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金融危机时期公允价值计量对股票收益率和市场波动性的相关性研究 被引量:1

Correlation Study on the Fair Value Measurement to Stock Returns and Influence of Market Volatility in Financial Crisis Period
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摘要 文章研究我国A股非金融类上市公司在金融危机时期,公允价值计量的资产和损益对股票收益率和市场波动性的影响。文章选取2007年第4季度-2009年第2季度7个季度的面板数据,运用固定效应模型进行回归分析,结果表明:公允价值计量的资产对股票收益率有显著影响,公允价值计量的损益的会计信息没有反映在股价上,对股票收益率无显著影响;公允价值计量的资产和损益都没有加剧市场波动,反而降低了市场波动,即公允价值在我国没有起到金融危机助推器的作用。 The paper studied the non-financial listed company of China A shares' stock returns and influence of market volatility caused by assets,profit and loss measured with the fair value in financial crisis period.The paper selected the panel data between the fourth quarter of 2007 and the second quarter of 2009 did the regression analysis by using fixed effect model.The result showed that the accounting information of the profit and loss measured by the fair value was not reflected in the share price of stock which yielded no significant effect to stock returns,but the assets with the fair value measurement yielded significant effect to stock returns;the assets,profit and loss with the fair value measurement didn't increase market fluctuation,but reduced it,namely the fair value in our country didn't act as the role of the booster in financial crisis period.
出处 《价值工程》 2012年第14期138-140,共3页 Value Engineering
关键词 公允价值 金融危机 股票收益率 市场波动性 fair value the financial crisis stock returns market volatility
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