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研究中习惯用回报/盈余关系来表示会计盈余的信息含量。通过A股的实证结果发现,当时间窗口为公告日前后60天时,回报/盈余关系较显著;盈余的持续性越高,回报/盈余关系越显著;非线性的模型比线性模型的解释能力更强。但是模型总体的R2水平都较低,这可能是由于研究方法的缺陷、市场的非理性、盈余本身信息含量低等原因造成的。
The habit of using the return / surplus relationship in the study to represent the information content of accounting earnings. Empirical results of A shares show that when the time window is 60 days before and after the announcement day, the relationship between returns and surpluses is more significant. The higher the persistency of earnings, the more significant the relationship between returns and surpluses. The nonlinear model has more explanatory power than the linear model Strong. However, the overall R2 level of the model is low, which may be due to the defects of the research methods, the irrationality of the market and the low information content of the surplus itself.