股价信息含量的实证研究.doc
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股价信息含量的实证研究,摘要股价变动和盈余变动的关系在氦的一段时间以来，都是实证会计研究所关注的热点。受到金融危机的影响，全球股市持续低迷，在此背景下，股价和盈余问题的研究变得越来越重要。但是从现有的文献来看，大多数都集中在盈余信息含量的研究上，很少关注股价的信息含量的问题。同国外的研究相比，我国对股价和盈余关系的研究水平则相差很多，其研究水...
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摘要
股价变动和盈余变动的关系在氦的一段时间以来，都是实证会计研究所关注的热点。受到金融危机的影响，全球股市持续低迷，在此背景下，股价和盈余问题的研究变得越来越重要。但是从现有的文献来看，大多数都集中在盈余信息含量的研究上，很少关注股价的信息含量的问题。同国外的研究相比，我国对股价和盈余关系的研究水平则相差很多，其研究水平依然停留在国外的70年代的水平。在现阶段，国内所有的文献依然把目光聚焦于盈余的信息含量。因此，正确的认识股价信息含量以及股价和盈余复杂的互相作用的关系，对我国现阶段的实证研究具有重大的意义。
首先，对国内外的股价信息含量的研究进行综述，包括信息含量和股价信息含量的基本概念介绍、国内外股价信息含量基本理论归纳以及国内关于股价信息含量的研究趋势预测。
在理论研究的基础上，选用沪市制造业上市公司的数据，通过建立回归方程模型，来验证股价是否存在信息含量，接下来，对样本面板数据进行单位根检验、协整检验来分析股价变动和盈余变动之间的相互作用关系。从而可以为相关的投资者提供一些决策的思路和方法。
关键词：股价信息含量；盈余；协整检验；
Abstract
The relationship between the changes of stock price and earnings in a very long period of time are the focus of attention of Positive Accounting Research. By the financial crisis with the global stock market downturn in this context the issue of stock prices and earnings have become increasingly important. But from the existing literature point of view most of them are concentrated in the surplus of information content of the research very little attention is paid to the information content of stock issues. Compared with overseas studies our right relationship between stock prices and earnings level of research is far small its level of research has remained at the level of foreign 70s. At this stage all domestic literature is still their sights focused on the information content of earnings. Therefore the correct understanding of the information content of stock prices as well as stock prices and a surplus of a complex interaction of the relationship between empirical research on China at the present stage of great significance.
First the right domestic and foreign stock information content studies are reviewed including information content and stock price information content of the basic concept has been introduced domestic and foreign stock information content of the basic theory of induction as well as domestic research on the price trend forecast information content.
In the theoretical study based on the selection of a listed company SSE manufacturing sector data through the establishment of the regression equation models to verify the existence of the information content of stock prices and then the sample panel data unit root test cointegration test to analyze the stock price change and interaction between changes in earnings. Which can provide investors with some policy-related ideas and methods.
Keywords：information content of Stock price Surplus Cointegration test
股价变动和盈余变动的关系在氦的一段时间以来，都是实证会计研究所关注的热点。受到金融危机的影响，全球股市持续低迷，在此背景下，股价和盈余问题的研究变得越来越重要。但是从现有的文献来看，大多数都集中在盈余信息含量的研究上，很少关注股价的信息含量的问题。同国外的研究相比，我国对股价和盈余关系的研究水平则相差很多，其研究水平依然停留在国外的70年代的水平。在现阶段，国内所有的文献依然把目光聚焦于盈余的信息含量。因此，正确的认识股价信息含量以及股价和盈余复杂的互相作用的关系，对我国现阶段的实证研究具有重大的意义。
首先，对国内外的股价信息含量的研究进行综述，包括信息含量和股价信息含量的基本概念介绍、国内外股价信息含量基本理论归纳以及国内关于股价信息含量的研究趋势预测。
在理论研究的基础上，选用沪市制造业上市公司的数据，通过建立回归方程模型，来验证股价是否存在信息含量，接下来，对样本面板数据进行单位根检验、协整检验来分析股价变动和盈余变动之间的相互作用关系。从而可以为相关的投资者提供一些决策的思路和方法。
关键词：股价信息含量；盈余；协整检验；
Abstract
The relationship between the changes of stock price and earnings in a very long period of time are the focus of attention of Positive Accounting Research. By the financial crisis with the global stock market downturn in this context the issue of stock prices and earnings have become increasingly important. But from the existing literature point of view most of them are concentrated in the surplus of information content of the research very little attention is paid to the information content of stock issues. Compared with overseas studies our right relationship between stock prices and earnings level of research is far small its level of research has remained at the level of foreign 70s. At this stage all domestic literature is still their sights focused on the information content of earnings. Therefore the correct understanding of the information content of stock prices as well as stock prices and a surplus of a complex interaction of the relationship between empirical research on China at the present stage of great significance.
First the right domestic and foreign stock information content studies are reviewed including information content and stock price information content of the basic concept has been introduced domestic and foreign stock information content of the basic theory of induction as well as domestic research on the price trend forecast information content.
In the theoretical study ba
Keywords：information content of Stock price Surplus Cointegration test
