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本文选取上市公司可操作性应计利润作为股票价格错误定价水平的代理变量,并据此进行实证研究。首先,对错误定价代理变量的有效性进行验证,结果表明,可操作性应计利润较好地反映了上市公司股票的错误定价水平。其次,通过构建SVAR模型,探究错误定价的影响因素以及各影响因素对错误定价水平变化的冲击效果、解释度。研究发现,货币供给量、融资结构能够对错误定价水平造成显著的长期(一年以上)反向冲击作用,且对错误定价水平的变化具备较高的解释能力。
In this paper, we choose the actuarial profit of listed companies as the proxy variable of the wrong pricing level of stock prices, and conduct empirical research accordingly. First of all, the validity of the wrongly priced proxy variables is verified. The results show that the accruals accruals reflect the wrong pricing of listed companies. Second, through the construction of SVAR model, the paper explores the influencing factors of the wrong pricing and the impacts and interpretations of each influencing factor on the changes of the wrong pricing level. The study finds that money supply and financing structure can cause significant long-term (more than one year) reverse impact on the level of false pricing, and have a higher ability to explain the changes in the level of error pricing.