摘要
盈余预测数据的合理利用有助于提高资本成本估算的准确度,截面回归预测模型是近几年来盈余预测研究的热点问题。本文基于中国上市公司的数据以及分析师的盈余预测数据,对公司盈余预测质量以及与资本成本估算质量之间的关系进行了检验。结果显示,中国分析师的盈余预测质量较高,但是根据预测盈余估算的资本成本与可实现报酬率、与风险因素的关系,截面回归预测模型尤其是基于HVZ模型的盈余预测可以取得更好的资本成本估算结果。
The rational use of earnings forecast data helps improving the accuracy of cost of capital estimation, and cross-section regression forecast model is the hot topic of earnings forecast research in recent years. Based on the data of Chinese listed companies and analysts’ earnings forecasts, the paper tests the quality of company earnings forecast, and the relationship between earnings forecast with the quality of cost of capital estimation. The empirical results show, Chinese analysts forecast quality is relatively high, but according to the relationship between cost of capital estimates using forecast earnings and the realized rate of return, and risk factors, cross-section regression forecast models, especially the earnings forecast based on HVZ model, can get better cost of capital estimation results.
作者
邹颖
汪平
张丽敏
ZOU Ying;WANG Ping;ZHANG Li-min(Accounting School,Capital University of Economics and Business,Beijing 100070,China;Accounting School,Shanghai University of Finance and Economics,Shanghai 201900,China)
出处
《数理统计与管理》
CSSCI
北大核心
2019年第1期172-190,共19页
Journal of Applied Statistics and Management
基金
国家社会科学基金项目(15BGL066)
关键词
盈余预测
资本成本估算
截面回归模型
earnings forecast
cost of capital estimation
cross-sectional regression model
