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本文通过关注公司盈余和股票回报的关联程度及其与盈余时间序列持续性的联系,探讨公司报告盈余所包含信息的本质。我们借助经典的估价模型以及考虑了盈余持续性经济影响因素的盈余时间序列模型,推导出ERC与盈余持续性之间的正向关联性。基于1994～2011年255家公司的年度数据,我们的经验证据得到的结论是,考虑了公司基本面的盈余时间序列持续性越高,盈余反应系数就越大。总体而言,公司报告盈余向股票市场传递了信息,当期的盈余创新包含了当期权益和未来权益收益方面的信息。通过探讨盈余时间序列特征的估价含义,我们就能够揭露盈余信息含量的一种新维度。
This paper explores the nature of the information contained in corporate earnings reports by focusing on the degree of association between corporate earnings and returns on stocks and their continuing relationship with earnings time series. We derive the positive relationship between ERC and earnings persistence by using the classical valuation model and the model of earnings time series that takes into account the persistent economic impact of earnings. Based on the annual data of 255 companies from 1994 to 2011, our empirical evidence leads to the conclusion that the higher the earnings continuity coefficient, the higher the persistence of the earnings time series taking into account the firm’s fundamentals. In summary, corporate reporting surpluses deliver information to the stock market, and current earnings innovations include information on current and future equity gains. By exploring the valuation implications of earnings time series features, we can expose a new dimension of earnings information content.