OTC市场盈余信息含量研究
摘要
我国资本市场经过多年的努力与发展,现已形成了主板、中小企业板、创业板和OTC市场等不同定位的市场。OTC市场,又称场外市场,为我国处于成长期的企业和中小企业筹集大量初始资本,其主体是各地以高新园区形式创立的高新技术企业。深证证券交易所代办股份转让系统中新三板企业正是OTC主体市场的典型代表。现在,OTC市场的主体已初具雏形。
通过调研和统计发现的我国OTC市场研究特征和规律如下：其一,目前OTC市场的研究范围仅能倾向于新三板。虽然我国的OTC市场范围比较广泛,包含深交所代办股份转让系统内的新三板企业、老三板企业、B股退市转入企业,还包含天津滨海新区、武汉高科技园区等84个国家级高新科技园区中的非上市公司。然而,老三板和B股退市转入的企业均为退市公司,财务状况差；各地独自创立的OTC市场大都没有公开数据,或数据难以取得。其二,根据样本周平均非正常报酬率AAR的统计和分布情况,发现OTC市场的CAR窗口期为报表日前后的[-2,+2]周。
OTC市场中的广义盈余信息数据集,包含直接盈余信息和间接盈余信息：其一,直接盈余信息,是指投资者或报表使用者通过企业财务报告能够直接查询或简单加和后可以直接获取的盈余信息。其二,间接盈余信息,是指投资者或报表使用者通过对直接盈余信息的复杂加工和计算,能够得出的新的盈余信息。
OTC市场广义未预期盈余表现为直接盈余信息、间接盈余信息引起的超出投资者预期的盈余增量,在数值上等于广义盈余披露数值与相应正常预期盈余的差值。正常预期盈余,可以采取分析师预测、上期盈余Et-1、同行业平均利润等。然而在OTC市场中存在一种特殊状态,即正常预期盈余E为0时的特殊数值。当正常预期盈余E为0值时,未预期盈余UE在数值上等于静态盈余的数值。由于OTC市场刚刚形成不久,暂时还没有分析师预测、行业报告以及可靠数据的获取。因此,只有使用动态盈余△EPS、△RIPS和特殊市场状态的静态盈余EPS、RIPS,用于信息含量检测。
本文设计了分组别比对方案,通过描述性统计、模型回归、敏感性测试等方法,检验了OTC市场中广义盈余信息的信息含量,得到的主要结论有以下几点：第一,通过对直接盈余信息的信息含量检验显示,直接盈余信息△EPS、EPS的披露具备信息含量,能够对投资者获取超额收益带来有益帮助。第二,在对静态剩余收益RIPS的信息含量检验中,发现混合样本及2010年的RIPS均具有信息含量,能为投资者提供有益的投资参考。第三,通过直接盈余内部,直接盈余与间接盈余的比对发现,△EPS. RIPS和EPS在分组差异化的表现上各有千秋。多元回归模型及其稳定性检验发现,GB(EPS)、GB(△EPS)、GB(RIPS)同投资者累计超额收益评价正相关。因此,广义盈余信息中EPS、△EPS、RIPS三类盈余信息具备信息含量,可以帮助投资者进行投资决策。
在具体的广义盈余信息使用策略中,笔者认为：其一,静态盈余的方式显然简单明了,近期适用于个人投资者。其二,使用动态盈余△EPS信息需要具备一定条件,主要是投资者对所投资的企业有初步了解,且市场和行业状态稳定。其三,剩余收益作为未预期盈余也是有限制条件的,即：投资者知识结构和数量有一定基础,具备风险意识。总之,在使用广义盈余信息进行投资决策中,建议机构投资者使用考虑了资本成本和经济利润因素的RIPS指标,并结合盈余EPS、△EPS互相印证,作为稳定性检测,这样更有助于信息含量的准确判断。同时,建议个人投资者依据自身知识结构和计算难度,使用EPS或△EPS。远期来看,分析师预测可能是未来的发展方向。
本文的创新之处在于：第一,首次发现我国OTC市场中,静态盈余成为未预期盈余UE的一种表现形式。实证研究发现,静态盈余中每股收益EPS、每股剩余收益RIPS和动态盈余△EPS均具备信息含量,适宜作为未预期盈余UE；且静态盈余的信息含量略微优于动态盈余的信息含量。第二,首次提出OTC市场广义盈余的涵盖范围和投资策略。第三,提出OTC市场数据筛选、使用和处理方法。由于OTC市场的特殊性,数据手工收集和整理的比例大、工作量大、变量计算难度大,因此只有通过系统性的解决方案才能实现。另外,OTC市场交易数据频度低,数据库缺乏；因此,投资者处理数据的方式和方法都有特定性。第四,首次利用我国OTC市场财务报表及股价变动的公开数据,对该类特定市场的基本特征进行判断,取得实证经验结论。第五,对OTC市场收益率Rmt、每股剩余收益RIPS、股票非正常报酬率AR和累计超额收益率CAR的计算等重要方面提出合理的创新计量方式和方法。
After years of efforts and development, the capital market of China has now formed boards of different positioning, consisting of the main board, the small and medium enterprises board, the GEM (Growth Enterprises Market) board, the OTC market and so on. OTC market, also called the Over-The-Counter market. It works for the enterprises in the growth stage and the small and mini enterprises to raise a large of initial capital. The main body of the OTC market in China is made up of high new technique enterprises which are established by the forms of the science park from all over the country. And the New Third Board in the Agency Share Transfer System of the Shenzhen Stock Exchange is exactly the typical model of the OTC market of China. Now, the OTC market of China has an embryonic form.
