摘要
会计信息在资本市场中扮演着两大作用：估值作用、契约作用,估值作用体现为会计信息对资本市场评估企业价值的作用,契约作用的一个重要体现是会计信息在高管激励契约中的作用。国外有很多文献就会计信息的估值作用、激励契约作用进行了研究,近些年,也有不少文献开始关注会计信息估值作用及激励作用之间是否存在某种关系抑或是相互独立,研究结果来看,基于解析模型的结论与基于实证的结论有所出入。本文在以往文献的基础上,引入高管风险厌恶且拥有私人信息,立足中国资本市场,探讨了会计信息估值作用及激励作用之间的相互关系。
本文首先基于Paul(1992)的解析模型,检验了会计信息噪音对其估值作用及激励作用的影响,以此作为会计信息两大作用之间是否存在某种关系的间接证据；接着本文引入高管风险厌恶且拥有私人信息,在此前提下建立有关会计信息估值作用、激励作用的解析模型,提出有关会计信息两大作用之间相互关系的假设；最后本文利用中国资本市场的数据实证检验了会计信息估值作用、激励作用之间存在的关系。
本文研究发现：1.会计信息噪音对其估值作用、激励作用都有着负向影响,即信息噪音越大,其估值作用、激励作用都越小,从而说明了会计信息两大作用之间有存在某种关系的可能性。2.解析模型结果表明,会计信息激励作用与估值作用之间通过高管努力的边际盈余及边际真实产出之间的协方差建立起正向关系。3.实证检验结果表明总体来说,会计信息估值作用及激励作用之间呈现正向关系,这一关系在各种敏感性测试下依然成立,且在考虑了高管持股、股票期权等权益性薪酬的影响之后结论也没有变化。
本文的主要贡献在于：在文献基础上,引入了高管风险厌恶及拥有私人信息假设,从而建立了在更一般性假设提前下的解析模型研究会计信息估值作用与激励作用的相互关系；其次是利用中国资本市场数据的实证检验证明了假设。作者希望研究结论对有关会计信息作用的研究提供新的视角；对关注会计信息估值作用的市场投资者、对关注激励契约设计的股东有参考意义,并且对监管部门等相关主体有参考价值。
Accounting information plays two key roles in capital market, which are valuation role and contracting role. For contracting role, the usage of accounting information in compensation contract is an important application, which we called incentive role or stewardship role. Lots of papers have studied the valuation role and incentive role of accouting information. Recently, researchers began to focus on the correlation between these two roles. These studies try to find out whether these two roles of accounting information are independent or not. The conclusions in analytical studies are not exactly consistent with what in empirical studies. Based on extant literature, assuming that managers are risk-averse and they have some private information, I analytically and empirically study the correlation between valuation role and incentive role of accounting information based on Chinese stock market data.
Firstly, I study the influence of information noise on the valuation role and incentive role of accounting information.I wish this test could provide some indirect evidence of the correlation between these two roles of accounting information. Secondly, I construct a model based on the assumption that managers are risk-averse and they have some private information or signals.Based on the model, I make hypothesis about the correlation between valuation role and incentive role of accounting information. Finally, using Chinese stock market data, I empirically test the hypothesis. In the empirical test, I specifically study accounting earnings as the proxy of accounting information.
The conclusions are as follows. First, the noise of accounting earnings negatively influences both the valuation role and incentive role, which demonstrating that there is a possibility for the correlation between valuation role and incentive role of accounting earnings. Second, the model shows that value role is positively related with incentive role by the covariance of marginal earning and marginal true value. Third, empirical test shows that, there's a positive correlation between valuation role and incentive role of accounting earings. This conclusion exists in many robust tests and considering the effects of executive shareholdings and stock option.
The main contribution of my dissertation is studying the correlaton between valuation role and incentive role of acconting information based on an analytical model which introducing two common assumptions:the manager is risk-averse and he has some private information. Also I empirically prove my hypothesis based on Chinese stock market.I hope my research can provide a new viewpoint to the study of accounting information; can be helpful to the investors who concern the valuation role of accounting information and the sharesholers who concern the incentive role;I also hope the it is useful to some regulators.
引文
3张维迎,博弈论与信息经济学,p235-p238。
5参考葛家澍、杜兴强等所著《会计理论》,2005。
6参考Holthausen,Watts(2001)及Kothari(2001).
7Eugene F. Fama, Merton H. Miller, Theory of Finance, New York,1972,78-92.
8参考Kothari(2001)等。
9参考Watts,Zimmerman,1986,1990。
21详见Lambert(2001)。
24Bushman et a1.(2006)58-59页。
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