盈余时间序列持续性与ERC

Abstract

本文通过关注公司盈余和股票回报的关联程度及其与盈余时间序列 持续性的联系，探讨公司报告盈余所包含信息的本质。我们借助经典的估价模型以及考虑了盈余持续性经济影响因素的盈余时间序列模型，推导出ERC与盈余持续性之间的正向关联性。基于1994年-2011年255家公司的年度数据，我们的经验证据得到的结论是，考虑了公司基本面的盈余时间序列持续性越高，盈余反应系数就越大。总体而言，公司报告盈余向股票市场传递了信息，当期的盈余创新包含了当期权益和未来权益收益方面的信息。通过探讨盈余时间序列特征的估价含义，我们就能够揭露盈余信息含量的一种新维度。

This paper explores the nature of information contained in reported corporate earnings through the association between ERC and earnings persistence. Using the classical valuation model and the time一series model for the determinants of earnings persistence, we derive the positive association between ERC and earnings persistence. Based on the annual data of 255 n-share companies during 1994 and 2011, our results show that the higher earnings persistence is, the bigger the ERC is. Taken together, reported corporate earnings transfer information to the stock market, and the current earnings shock captures the information on both current and future benefits that accrue to its equity holders. By addressing the valuation implications of the time-series properties of earnings, we can uncover a new dimension of the information content of earnings.