价值相关性的实证研究方法评述

本文梳理了价值相关性研究的研究方法及其发展，并对其进行评述。按研究方法分，价值相关性研究分为事件研究法和估值模型法。事件研究法依赖有效市场假说，仅能检验某一事件能否引起市场反应，其对权益价值的具体影响则难以估计，而且短窗口选择存在操作上的困难。估值模型法在实证检验中应用相对较广，然而几乎所有的估值模型都没要考虑期权的影响，而且运用价格模型和收益模型有时得到截然相反的结论。因此，本文认为，今后的研究应重点关注三个方面：第一，继续修正估值模型。第二，抛开相关性和可靠性联合检验的方式，关注会计信息的可靠性。第三，应多角度研究价值相关性，而不仅仅局限于投资者视角。

A Comment on Empirical Research Methods of Value Relevance

This paper reviews the research methodology of value relevance and its development.The research methods of value relevance can be divided into event study and valuation models.The event study method relies on efficient market hypothesis,and it could only test whether an accounting announcement can lead to a change in the market price rather than test its specific impact on the equity value.And furthermore,there are operational difficulties in the choice of a short window.Although valuation models are relatively wide in use,almost all the valuation models do not take the impact of share options into consideration.The conclusions derived from pricing models and revenue models are sometimes contradictory to each other.Finally,this paper points out three aspects which future research should focus on: the first is to continue to improve the valuation models;secondly,it should pay more attention to the reliability of accounting information,rather than using the joint test of relevance and reliability;Thirdly,it is better to research value relevance from varied perspectives,not just limited to the investor perspective.