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西方的多数研究证实 ,个别企业的盈利变化过程大致可由随机游走过程来表述 ,这给后期的学者利用盈利数据进行实证研究提供了基础。中国的某些学者不加检验地引进了西方的研究成果 ,即假设企业的盈利遵循随机游走过程 ,甚至认为企业的盈利应该遵循带成长因素的随机游走过程。实际情况如何呢 ?本文以上海证券交易所 1 994年底之前上市的公司为样本 ,采用多种统计方法 ,分析了它们连续 6年的盈利报告 ,结果发现 :(1 )上市公司盈利额及总资产利润率并不遵循随机游走过程和带成长因素的随机游走过程。 (2 )从盈利增量呈强负自相关的两个样本组合的统计分析看 ,模型中加进盈利增量变量 ,较大地提高了模型拟合度。 (3)从多项统计指标的显著改善可以看出 ,模型Et=b1 Et- 1 +b2 ΔEt- 1 +εt 能更好地描述样本公司的盈利成长。
Most Western studies confirm that the process of individual companies’ earnings changes can be roughly described by the random walk process, which provides the basis for later scholars to make empirical research based on earnings data. Some scholars in China introduce the western research results without any test, that is, assume that the profit of enterprises follows the random walk process and even think that the profit of enterprises should follow the random walk process with growth factors. The actual situation? In this paper, the Shanghai Stock Exchange listed companies before the end of 1994 as a sample, using a variety of statistical methods, analysis of their 6 consecutive years of earnings reports and found: (1) the profitability of listed companies and total assets Profit margins do not follow the random walk process and the random walk process with growth factors. (2) According to the statistical analysis of the two sample combinations with strong negative correlation between earnings growth, the incremental profit-adding variables in the model greatly improve the model fitting degree. (3) From the significant improvement of various statistical indicators, it can be seen that the model Et = b1 Et-1 + b2 ΔEt- 1 + εt can better describe the earnings growth of sample companies.