ScholarWorks@숙명여자대학교

초록

This paper has empirically examined the difference of short－term earnings variation and long－term earnings growth among three major stock exchanges (Hong Kong, Shanghai, Shenzhen) in China, through the regressions of Ct and Ci scores, respectively, on 5 risk factors including 2 accounting risk measures (accounting beta and standard deviation of quarterly earnings), and 4 earnings growth factors. The C－ scores I adopted had developed by Lee (2008), which proved Ct and Ci respectively to be an effective proxy of short－run earnings variation and long－run earnings growth resulted from conservative accounting. My empirical results are as follows. Firstly, Ct(T) scores representing firm－differences in total accruals are ranked in order of Hong Kong, Shanghai, Shenzhen, whereas Ct(NOP) capturing firm－ differences in non－operating accruals are ranked in order of Shenzhen, Hong Kong, Shanghai, which means that Hong Kong Exchange records the highest short－term variability of accounting earnings, and Shenzhen Exchange shows the highest earnings growth among chinese stock exchanges. Secondly, ABETA and ASD respectively representing accounting beta and standard deviation of earnings are ranked in order of Shanghai, Shenzhen, Hong Kong, and Shanghai, Hong Kong, Shenzhen, respectively. Thirdly, Ct(T) and Ct(NOP) respectively shows strong positive correlations with BTM (book－to－market ratio), BETA (market beta), and ABETA. Fourthly, Shenzhen Exchange reports significantly positive correlations with all four growth factors adopted in this paper, while Hong Kong and Shanghai Exchanges report the positive correlation only with ΔTA (annual changes in total assets). Finally, regressions of Ct and Ci respectively on 5 risk and 4 growth factors show significantly positive coefficients of BTM in Hong Kong, BETA in Shenzhen, and ΔTA, RE (retained earnings to total assets ratio) in all three exchanges. These results imply that there are significant C－score differences among three chinese stock exchanges, and the risk and growth factors the paper adopted have effectively explained the listed firms’ variation in Ct and Ci scores, among three stock exchanges, reflecting their short－run earnings risk and long－run earnings growth, respectively.

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