Through the investigation and statistics, the paper found the Characteristics and laws in the OTC Market of China are as follows. Firstly, the current OTC market research scope can only tend to the New Third Board. Although the scope of the OTC market of China is more extensive,(consisting of the New Third Board, the Old Third Board, the B-Board delisting transferred enterprises, and the non-listed enterprises form84new sciences and technology park of China), research range can only be limited to the New Third Board enterprises. The reason is that the Old Third Board enterprises and B-Board delisting transferred enterprises were delisted companies. Their financial situation was not well. And other OTC market enterprises created by alone places had not publicly available data. Or, the data is difficult to obtain. Secondly, According to all sample week average abnormal return AAR distribution, I determine that the OTC market CAR window period is generally before or after the report date [-2,+2] week.
The generalized earnings information data sets in the OTC market consist of direct and indirect earnings information. The direct earnings information is that the investors and the users of financial statements by enterprise financial report can direct inquiries or simple plus and obtain. The indirect earnings information is that the investors or the users draw new earnings information on applying complex processing and calculation.
The generalized unanticipated earnings of the OTC market performed as the information bedyond the expectations of investors profit increment which are caused by direct and indirect earnings information. The generalized unanticipated earnings equal to the difference between the generalized earnings disclosure numbers and corresponding normal expected earnings. The normal expected earnings can choose analysts predict earnings, previous earnings Et-1, or the industry average profit. However, there is a particular state in the OTC market which is the normal expected earnings E is equal to0. When it happens, the UE is equal to a static earning. As the OTC market just formed soon, there are not analysts forecasts, industry reports and reliable data can be acquired temporarily. Therefore, only the△EPS and△RIPS of dynamic earnings, the EPS and RIPS of static earning of special market state, can be used for detection of information content.
This paper designed the group comparison plan, descriptive statistics, regression model, sensitivity testing method to test the general earnings information content in the OTC market. The main conclusions are as follows. In First, the direct earnings information content inspection shows that, the disclosing of direct earnings information△EPS and EPS have information content, and can help investors to earn excess returns. In second, the static residual income RIPS information content examination found that, mixed samples and the2010RIPS have information content, and can bring useful information to investors for investment. In Third, through internal comparison of direct earnings, and external comparison between direct earnings and indirect earnings, I found the information content fo△EPS, RIPS and EPS have different performance. Using multiple regression model and stability analysis, I found the GB(EPS), GB(△EPS) and GB(RIPS) is positive related to CAAR. Therefore, the generalized earnings information of EPS,△EPS and RIPS have information content, can help the investors to make investment decision.
The investment strategies of the generalized earnings information are as follows. Firstly, the static earnings information is simple and clear, and they recently fit for the application to individual investors. Secondly, the use of dynamic earnings△EPS information requires certain conditions, that are the main investors have a preliminary understanding on the investment enterprises, and the OTC market and industry are in stable state. Thirdly, the constraints of residual income as unexpected earnings are that, the knowledge structure and quantity and the consciousness of risk of the investors have a certain basis. In short, I recommend institutional investors to use RIPS for considering capital cost and economic profit factor, and to ues EPS and△EPS for mutual confirm and stability test. It will be helpful for the accurate judgment. At the same time, I recommend individual investors to use the EPS or△EPS according to their knowledge structure and computational difficulty. Long term, analysts may be predictive of future development direction.
The innovative points of this paper are as follows. Firstly, this paper is the first time to find that static earnings are forms of the UE. The empirical study finds that, EPS, RIPS and dynamic static earnings△EPS have similar information content. And the static earnings information content is slightly better than the dynamic earnings information content. Secondly, this paper is the first time to present the scope and investment strategy of generalized earnings information in the OTC market. Thirdly, this paper puts forward data screening, useing and processing method in the OTC market.Because of the particularity of the OTC market, data manual collection and variable calculation are heavy workloads. Therefore, they only can be treated by the systemic solutions. Forthly, this paper is the first time to use of financial statements and stock price of open data in the OTC market, and to obtain the empirical conclusion. Fifthly, this paper yields the calculation of the RIPS, AR, CAR and other important aspects of the reasonable innovation measurement mode and method.
