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通过盈余反应系数基本模型和资本资产定价模型构建了一个有效的盈余反应系数模型,并对中国上市公司2003-2010年的未预期盈余和累计超额回报率进行了短窗口横截面回归处理。实证研究表明中国上市公司整体盈余反应系数维持在一个相对较低的水平,即盈余质量较低,有待进一步提高;盈余反应系数的时间序列特征表明,股权分置改革和新会计准则的实施并未显著改善中国上市公司盈余质量;此外,中国沪市盈余反应系数显著高于深市。
An effective model of earnings response coefficient is constructed by using the basic model of earnings response coefficient and capital asset pricing model, and the short window cross-section regression of the unplanned surpluses and cumulative excess returns of China’s listed companies from 2003 to 2010 is carried out. The empirical study shows that the overall earnings response coefficient of listed companies in China remains at a relatively low level, that is, the earnings quality is low and needs to be further improved. The time series characteristics of the earnings response coefficient show that the implementation of the non-tradable share reform and the new accounting standards have not been implemented Significantly improve the earnings quality of listed companies in China; In addition, the earnings reaction coefficient of China’s Shanghai stock market is significantly higher than the Shenzhen market.