数据,从相对和增量价值相关性两个角度研究了盈余结构以及具体盈余项目与股票回报之间的关系。研究发现,全面收益的价值相关性水平不如净利润,投资者对利润表的关注程度远高于所有者权益变动表;同时,对总括盈余进行分解能显著增加盈余对股票回报的解释力,除全面收益中部分项目外,各分解项目对股票回报均有显著的增量价值相关性,这表明披露结构性盈余项目有利于投资者判断公司价值。     

金融资产的超额回报与金融企业的估值

传统价值理论忽视了金融资产的超额回报,因而大大降低了其对实际股价的解释力。金融资产与经营资产一样,在一定条件下也可以产生超额回报,因此,应在估值中单独考虑金融资产的超额回报。在牛市中,金融企业可以享受价值重估的好处,跑赢市场;但随着实体资产的证券化,即随着金融资产供给的增加,重估的速度将因此放缓,最终达到均衡。     

商誉、剩余收益与Ohlson模型

本文首先分析了各种商誉本质理论,认为以"投资者视角"下的"超额盈利观"来界定商誉最具有实证分析意义。进而引入著名的Ohlson剩余收益模型,理论分析了商誉和当期剩余收益之间的联系,绕开传统的多期贴现求和方式,建立了一个基于当期信息的商誉分析框架。最后基于此框架,以A股数据来对现行披露商誉的"杂质"问题和价值相关性问题做了经验研究,发现现行披露商誉具有正的价值相关性,但是也存在着不属于"超额盈利能力"的"杂质"。     

衍生品交易盈亏披露会影响瞬时股价吗？——基于2020年A股上市公司的分析

对2020年A股上市公司披露信息中含衍生品交易盈亏信息的数据进行多期双重差分分析，发现衍生品信息无论利好还是利空，皆存在显著负面的公告溢价。衍生品披露当日瞬时股价、3～5个交易日窗口期的累计异常收益率显著下跌，且衍生品信息不会显著影响该股票长期价值。细分披露类型发现，定期披露的衍生品信息导致的瞬时股价波动较小，且具有更显著的公告盈余漂移。     

The relationship between oil prices,the stock market and the exchange rate: Evidence from Mexico

This paper analyzes the variables of oil price, exchange rate and stock market index to explain how they interact with each other in the Mexican economy. The examined period includes monthly data from January 1992 to June 2017. A Vector Autoregressive Model (VAR) is implemented that includes oil prices, the nominal exchange rate, the Mexican stock market index, and the consumer price index. Results indicate that the exchange rate has a negative and statistically significant effect on the stock market index; this indicates that an appreciation of the exchange rate is related to an increase in the stock market index. It is also found that the consumer price index has a positive effect on the exchange rate and a negative effect on the stock market index. The results also indicate that oil prices are statistically significant against the exchange rate, concluding that an increase in oil prices creates an appreciation of the exchange rate. In addition, the impulse-response functions show that the effects found tend to disappear over time.     

Dispersion in analysts’ target prices and stock returns

We propose the dispersion in analysts’ target prices as a new measure of disagreement among analysts and a proxy of ex ante stock risk. In contrast to the negative return predictability of analysts’ earnings forecast dispersion but consistent with the risk hypothesis, we document a significant positive relation between the target price dispersion and future stock returns up to 24 months. The next-month return spread between the highest and lowest deciles sorted on the target price dispersion measures can be over 2%. Our findings cannot be explained by the standard risk factors and stock characteristics including the target price revision. Further supporting the risk hypothesis, the target price dispersion is positively related to future stock risk.     

The impact of capacity expansion on the market value of the firm

This paper empirically investigates the impact of capacity expansion decisions on the market value of the firm. Event study methodology is used to estimate the abnormal change in stock prices around capacity expansion decision announcements. On the day of the announcement, the magnitude of the price change is abnormally high, evidenced by a significantly positive mean standardized square of the abnormal change (Beaver's U-statistic). We also analyze factors that we could affect the direction and magnitude of the abnormal change in the stock prices. We find that the change in price on the day of the announcement is positively and significantly related to the real growth rate of the industry, and negatively and significantly related to the variability of demand. A negative relationship between the price change and industry capacity utilization is also found which can have important implications for companies which follow the wait-and-see approach to capacity expansion decisions. We also find management ownership to be a significant predictor in explaining stock price changes around these announcements.     