通过调研和统计发现的我国OTC市场研究特征和规律如下：其一,目前OTC市场的研究范围仅能倾向于新三板。虽然我国的OTC市场范围比较广泛,包含深交所代办股份转让系统内的新三板企业、老三板企业、B股退市转入企业,还包含天津滨海新区、武汉高科技园区等84个国家级高新科技园区中的非上市公司。然而,老三板和B股退市转入的企业均为退市公司,财务状况差；各地独自创立的OTC市场大都没有公开数据,或数据难以取得。其二,根据样本周平均非正常报酬率AAR的统计和分布情况,发现OTC市场的CAR窗口期为报表日前后的[-2,+2]周。
OTC市场中的广义盈余信息数据集,包含直接盈余信息和间接盈余信息：其一,直接盈余信息,是指投资者或报表使用者通过企业财务报告能够直接查询或简单加和后可以直接获取的盈余信息。其二,间接盈余信息,是指投资者或报表使用者通过对直接盈余信息的复杂加工和计算,能够得出的新的盈余信息。
OTC市场广义未预期盈余表现为直接盈余信息、间接盈余信息引起的超出投资者预期的盈余增量,在数值上等于广义盈余披露数值与相应正常预期盈余的差值。正常预期盈余,可以采取分析师预测、上期盈余Et-1、同行业平均利润等。然而在OTC市场中存在一种特殊状态,即正常预期盈余E为0时的特殊数值。当正常预期盈余E为0值时,未预期盈余UE在数值上等于静态盈余的数值。由于OTC市场刚刚形成不久,暂时还没有分析师预测、行业报告以及可靠数据的获取。因此,只有使用动态盈余△EPS、△RIPS和特殊市场状态的静态盈余EPS、RIPS,用于信息含量检测。
本文设计了分组别比对方案,通过描述性统计、模型回归、敏感性测试等方法,检验了OTC市场中广义盈余信息的信息含量,得到的主要结论有以下几点：第一,通过对直接盈余信息的信息含量检验显示,直接盈余信息△EPS、EPS的披露具备信息含量,能够对投资者获取超额收益带来有益帮助。第二,在对静态剩余收益RIPS的信息含量检验中,发现混合样本及2010年的RIPS均具有信息含量,能为投资者提供有益的投资参考。第三,通过直接盈余内部,直接盈余与间接盈余的比对发现,△EPS. RIPS和EPS在分组差异化的表现上各有千秋。多元回归模型及其稳定性检验发现,GB(EPS)、GB(△EPS)、GB(RIPS)同投资者累计超额收益评价正相关。因此,广义盈余信息中EPS、△EPS、RIPS三类盈余信息具备信息含量,可以帮助投资者进行投资决策。
在具体的广义盈余信息使用策略中,笔者认为：其一,静态盈余的方式显然简单明了,近期适用于个人投资者。其二,使用动态盈余△EPS信息需要具备一定条件,主要是投资者对所投资的企业有初步了解,且市场和行业状态稳定。其三,剩余收益作为未预期盈余也是有限制条件的,即：投资者知识结构和数量有一定基础,具备风险意识。总之,在使用广义盈余信息进行投资决策中,建议机构投资者使用考虑了资本成本和经济利润因素的RIPS指标,并结合盈余EPS、△EPS互相印证,作为稳定性检测,这样更有助于信息含量的准确判断。同时,建议个人投资者依据自身知识结构和计算难度,使用EPS或△EPS。远期来看,分析师预测可能是未来的发展方向。
本文的创新之处在于：第一,首次发现我国OTC市场中,静态盈余成为未预期盈余UE的一种表现形式。实证研究发现,静态盈余中每股收益EPS、每股剩余收益RIPS和动态盈余△EPS均具备信息含量,适宜作为未预期盈余UE；且静态盈余的信息含量略微优于动态盈余的信息含量。第二,首次提出OTC市场广义盈余的涵盖范围和投资策略。第三,提出OTC市场数据筛选、使用和处理方法。由于OTC市场的特殊性,数据手工收集和整理的比例大、工作量大、变量计算难度大,因此只有通过系统性的解决方案才能实现。另外,OTC市场交易数据频度低,数据库缺乏；因此,投资者处理数据的方式和方法都有特定性。第四,首次利用我国OTC市场财务报表及股价变动的公开数据,对该类特定市场的基本特征进行判断,取得实证经验结论。第五,对OTC市场收益率Rmt、每股剩余收益RIPS、股票非正常报酬率AR和累计超额收益率CAR的计算等重要方面提出合理的创新计量方式和方法。
After years of efforts and development, the capital market of China has now formed boards of different positioning, consisting of the main board, the small and medium enterprises board, the GEM (Growth Enterprises Market) board, the OTC market and so on. OTC market, also called the Over-The-Counter market. It works for the enterprises in the growth stage and the small and mini enterprises to raise a large of initial capital. The main body of the OTC market in China is made up of high new technique enterprises which are established by the forms of the science park from all over the country. And the New Third Board in the Agency Share Transfer System of the Shenzhen Stock Exchange is exactly the typical model of the OTC market of China. Now, the OTC market of China has an embryonic form.
