RESEARCH OF THE LONG-TERM EQUILIBRIUM BETWEEN ACCOUNTING EARNING AND MARCKET RETURN

摘要：

　　Using cointegration and error correction model, this paper examined the long-term relationship between the average accounting earning and market return of Shanghai Stock Exchange A-share market.The result shows there exists a long-term equilibrium and bi-directional leading relationship between accounting earing and market return of Shanghai Stock Exchange A-share market.Both variables previous non-equilibrium perturbation produced a significant amendment effect on each others future value, and the nonequilibrium perturbation amends the future market return much more than accounting earning.Accounting earning leads the long-term equilibrium more.

关键词： Accounting Earning Market Return Cointegration Error Correction Long-term Equilibrium

作者: Ying Zhao Di Sun

作者单位: School of Economics and Management, Beihang University,Beijing 100191, China

会议类型: 国际会议

会议名称: The 11th International Conference on Industrial Management(第十一届工业管理国际会议)

会议地点: 日本

会议语种:英文

页码: 687-691

在线出版日期: 2012-08-29（万方平台首次上网日期，不代表论文的发表时间）