年报信息披露的超常收益及其影响因素

与年报盈余公告效应的研究不同,本文在拓展年报信息考虑范围的基础上,检验盈余信息、股利信息、账市比、成长性和财务风险等年报披露信息对不同公司规模的超常收益的解释能力。研究结果表明,年报信息披露窗口存在显著超常收益,账市比、盈余信息、股利信息对该超常收益有显著的解释能力,因为在大多数公司规模中,账市比、盈余信息的极端值含有股票未来收益的信息,账市比、盈余信息、股利信息对超常收益有显著的边际影响;但成长性和财务风险等年报信息仅对部分公司规模的超常收益有解释能力。     

Market Implications of the Audit Quality and Auditor Switches: Evidence from China

Independent audits enhance the credibility of corporate financial reports and assist investors to make rational decisions in the capital market. Nonetheless, the utility of the auditing function depends upon the quality of audits, which is determined by the independence and expertise of auditors. Hence, auditor choice and switch will not only affect an audit's quality, but will also influence decisions made by investors and other market participants. The purpose of this paper is to investigate how investors respond to the quality of audits and auditor switches in the Chinese context. Empirical results show that the quality of an audit and switching to a larger auditor have a positive (negative) impact on earnings response coefficients (ERCs) for firms with positive (negative) abnormal earnings. In contrast, switching to a smaller auditor has a negative (positive) impact on ERCs for firms with positive (negative) abnormal earnings. These results suggest that large auditing firms (Top 10) in China are perceived as more effective for curbing income-increased earnings management, which leads to higher (lower) ERCs for clients with positive (negative) abnormal earnings. Firms' switching to a larger auditor may signal high-quality earnings. Therefore, investors more often increase stock prices when firms have positive abnormal earnings and less often depreciate prices for negative abnormal earnings. Similarly, switching to a smaller auditor may signal lower earning quality, resulting in opposite market responses. In general, the empirical evidence suggests that audit information is valued by the capital market in China. Large auditing firms have been able to product-differentiate themselves within the Chinese stock market.     

On the differential market reaction to dividend initiations

The finance literature documents substantial positive stock price reaction to dividend initiations. Most dividend initiation studies focus on the average positive reaction; however, 40 percent of the firms that initiate dividends experience negative abnormal returns at announcement. This paper focuses on the apparent heterogeneity in the stock price reaction to dividend initiation. I find that the observed negative market reaction reflects the market’s economic assessment of the impact of the event on these firms, and that it is not caused by anticipation or confounding events. The result is also supported by the fact that the market reaction to dividend initiation for these firms is negatively related to initial dividend yield. Both the positive and negative observed reactions are consistent with conventional arguments regarding the information content of dividends, and their role in mitigating agency problems.     

Market effects of private equity placement: Evidence from Chinese equity and bond markets

Research has provided empirical evidence for the stock market reaction toward private placement; however, similar research has not been conducted in terms of the bond market. Using the event study method, we empirically examine the explanatory power of the signaling, free cash flow, and wealth transfer hypotheses based on the reaction of the stock market, bond market, and firm abnormal returns to the private placement announcement. The results show that the stock market has a negative reaction toward private placement, whereas the bond market has a positive reaction. The results also show that the scale of private placement is correlated with the severity of the market reaction. Abnormal returns indicate no significant change both before and after the private placement, and they are unaffected by the scale of private placement. These results are consistent with the wealth transfer hypothesis; however, the market reaction is not attributable to the signaling hypothesis and the free cash flow hypothesis. Extensive research shows that the abnormal returns of private placement change dramatically in non-state-owned enterprises and firms with low credit rating bonds, whereas the bond maturity has no significant impact on the abnormal returns—the wealth transfer effect of private placement is stronger in non-state-owned enterprises and firms with low credit rating bond.     

Partners of USEPA Climate Leaders: an Event Study on Stock Performance

This research utilized an event study method to assess how the stocks of publicly traded companies responded before and after announcing their partnership with the United States Environmental Protection Agency (USEPA) Climate Leaders program. Although the stocks exhibited an average non‐significant positive abnormal return of 0.56% on the day of the announcement, the cumulative abnormal returns for the stock prices of the firms for two of the three event windows showed statistically significant negative returns. These results suggest that these firms' public announcements of joining the USEPA Climate Leaders partnership did not have a positive impact on stock performance. While no immediate financial benefit was found in this research, the practices implemented by these firms to reduce their greenhouse gas emissions may still bode well for long‐term corporate earnings and attractiveness to investors. Copyright © 2011 John Wiley & Sons, Ltd and ERP Environment.     

Evolution of price effects after one-day abnormal returns in the US stock market

This paper provides a comprehensive analysis of price effects after one-day abnormal returns and their evolution in the US stock market, using Dow Jones Index over the period 1890–2018. We utilise several statistical tests and econometric methods (the modified cumulative abnormal return approach, regression analysis with dummy variables, R/S analysis (Hurst, 1951), and the trading simulation approach). The results suggest that a strong momentum effect between 1940 and 1980 after a day of positive abnormal returns was present in the US stock market, and it was exploitable for profit. However, after the 1980s this has since disappeared. Overall, price effects after one-day abnormal returns during the analysed period tend to be unstable in terms of their strength and direction (momentum or contrarian effect). Nowadays, the evidence for the price effects after one-day abnormal returns in the US stock market is weak. Our results, therefore, are consistent with the Adaptive Market Hypothesis (Lo, 2004).