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论文编号：	3142
作者编号：	2120092300
上传时间：	2011/6/2 8:38:46
中文题目：	制度变革、盈余持续性与市场定价行为研究
英文题目：	A Research on the Institutional Change, Earnings Sustainability and Market Pricing Behavior
指导老师：	陆宇建
中文关键字：	盈余持续性;制度变革;市场定价
英文关键字：	Earnings Sustainability; Institutional Change; Market Pricing Behavior
中文摘要：	中国的证券市场是经济转轨和改革的产物，它伴随着中国经济体制改革和市场化进程发展和壮大。相对于成熟市场经济国家的证券市场，我国的证券市场表现出更多的转型和变革特征。研究我国证券市场定价行为必须从中国独特的经济制度出发，必须考虑我国的转型经济背景和制度变革环境，重视制度变革对市场定价行为的影响。 本文基于我国证券市场的转型背景，从制度变革和盈余持续性的视角出发，分析我国证券市场的定价行为。在盈余持续性对市场定价行为的研究部分，本文对经典的费森-奥尔森模型进行修正，将盈余分解为永久性盈余和暂时性盈余，同时将暂时性盈余的持续性引入模型，实证分析了投资者在定价过程中对盈余持续性的反应；在制度变革对市场定价行为的研究方面，本文将配股权要求的变革和股权分置改革作为证券市场制度变革的典型代表引入分析模型，分析了其对市场定价行为的影响。 本文的主要结论如下：（1）不同持续性的会计盈余信息在市场定价过程中发挥了不同的作用，随着证券市场的发展，营业利润在会计盈余定价中的作用逐渐增强，非经常性损益的定价作用逐渐减弱；（2）证券市场制度变革会对市场定价行为产生显著的影响，股权分置改革成功，调整了控股股东与流通股东之间的利益关系，理顺了我国资本市场中长期扭曲的定价机制，对上市公司的市场价值产生了显著的正向影响；配股权要求的实现在股权分置背景下会对市场定价行为产生显著的负向影响；（3）以非经常性损益为代表的暂时性盈余的持续性同样会对市场定价行为产生影响，1999-2000年度，我国证券市场上表现出的“功能锁定”现象，一定程度上可以由非经常性损益的持续性解释，是一种市场理性行为，而非单纯的“功能锁定”现象。
英文摘要：	China's stock market is a product of economic transition and reform, and it has grown rapidly along with China’s economic system reform and the process of marketization. Compared with the mature market economies, China's stock market appears more features in the process of its transition and reform. The study of China’s stock market pricing must start from Chinese unique economic system, take into account China’s economic transition context and institutional change circumstance, pay attention to the influence of institutional change on market pricing behavior. Based on the context of China's stock market transition, this article analyzes China’s pricing behavior of stock market from the perspective of institutional change and earnings sustainability. In the study of the influence of surplus sustainability on market pricing, this article makes amendment to the classic Feltham - Ohlson model, divides earnings into permanent earnings and transitory earnings and introduces the sustainability of transitory earnings into model, analyzes investors’ reaction to earnings sustainability in pricing process with demonstration. While in the study of the influence of institutional change on the pricing behavior, this article introduces the reform required by stock allotment right and reform of non-tradable shares into analytical mode as typical representation of market system reform, analyzes its influence on market pricing behavior. The conclusion of the study in this article comes as follows: Firstly, information of accounting earnings with different sustainability plays various roles in the process of market pricing. With the development of stock market, the role of operating profit in accounting earnings pricing behavior will be intensified, while the role of pricing of extraordinary items will be weakened. Secondly, the reform of stock market will remarkably affect market pricing behavior. The success of reform of stock allotment right has adjusted the benefit relation between dominant stockholders and flowing shareholders, regulated the long-term distorted pricing mechanism in China’s capital market, positively influenced market value of listed companies. And the realization of requirement of stock allotment right will significantly negatively affect market pricing behavior in the circumstance of non-tradable shares. Thirdly, while the sustainability of nonrecurring transitory earnings similarly will influence market pricing, the Functional Fixation phenomenon in Chinese stock market from 1990 to 2000, to some extent, can be explained by the sustainability of extraordinary items. It is kind of market rational behavior, rather than pure Functional Fixation phenomenon.
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