公允价值会计与市场波动

2008年金融危机的爆发,使得公允价值会计倍受关注。一个焦点问题是:公允价值会计是否会加剧市场波动。我们针对2007—2011年中国A股市场的情况对这一问题进行了实证研究,主要结论如下:1)股价能够反应公允价值会计信息,且在市场波动期比平稳期反应更显著;2)公允价值会计信息与波动率之间的正相关关系在市场波动期比在平稳期更加显著;3)波动率与公允价值会计信息的正相关性主要出现在长周期上。

Fair Value Accounting and Market Volatility

Fair value accounting has been highly concerned after the outbreak of the financial crisis in 2008. One of the key problems is whether the fair value accounting enhance the volatility of the market. We investigate the Chinese A stock market of 2007—2011 and find some empirical evidence. Our major findings include: 1) the stock prices do react to the fair value information,the fair value information are more explanatory for stock prices in unstable period than in stable period; 2) there is the positive relevance between the fair value information and the volatility, and it is stronger in the unstable market than in the stable market; 3) the positive relevance between the fair value information and the volatility could be observed mostly in the long cycle.