摘要
现行企业财务报告体系强调受托责任观与决策有用观两个目标并重，对会计信息的风险内涵揭示与会计的风险控制职能的发挥重视不够，这在很大程度上削弱了企业财务报告信息的决策相关性。本文试图从会计信息和系统风险相关性的视角发现能够反映并解释中国国情的风险度量指标，从而明确构建企业风险报告框架的财务变量。本文选取我国沪深A股制造业上市公司的数据为样本，基于Parks面板模型实证检验了财务变量的风险信息含量。结果表明，杠杆调整后的口系数要优于市场模型估计的口系数；现金流、流动比率、成长性、企业规模等财务变量具有显著的系统风险信息含量；相比之下，利息保障倍数与股利支付率两个财务变量还不能正确揭示公司系统风险的性质与变化；财务杠杆也具有显著的系统风险信息含量；财务杠杆与营业杠杆的异向变动加大了上市公司系统风险，相应降低了公司价值与股东财富。并据此提出了构建基于财务变量的风险报告框架等相关政策建议。本文基于平衡面板数据的检验发现了财务变量与系统风险之间存在显著相关性，这意味着财务变量具有显著的风险信息含量，从而丰富了既有会计信息与系统风险相关性研究文献。这一研究的实际意义在于，对于未上市或上市时间较短因而无法得到市场卢的企业投资者而言，通过企业财务呈报同样可以“捕获”有效投资决策所需的系统风险信息；而对于存在市场口的企业投资者，通过系统剖析影响市场口的财务变量，可以发现企业运营的主要问题与症结所在，从而指导其做出更为明智的投资选择。投资者不仅需要会计收益信息，更需要与决策相关的风险信息。系统风险是企业风险水平的综合指标，分析系统风险影响因子能够增强会计信息的决策有用性。鉴于现行财务会计报告体系未能有效地向投资者分类提供风险与收益（特别是风险）两个方面的会计信息，我们建议，通过系统风险影响因子的研究构建一个新的风险报告框架，以便为投资者提供更有用的风险信息，进一步拓展会计职能。
Current enterprise financial reporting system emphasizes both perspective on accountability and perspective on decision-usefulness, but doesn＇t pay enough attention to the disclosure of the risk connotation regarding accounting information as well as the playing of risk-controlling function of accounting, then the relevance of financial reporting with decision- making is greatly weakened. The purpose of this paper is to find those financial-statement- based risk measures which could properly explain the situation of China and to obtain those fundamental financial variables which consist of enterprise risk reporting framework. This article selects the Shanghai A share listed companies in manufacturing industry data as samples, based on the Parks panel model empirically analysis the information content of financial variables related to firm riskiness. The result shows that the un-levered beta is better than the one estimated by the standard market model; cash flow, current ratio, growth, enterprise size and other financial variables have significant information content of systematic risk; in contrast, neither interest coverage multiple nor dividend payout ratio could correctly reveal the nature and change of systematic risk; financial leverage also has significant information content of systematic risk; The variance in different direction for financial lever and the operating lever increases the systematic risk of listed companies, accordingly reducing their value and the wealth of shareholder. And then this paper put forward some related policy recommendations,among which include constructing a firm-risk-reporting framework based on the above financial-statement-based risk measures. Based on panel data, this paper illustrates that the previously mentioned financial variables are significantly correlated with firm systematic risk, which means the financial variables have significant ,information content related to riskiness, thus enriching the study literature concerning the research of the correlation between accounting information and systematic risk. Its practical significance lies in, as for the investors who have difficulty in obtaining the market beta because of the failure of listing or listing in a relatively short time, they also can effectively ＂capture＂ those required systematic risk information related to investment decision through the enterprise financial reporting~ and for the investors of the enterprises which bear market beta, they can discover the main problems of the enterprise operation and the crux of those problems through the systematic analysis of the financial variables affecting market beta, so as to guide them to make more informed choices of investment. Investors need not only the accounting information of earnings, but also the information of risk related to decision-making. Systematic risk is the comprehensive index of the risk level, the analysis of risk factors could enhance the usefulness of accounting information for decision-making. In view of the current financial accounting reporting system＇s failure to effectively provide investors with accounting information classified by risk and return （especially risk）, we propose a new risk reporting framework should be established based on the studies on the factors affecting systematic risk, in order to provide investors with more useful information of risk, and then further expand the function of accounting.
出处
《中国会计评论》
CSSCI
2012年第2期139-156,共18页
China Accounting Review
基金
北京市属高等学校人才强教计划“高层次人才资助计划”项目“会计与投资者保护”(PHR20100512)
“中央财经大学‘211’工程重点学科建设项目”资助
关键词
财务变量
系统风险
风险信息含量
Parks面板模型
Financial Variables, Systematic Risk, Information Content of Risk, Parks Panel Model
