分割资本市场下的会计信息价值研究

本文采用事件研究和面板数据回归方法对我国A股～H股双重上市公司境内外报表披露的会计盈余和帐面净值与股票超额收益的相关性进行了研究。分析表明,在A股市场上,境内报表披露的会计盈余等信息与A股超额收益之间没有显著的价值相关性;境内外报表关于会计盈余和账面净值的调整值对A股价格也没有影响;在H股市场,会计信息与股价之间的相关性较强,不仅境外报表披露的主要会计指标能够有效解释年报披露期间H股超额收益,而且境内外报表的会计盈余和账面净值调整值还具有增量信息价值。由此我们认为中国内地资本市场与香港资本市场的分割效应较为明显。

Corporate Characteristics and Social Disclosure——Evidence from Listed Companies in China

By means of Event Study and Panel Data Regression, the paper studies the relevance between the CAR and earnings and book value of annual reports disclosed by Chinese dual listing companies according to PRC-GAAP, HK-GAAP or IASs, which issue A shares and H shares simultaneously. In A share market, the accounting information of domestic reports has not value relevance to CAR of A share, the reconciliation of earnings and book values from PRC-GAAP to HK-GAAP or IASs has not yet. However, in H share market, the main accounting information in international reports can influence H share’s CAR, and the reconciliation between domestic and international reports has obviously incremental information content. Therefore, we argue that the segmentation effect between Mainland and Hong Kong capital markets is very prominent.