Review of Accounting Studies, DECEMBER 2018

高/低于营业收入的财务报告对公司和投资者是否重要？来自中国的投资收益案例

作者：Mei Luo (Tsinghua Univ), Shuai Shao (Zhejiang Univ), Frank Zhang (Yale Univ)

摘要：本文探究了一场独特的监管变化，即中国于2007年将收益表中的投资收益项从营业利润线以下移动至线以上。本文发现，当监管变化发生后，企业会在核心收益（营业利润不包括投资收益）较低时报告高投资收益额，反之亦然。与监管变化前投资收益与核心收益呈现出显著的正相关不同，二者在监管变化发生后每年都呈现出显著的负相关。此外，本文同样发现投资者们并未完全看穿其中的变化。在监管变化前，核心收益和投资收益均与同期的股票收益呈正相关，而与未来的股票收益无关，这表明了对信息消化后的合理定价。而当在监管变化发生后，虽然核心收益仍与监管变化前的表现类似，但投资收入则与未来的股票收益呈负相关关系。该现象表明，股票市场对于当年同期的投资收益信息反应过度。

关键词：核心收益；投资收益；营业利润；错误定价

Does financial reporting above or below operating income matter to firms and investors? The case of investment income in China

Mei Luo (Tsinghua Univ), Shuai Shao (Zhejiang Univ), Frank Zhang (Yale Univ)

ABSTRACT

We explore a unique regulatory change in China in 2007 that moves investment income in an income statement from below the line of operating income to above the line. We find that, post-regulatory change, firms report high investment income when core earnings (operating income excluding investment income) are low and vice versa. Investment income and core earnings exhibit a significantly negative correlation every year post regulation, in contrast to a significantly positive correlation beforehand. We also find that investors do not fully see through the change. Before the regulation, both core earnings and investment income are positively correlated with contemporaneous stock returns and uncorrelated with future stock returns, suggesting appropriate pricing of the information. However, afterward, the results on core earnings are similar to those in the pre-regulation period, but investment income is negatively correlated with future stock returns, implying that the stock market overreacts to the information in investment income in the contemporaneous year.

Keywords: Core earnings; Investment income; Operating income; Mispricing

原文链接：

https://link.springer.com/article/10.1007/s11142-018-9455-1

翻译：谭丰林