股票换手率对会计数据价值相关性的影响 ——中国 A 股市场与泰国股市的比较证据
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已出版:
6月 30, 2019
关键词:
Ohlson估值模型 每股会计盈利 每股账面价值 股票换手率
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摘要
本研究的主要目的是要找出中泰两国股票市场股票换手率对于会计数据的价值相关性影响的差异， 给越来越多去泰国股票市场买卖股票的中国投资者提供一定的参考。 本研究利用中国 A 股主板上市公司以及泰国股票市场2007年到2016年十年的公司会计数据， 基于Ohlson剩余收益模型对中泰两国上市公司股票换手率是如何影响会计数据的价值相关性进行比较研究， 研究结果表明： 两国上市公司股票换手率对会计数据的反映趋势是不同的， 中国上市公司股票换手率越高， 会计数据与股票价格的相关性越低; 而泰国上市公司换手率越高， 会计数据与股票价格的相关性越高。 最后本文利用拟合优度R2法， 验证了两国上市公司股票换手率对于会计数据对股票价格解释力的影响趋势。
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Zhang, Y., & Lu, G. (2019). 股票换手率对会计数据价值相关性的影响 ——中国 A 股市场与泰国股市的比较证据. 社会科学与管理, 3(1), 13–24. 取读于 从 https://so01.tci-thaijo.org/index.php/CJSSM/article/view/199617
栏目
研究型文章
Chinese Journal of Social Science and Management Editorial Division
The Office of Research and Development, Panyapiwat Institute of Management
85/1 Moo 2, Chaengwattana Rd., Bang Talat, Pakkred, Nonthaburi 11120, Thailand
Tel. 02 855 01048 E-mail: cjssm@pim.ac.th
参考
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Bernard, V. L. (1995). The Feltham–Ohlson Framework: Implications for Empiricists. Contemporary Accounting Research, 11(2), 733-747.
Brennan, M. J., Chordia, T. & Subrahmanyam, A. (1998). Alternative factor specifications, security characteristics and the cross-section of expected stock returns. Journal of Financial Economics, 49(3), 345-373.
Chen, X. Y., Chen, D. H. & Zhu, H. J. (2002). Net assets, residual income and market pricing: correlation of value of accounting information. Financial Research, (4), 59-70. [in Chinese]
Delkhosh, M. (2016). Correlation between accounting information and stock price. Retrieved June 20, 2018, From https://www.researchgate.net/publication/303760577_Correlation_between_accounting_information_and_stock_price
Frankel, R. & Lee, C. M. C. (1996). Accounting diversity and international valuation. Retrieved June 15, 2018, From https://www.researchgate.net/publication/228170590_Accounting_Diversity_and_International_Valuation
Keynes, J. M. (1937). The general theory of employment. The Quarterly Journal of Economics, 51(2), 209-223.
Kothari, S. P. & Zimmerman, J. L. (1995). Price and return models. Journal of Accounting & Economics, 20(2), 155-192.
Lu, G. H. (2012). Stock price overreaction to accounting surplus and capital allocation efficiency. Nankai Business Review, 15(6), 25-33.
Ohlson, J. A. & Juettner-Nauroth, B. E. (2005). Expected eps and eps growth as determinants of value. Review of Accounting Studies, 10(2-3), 349-365.
Ohlson, J. A. (1995). Earnings, book values, and dividends in equity valuation. Contemporary Accounting Research, 11(11), 661-687.
Phansatan, S., Powell, J. G., Tanthanongsakkun, S. & Treepongkaruna, S. (2012). Investor type trading behavior and trade performance: evidence from the Thai stock market. Pacific-Basin Finance Journal, 20(1), 1-23.
Quan, N. T. (2017). The behavior patterns of investors in Thailand stock market. Asian Journal of Finance & Accounting, 9(1), 155-165
Song, X. Z. & Wang, Z. X. (2004). Stock liquidity and asset pricing: empirical analysis based on time series regression. The Theory and Practice of Finance and Economics, 25(6), 43-49. [in Chinese]
Su, D. W. & Mai, Y. X. (2004). Turnover rate and asset pricing: an empirical study based on the turnover rate and expected return of Chinese stock market. Economic Research, (2), 95-105. [in Chinese]
Wang, F. S. & Zhou, W. J. (2007). Empirical research on simplified models of accounting data affecting stock prices. Journal of Management Sciences, 20(2), 74-79. [in Chinese]
Zhang, J. Q., Meng, W. D. & Lu, J. (2006). Comparative analysis of different explanatory power of stock price and value by dividend discount model, free cash flow discount model and residual income model — empirical data from Chinese securities market. Economic Review, (6), 92-98. [in Chinese]
Bernard, V. L. (1995). The Feltham–Ohlson Framework: Implications for Empiricists. Contemporary Accounting Research, 11(2), 733-747.
Brennan, M. J., Chordia, T. & Subrahmanyam, A. (1998). Alternative factor specifications, security characteristics and the cross-section of expected stock returns. Journal of Financial Economics, 49(3), 345-373.
Chen, X. Y., Chen, D. H. & Zhu, H. J. (2002). Net assets, residual income and market pricing: correlation of value of accounting information. Financial Research, (4), 59-70. [in Chinese]
Delkhosh, M. (2016). Correlation between accounting information and stock price. Retrieved June 20, 2018, From https://www.researchgate.net/publication/303760577_Correlation_between_accounting_information_and_stock_price
Frankel, R. & Lee, C. M. C. (1996). Accounting diversity and international valuation. Retrieved June 15, 2018, From https://www.researchgate.net/publication/228170590_Accounting_Diversity_and_International_Valuation
Keynes, J. M. (1937). The general theory of employment. The Quarterly Journal of Economics, 51(2), 209-223.
Kothari, S. P. & Zimmerman, J. L. (1995). Price and return models. Journal of Accounting & Economics, 20(2), 155-192.
Lu, G. H. (2012). Stock price overreaction to accounting surplus and capital allocation efficiency. Nankai Business Review, 15(6), 25-33.
Ohlson, J. A. & Juettner-Nauroth, B. E. (2005). Expected eps and eps growth as determinants of value. Review of Accounting Studies, 10(2-3), 349-365.
Ohlson, J. A. (1995). Earnings, book values, and dividends in equity valuation. Contemporary Accounting Research, 11(11), 661-687.
Phansatan, S., Powell, J. G., Tanthanongsakkun, S. & Treepongkaruna, S. (2012). Investor type trading behavior and trade performance: evidence from the Thai stock market. Pacific-Basin Finance Journal, 20(1), 1-23.
Quan, N. T. (2017). The behavior patterns of investors in Thailand stock market. Asian Journal of Finance & Accounting, 9(1), 155-165
Song, X. Z. & Wang, Z. X. (2004). Stock liquidity and asset pricing: empirical analysis based on time series regression. The Theory and Practice of Finance and Economics, 25(6), 43-49. [in Chinese]
Su, D. W. & Mai, Y. X. (2004). Turnover rate and asset pricing: an empirical study based on the turnover rate and expected return of Chinese stock market. Economic Research, (2), 95-105. [in Chinese]
Wang, F. S. & Zhou, W. J. (2007). Empirical research on simplified models of accounting data affecting stock prices. Journal of Management Sciences, 20(2), 74-79. [in Chinese]
Zhang, J. Q., Meng, W. D. & Lu, J. (2006). Comparative analysis of different explanatory power of stock price and value by dividend discount model, free cash flow discount model and residual income model — empirical data from Chinese securities market. Economic Review, (6), 92-98. [in Chinese]