Through the investigation and statistics, the paper found the Characteristics and laws in the OTC Market of China are as follows. Firstly, the current OTC market research scope can only tend to the New Third Board. Although the scope of the OTC market of China is more extensive,(consisting of the New Third Board, the Old Third Board, the B-Board delisting transferred enterprises, and the non-listed enterprises form84new sciences and technology park of China), research range can only be limited to the New Third Board enterprises. The reason is that the Old Third Board enterprises and B-Board delisting transferred enterprises were delisted companies. Their financial situation was not well. And other OTC market enterprises created by alone places had not publicly available data. Or, the data is difficult to obtain. Secondly, According to all sample week average abnormal return AAR distribution, I determine that the OTC market CAR window period is generally before or after the report date [-2,+2] week.
The generalized earnings information data sets in the OTC market consist of direct and indirect earnings information. The direct earnings information is that the investors and the users of financial statements by enterprise financial report can direct inquiries or simple plus and obtain. The indirect earnings information is that the investors or the users draw new earnings information on applying complex processing and calculation.
The generalized unanticipated earnings of the OTC market performed as the information bedyond the expectations of investors profit increment which are caused by direct and indirect earnings information. The generalized unanticipated earnings equal to the difference between the generalized earnings disclosure numbers and corresponding normal expected earnings. The normal expected earnings can choose analysts predict earnings, previous earnings Et-1, or the industry average profit. However, there is a particular state in the OTC market which is the normal expected earnings E is equal to0. When it happens, the UE is equal to a static earning. As the OTC market just formed soon, there are not analysts forecasts, industry reports and reliable data can be acquired temporarily. Therefore, only the△EPS and△RIPS of dynamic earnings, the EPS and RIPS of static earning of special market state, can be used for detection of information content.
This paper designed the group comparison plan, descriptive statistics, regression model, sensitivity testing method to test the general earnings information content in the OTC market. The main conclusions are as follows. In First, the direct earnings information content inspection shows that, the disclosing of direct earnings information△EPS and EPS have information content, and can help investors to earn excess returns. In second, the static residual income RIPS information content examination found that, mixed samples and the2010RIPS have information content, and can bring useful information to investors for investment. In Third, through internal comparison of direct earnings, and external comparison between direct earnings and indirect earnings, I found the information content fo△EPS, RIPS and EPS have different performance. Using multiple regression model and stability analysis, I found the GB(EPS), GB(△EPS) and GB(RIPS) is positive related to CAAR. Therefore, the generalized earnings information of EPS,△EPS and RIPS have information content, can help the investors to make investment decision.
The investment strategies of the generalized earnings information are as follows. Firstly, the static earnings information is simple and clear, and they recently fit for the application to individual investors. Secondly, the use of dynamic earnings△EPS information requires certain conditions, that are the main investors have a preliminary understanding on the investment enterprises, and the OTC market and industry are in stable state. Thirdly, the constraints of residual income as unexpected earnings are that, the knowledge structure and quantity and the consciousness of risk of the investors have a certain basis. In short, I recommend institutional investors to use RIPS for considering capital cost and economic profit factor, and to ues EPS and△EPS for mutual confirm and stability test. It will be helpful for the accurate judgment. At the same time, I recommend individual investors to use the EPS or△EPS according to their knowledge structure and computational difficulty. Long term, analysts may be predictive of future development direction.
The innovative points of this paper are as follows. Firstly, this paper is the first time to find that static earnings are forms of the UE. The empirical study finds that, EPS, RIPS and dynamic static earnings△EPS have similar information content. And the static earnings information content is slightly better than the dynamic earnings information content. Secondly, this paper is the first time to present the scope and investment strategy of generalized earnings information in the OTC market. Thirdly, this paper puts forward data screening, useing and processing method in the OTC market.Because of the particularity of the OTC market, data manual collection and variable calculation are heavy workloads. Therefore, they only can be treated by the systemic solutions. Forthly, this paper is the first time to use of financial statements and stock price of open data in the OTC market, and to obtain the empirical conclusion. Fifthly, this paper yields the calculation of the RIPS, AR, CAR and other important aspects of the reasonable innovation measurement mode and method.
引文
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