公允价值变动对现金股利的影响及市场反应

发布时间：2018-01-03 05:34

本文关键词：公允价值变动对现金股利的影响及市场反应　出处：《中国矿业大学》2014年硕士论文　论文类型：学位论文

【摘要】：2007年，我国上市公司开始使用与国际财务报告准则日渐趋同的新会计准则体系，而公允价值的引入成为了学术界和实务界关注的重要话题。尽管公允价值可以提高会计信息的可靠性和相关性，但是由于公允价值具有公允性、动态性和估计性等特征，可能在使用中会受到个人私利的影响，成为盈余管理的工具。而现金股利分配恰好为公允价值的经济后果。公允价值变动对现金股利支付行为及支付水平会产生何种影响，公司治理是否会影响公允价值与现金股利分配的相关性以及投资者对不同公允价值下现金股利分配公告的市场反应是否不同，对于这些问题的研究不仅具有重要的理论意义，而且有利于今后上市公司现金股利分配的设计，对完善公司治理，引导证券市场的健康发展还具有重要的现实意义。本文应用会计目标理论、计量观和净剩余理论、行为公司金融理论、信号传递理论、代理理论及隧道理论分析了公允价值信息的相关性以及现金股利分配中存在的问题，并在此基础上研究了公允价值变动对现金股利支付意愿和支付水平的影响及市场反应，为更全面的理解上市公司公允价值的运用以及现金股利分配提供了理论依据。首先，本文研究了我国上市公司公允价值变动对现金股利支付意愿和支付水平的影响。发现公允价值计量的运用与现金股利支付意愿存在显著负相关关系，但在有现金股利分配且有公允价值变动的上市公司中，公允价值变动收益越大，现金股利支付水平高，公允价值变动损失越大，现金股利支付水平越低。说明财务报表使用者“功能锁定”于会计盈余，而不关注盈余结构和质量。其次，本文检验了公司治理对公允价值变动与现金股利分配相关性的影响，通过描述性统计、相关性分析和多元线性回归检验发现，在有现金股利分配且公允价值变动大于零的上市公司中，随着股权集中度的提高，加强了公允价值变动收益与每股现金股利的相关性，，反映出通过现金股利进行利益侵占的动机，并且随着市场化程度的加深或制度环境的改善，公允价值变动收益对每股现金股利的正向影响也增强；在有现金股利分配且公允价值变动小于零的上市公司中，随着股权集中度的提高，减弱了公允价值变动收益与每股现金股利的相关性，同样反映出大股东的利益侵占。最后，本文通过事件分析法分析了公允价值变动对现金股利公告市场反应的影响。研究结果表明，在公允价值变动大于零的上市公司中，现金股利公告日之后的平均累计超额报酬率、累计超额报酬率为显著正相关，股票价格上涨；在公允价值变动小于零的上市公司中，现金股利公告日之后的平均累计超额报酬率、累计超额报酬率正相关，但不显著，且在股利公告日第5天呈负相关，股票价格下降，说明投资者未能正确识别公允价值变动在利润中的角色。基于上述研究，为改善公允价值在现金股利分配中的作用，本文进一步提出了完善有关公允价值计量的准则、加强外部监管作用、完善上市公司内部治理结构、加快市场化进程等政策性建议。
[Abstract]:In 2007 , China ' s listed companies began to use the new accounting standards increasingly convergence with IFRS , and the introduction of fair value has become an important topic in academia and practice . This paper analyzes the relativity of fair value information and the problems existing in the distribution of cash dividends based on the theory of accounting objective , the theory of measurement , the theory of net surplus , the theory of financial theory , the theory of signal transmission , the theory of agency and the tunnel theory , and on the basis of which the influence of fair value change on the willingness and payment level of cash dividends is studied , and the theoretical basis is provided for more comprehensive understanding of the application of fair value of listed companies and the distribution of cash dividends . Firstly , the effect of fair value change on cash dividend payment willingness and payment level is studied in this paper . It is found that the use of fair value measurement has a significant negative correlation with cash dividend payout . However , the higher the fair value change , the more the cash dividend payout is , the greater the loss of fair value change , the lower the cash dividend payout level . It is shown that the financial statements user " function lock " is in the accounting earnings , and not pay attention to the surplus structure and quality . Secondly , this paper examines the effect of corporate governance on the relationship between fair value change and cash dividend distribution . By means of descriptive statistics , correlation analysis and multiple linear regression analysis , it is found that , with the increase of equity concentration , the positive effect of the change of fair value and cash dividend per share is enhanced . The results show that in the listed company whose fair value is greater than zero , the average cumulative excess return rate after the announcement date of cash dividend is positively correlated with the increase of stock price . In the listed company whose fair value change is less than zero , the average cumulative excess return rate after the announcement date of cash dividend is positively correlated with the increase of stock price . In order to improve the fair value ' s role in cash dividend distribution , this paper further puts forward some policy suggestions to improve the fair value measurement , strengthen the external supervision function , improve the internal governance structure of listed company and accelerate the market - oriented process .

【学位授予单位】：中国矿业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F275;F271;F832.51

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