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本文以2002—2011年我国A股上市公司为样本,运用基本CAPM模型的总体可决系数R~2的演化指标(以下表示为SYN_MAR)和股价波动同步性(以下表示为SYN_RATIO)两种指标来衡量资本市场同步性和个股层面的同步性,以期系统分析公允价值计量模式对宏观(即资本市场)和微观(即个股)层面同步性的影响。我们发现,2007年新准则实施后公允价值计量模式的推行,会显著增加资本市场的同步性。同时,在个股层面的研究结果指出,公允价值计量模式的推行显著降低微观层面的同步性,有助于公司特质信息的传递。在此基础上,我们分析宏观和微观层面结果分歧的内在原因,并将样本按照市值高低分成10组分别展开研究。结果发现,市值较低组公司同步性会随着公允价值计量模式的推行而减小,而市值较高组公司的同步性会随着公允价值计量模式的推行而变大。由于市值最高的一组公司占到了资本市场总市值的50%以上,因此按照市值进行加权后,资本市场总体的同步性是上升的。本文的研究表明,公允价值计量模式的大力推行,虽然有助于中小规模上市公司特质信息的传递并提高市场有效性,但是会加剧大型上市公司股价的同质化波动,弱化资本市场的信息传递功能,对于资本市场整体的资源配置角色有负面影响。这意味着,公允价值计量模式在大型上市公司中推行时,更应该关注和监管相关公允价值的计量、披露与会计核算,以提高资本市场有效性,使得该模式顺利推广。
In this paper, we take the 2002-2011 A-share listed companies in our country as a sample, and use two indicators of evolutionary index (hereinafter denoted as SYN_MAR) and volatility synchronization (hereinafter referred to as SYN_RATIO) of the basic deterministic coefficient of the basic CAPM model The purpose of this paper is to measure the synchronization of capital market and individual stock level in order to systematically analyze the impact of fair value measurement mode on the macro-level (ie, capital market) and micro (ie, individual stock) level synchronization. We found that the introduction of the new standard in 2007 after the implementation of the fair value measurement model will significantly increase the synchronization of capital markets. At the same time, the research results at individual stock level point out that the implementation of the fair value measurement mode significantly reduces the synchronization at the micro level and contributes to the transmission of company trait information. On this basis, we analyze the internal causes of the divergence of results at the macro and micro levels and divide the samples into 10 groups according to the market value respectively. The results show that firms with lower market capitalization will decrease in synchronism with the implementation of fair value measurement models, and the synchronization of firms with higher market capitalization will increase with the implementation of fair value measurement. Since the highest market value of a group of companies accounted for more than 50% of the total capital market capitalization, so in accordance with the market value of the weighted, the overall capital market synchronization is on the rise. The research of this paper shows that the vigorous implementation of the fair value measurement mode, while contributing to the transmission of trait information of small and medium-sized listed companies and improving the market efficiency, will aggravate the homogenization of stock prices of large-scale listed companies and weaken the information transmission in capital markets Function, have a negative impact on the overall resource allocation role of the capital market. This means that when the fair value measurement model is implemented in large-scale listed companies, it should pay more attention to and supervise the measurement, disclosure and accounting of the relevant fair value in order to improve the effectiveness of the capital market and promote the smooth promotion of the model.