不同盈利信息的可持续性及其对价值相关性影响的实证分析

运用设置虚拟变量的价格模型研究方法，经过对我国沪深A股1991～2003年8169个样本企业／年观测值的研究发现，我国主营业务利润的可持续性及预测能力无论是对未来1年还是对未来6年均高于非主营业务利润，但我国资本市场在早期不仅不能识别这两种不同性质的利润，反而偏好于非主营业务利润，但自2001年起．我国资本市场对这种错误的定价模式进行了纠正．2001～2003年我国主营业务利润的价值相关性高于非主营业务利润，这不仅标志着我国投资者的投资理念正走向成熟，而且也说明我国资本市场正向有效性较高的成熟资本市场靠拢。

Evidence from the Persistence and Predictive Power of Main Operating Income vs. One-time Items and Their Effect on the Value Relevance

Using a sample of all listed firms in the Shanghai and Shenzhen Stock Exchange from 1991 to 2003 with 8169 firm-year observations, with the help of price model and dummy variable, we obtain evidence that the persistence and predictive power of main operating income is greater than that of one-time items. However, the time series properties of earnings components are not correctly priced by the market. Instead, the earnings-response coefficients are larger for the one-time items than for main operating income at the earlier days before 2001. We also obtain evidence the stock market of china has rectified the wrong pricing method since 2001, which means that the stock market of China is becoming mature and mature.