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论文编号：	7479
作者编号：	2120132379
上传时间：	2015/6/10 15:13:34
中文题目：	会计稳健性、机构投资者持股与个股崩盘风险
英文题目：	Accounting Conservatism、Institutional Investors Holding and Crash Risk
指导老师：	陆宇建
中文关键字：	会计稳健性;崩盘风险;机构投资者
英文关键字：	accounting conservatism;stock crash risk;institutional investors
中文摘要：	随着我国资本市场规模的不断扩大，其对实体经济乃至整个国民经济的发展发挥的作用日益突出，股票价格的稳定也越发受到重视。然而由于资本市场发展速度很快，而与之配套的监管机制和法律法规并未得到充分的重视，使得资本市场上股票价格“跳水”现象仍十分突出，对资本市场的稳定构成严峻挑战。在经历了2008年国际金融危机导致股票市场泡沫破裂以后，对股市崩盘现象的原因以及相应的预防措施逐渐成为学者们的研究热点。会计稳健性是我国会计准则中的重要原则之一，它要求公司及时确认并披露坏消息，而对好消息的确认与披露有更严格的要求。本文试图将二者联系起来，探讨该会计准则的应用是否会降低个股崩盘风险、进而对整个资本市场的健康发展做出贡献。同时，机构投资者正逐步成为资本市场不可忽视的力量，研究它们的不同类型以及持股多少是否会对会计稳健性和个股崩盘风险的关系产生影响，对于完善机构投资者监管机制、更好地发挥它们在资本市场中的作用具有重要意义。 本文首先对会计稳健性和个股崩盘风险的国内外相关学术成果予以综述，提出本文的研究背景、意义、目的和方法等，同时基于相关的理论分析和文献综述等提出本文的假设并对主要变量的计量方法予以介绍。然后本文采用实证方法对提出的假设予以检验。本文以2009-2013年我国A股市场8761个上市公司观测值作为研究对象，分别运用应计-现金流模型和NCSKEW（DUVOL）模型计算会计稳健性和个股崩盘风险的大小，并采用回归模型进行二者关系的分析。同时引进机构投资者调节变量，研究其持股比例以及类型对二者关系的影响。研究发现：（1）会计稳健性水平的提高能够显著降低上市公司个股发生崩盘的风险；（2）机构投资者持股比例越高，会计稳健性对上市公司个股崩盘现象的抑制作用越显著；（3）在将机构投资者分为抵制型和敏感型两类后，本文发现，压力抵制型投资者持股比例的提升，会计稳健性对上市公司个股崩盘现象的抑制作用越显著，而压力敏感型投资者持股比例的提升则不能影响二者之间的关系。为使研究结论更为可靠，本文使用个股崩盘风险的Crash模型作为替代变量进行稳健性检验，结果基本保持不变。本文最后针对如何治理资本市场崩盘现象给出了一些建议。
英文摘要：	As capital market is playing a more and more important role in our national economic development, the stability of stock price is also attracting attentions. However, due to the fast development of the capital market accompanied by faulty regulatory mechanisms and laws, "diving" phenomenon is still very prominent, not only seriously violating the interests of investors, but also threatening the stability of capital market. After the bubble accumulated burst and the stock market crashes caused by 2008 international financial crisis, the reason of crashes and the corresponding preventive measures is becoming academic focus. Accounting conservatism is an important principle of China's accounting standards, which requires companies to promptly identify and disclose the “bad news”, but to identify and disclose the “good news” with a more stringent requirement. This paper attempts to link the two together, exploring whether the application of accounting conservatism will reduce the risk of stock crash, and contribute to the development of the capital market. At the same time, as institutional investors are becoming one of the important participants and the backbone of the capital markets, exploring how their types and the amount of stocks they hold will influence the relationship between accounting conservatism and crash risk is important for the government to improve the regulatory mechanism and meaningful for institutional investors to play a better role in the capital markets. Firstly, this dissertation reviews the relevant researches on accounting conservatism and stock crash risk, and then presents the research background, meaning, purpose, methods and so on. It selects companies which are listed in A-share during 2009 and 2013 as samples and then uses Accrual-Crash and NCSKEW(DUVOL) models to calculate the size of the accounting conservatism and the stock crash risk, and analyses the relationship between them with regression. Meanwhile, it adds institutional investors as the moderator in order to study its impact on the relationship between the two. It draws the following conclusions: (1) improvement of accounting conservatism can significantly reduce the risk of stock crash;(2) As an important participant in the capital market, institutional investors can significantly enhance the negative correlation between the two.ie, the bigger proportion that institutional investors hold stocks, the more obviously that accounting conservatism reduces the risk of the stock crash; (3) After the classification of institutional investors, it finds that pressure-resisted institutional investors can significantly enhance the negative correlation between the two, and the pressure-sensitive institutional investors can not. To make the conclusions more reliable, the dissertation carries a robustness check, replace the crash with Crash model, and the conclusions remain unchanged. Finally, it comes up with several relevant proposals based on the conclusions of this study.
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