导　　师： 谭跃

学科专业： 120201

授予学位： 硕士

作　　者： ;

机构地区： 暨南大学

摘　　要： 盈余持续性是指当期盈余成为盈余时间序列永久性部分的程度，如果当期盈余成为盈余时间序列永久性部分的程度越高，那么其盈余持续性越强。盈余持续性的度量方法主要有线性一阶自回归模型、时间序列模型、财务指标分析法。盈余持续性作为自变量，不能直接使用一阶自相关模型。时间序列模型对于盈余信息的要求比较高，我国会计准则几经变更，会计信息的纵向可比性较差，因此直接使用时间序列模型不具有可行性。本文采用了两种方法来度量盈余持续性。首先，将利润划分为营业利润和线下项目。营业利润作为永久性盈余的代理变量，线下项目作为暂时性盈余的代理变量。永久性盈余越高则代表企业盈余持续性越高，而暂时性盈余越高，则表示企业盈余波动性越大，相应的盈余持续系越低。本文采用的第二种方法是用资产报酬率的一阶自回归模型拟合优度作为盈余持续性代理变量，拟合优度越高则表示企业历史盈余信息越能对未来的盈余信息做出预测，盈余持续性越高。研究结果发现：一、营业利润占利润总额的比率和银行借款呈现显著的正相关关系，说明盈余持续性越高，企业能够从银行获得的借款越多。其次，一阶自相关拟合优度也与银行借款呈现正相关关系，再次验证了假设。二、本文还考虑了货币政策对于盈余持续性和银行借款关系的影响。实证研究结果表明，在货币政策紧缩时期，提高盈余持续性有助于企业获得更多的银行借款。 Earning persistence is current earning become a permanent part of the surplus time series.If the current earning become more permanent part of the surplus time series, the earningpersistence is strong. Earning persistence metric method mainly include the linear first-orderautoregressive model, time series model, financial index analysis method. As the dependentvariable, the persistence of earning can not directly measured by the first-order autocorrelationmodel. For the time series model, the earning information requirements are relatively high.Chinese accounting standards changed quite frequently, the accounting information of thelongitudinal comparability is poor, therefore does not have the feasibility of using time seriesmodel. This paper adopts two methods to measure earning persistence.First, I divide the profitinto operating profit and other items. Operating profit is the proxy for permanent earning, theother items is the proxy for transitory earning. High permanent earning represents high earningpersistence, and high transitory earning is said great earning volatility and low surplus. Thesecond kind of method is the innovative use of the goodness of the autoregressive model, thegoodness of fit is higher then express enterprise historical earning information can make moreforecast of future earning, earning persistence. The results of the empirical research shows thatoperating profits and bank borrowing are positively related, and the other items and bank loanhave significantly negative correlation. The persistence of earning project validated that whenthe earning persistence is high, enterprise can obtain more loan from banks. Secondly, thefirst-order autocorrelation of goodness of fit also has positive relationship with bank loans, onceagain proved the hypothesis.

关 键 词： 盈余持续性 借款 营业利润 线下项目 拟合优度

领　　域： [经济管理—企业管理] [经济管理—财政学] [经济管理—金融学]