本文選題：Benford定律 + 年報(bào)數(shù)據(jù)質(zhì)量��； 參考：《北京交通大學(xué)》2017年碩士論文

【摘要】：在市場(chǎng)監(jiān)管日益嚴(yán)格、上市公司內(nèi)外部治理環(huán)境逐漸規(guī)范的背景下,如何快速而有效地識(shí)別和量化越來(lái)越隱秘的盈余管理行為,成為一個(gè)很重要的命題。本文創(chuàng)造性地構(gòu)建了一個(gè)基于Benford定律的B指數(shù)綜合評(píng)價(jià)模型,用以評(píng)價(jià)上市公司年報(bào)的數(shù)據(jù)質(zhì)量,進(jìn)而評(píng)估盈余管理的程度。B指數(shù)綜合評(píng)價(jià)模型是一個(gè)相對(duì)性的評(píng)價(jià)方法,可以更好、更準(zhǔn)確地評(píng)價(jià)來(lái)源相似、性質(zhì)相近的數(shù)據(jù)集的相對(duì)數(shù)據(jù)質(zhì)量。因?yàn)椴煌臄?shù)據(jù)集總體上符合Benford定律的程度必然有所差別,利用B指數(shù)就相當(dāng)于將數(shù)據(jù)質(zhì)量的評(píng)價(jià)標(biāo)準(zhǔn)“歸一化”,從而使得同組內(nèi)的數(shù)據(jù)集有了統(tǒng)一的數(shù)據(jù)質(zhì)量評(píng)價(jià)參考點(diǎn)。本文運(yùn)用B指數(shù)按財(cái)務(wù)指標(biāo)、年份及股票市場(chǎng)板塊三個(gè)方向進(jìn)行了大樣本實(shí)證研究,得出以下主要結(jié)論:(1)整體而言,我國(guó)上市公司歷年披露的財(cái)務(wù)報(bào)表數(shù)據(jù)的首位有效數(shù)字(FSD)、第二位有效數(shù)字(SSD)以及第三位有效數(shù)字(TSD)頻率分布均能較好地符合Benford定律,擬合程度均較高,除了管理費(fèi)用、凈利潤(rùn)等極少數(shù)科目的FSD的VN*(修正的K-S擬合優(yōu)度檢驗(yàn))統(tǒng)計(jì)量較高之外;(2)歷年來(lái),我國(guó)上市公司年報(bào)數(shù)據(jù)的前三位有效數(shù)字與Benford定律的相關(guān)性呈現(xiàn)出明顯的逐級(jí)下降的分布特征,數(shù)級(jí)之間的總體數(shù)據(jù)質(zhì)量差異亦呈如是分布;FSD及SSD與Benford定律的相關(guān)系數(shù)平均都能達(dá)到0.95以上,但TSD與Benford定律的相關(guān)系數(shù)則普遍小于0.80,表明我國(guó)上市公司盈余管理有向后逐漸“隱秘化”的趨勢(shì);(3)我國(guó)上市公司披露的年報(bào)數(shù)據(jù)質(zhì)量總體評(píng)價(jià)如下:1)就財(cái)務(wù)指標(biāo)而言,無(wú)形資產(chǎn)和其他應(yīng)收款的數(shù)據(jù)質(zhì)量較好,管理費(fèi)用和凈利潤(rùn)的數(shù)據(jù)質(zhì)量是這10項(xiàng)財(cái)務(wù)指標(biāo)中最差的,資產(chǎn)負(fù)債表數(shù)據(jù)質(zhì)量總體優(yōu)于利潤(rùn)表;2)就年份而言,2015年、2009年、2010年以及2011年的數(shù)據(jù)質(zhì)量較好,2012年和2013年的數(shù)據(jù)質(zhì)量是近九年中最差的;3)就我國(guó)的股票市場(chǎng)板塊而言,上證A股和深證主板A股的數(shù)據(jù)質(zhì)量較高,創(chuàng)業(yè)板和深證A股的數(shù)據(jù)質(zhì)量則較差。
[Abstract]:Under the background of increasingly strict market supervision and gradually standardized internal and external governance environment of listed companies, how to quickly and effectively identify and quantify more and more secret earnings management behavior has become a very important proposition. This paper creatively constructs a comprehensive evaluation model of B index based on Benford's law, which is used to evaluate the data quality of annual report of listed companies, and then to evaluate the degree of earnings management. B index comprehensive evaluation model is a relative evaluation method. It is better and more accurate to evaluate the relative data quality of similar and similar data sets. Because different data sets conform to Benford's law on the whole, the use of B index is equivalent to "normalizing" the evaluation standard of data quality, thus making the data sets in the same group have a unified data quality evaluation reference point. In this paper, a large sample of empirical research is carried out by using B index in three directions: financial index, year and stock market plate. The main conclusions are as follows: 1) as a whole, The frequency distribution of the first significant figure (FSDF), the second significant digit (SSDs) and the third digit significant figure (TSDD) of the financial statement data disclosed by listed companies in China over the years are all in good accordance with Benford's law, and the fitting degree is higher, except for the administrative expenses. The VNU (modified K-S goodness of fit Test) statistics of FSD in a few subjects such as net profit are higher than that of FSD over the years. The correlation between the first three digits of the annual report data of listed companies in China and Benford's law shows an obvious gradual decline in distribution. The difference of total data quality between several levels is the same. The correlation coefficients of FSD and SSD with Benford's law are above 0.95 on average. However, the correlation coefficient between TSD and Benford's law is generally less than 0.80, which indicates that earnings management of listed companies in China has a trend of backward "stealthiness" (3) the overall evaluation of the quality of annual report data disclosed by listed companies in China is as follows: 1) in terms of financial indicators, The quality of data on intangible assets and other receivables is better, and the data quality of management fees and net profits is the worst of the 10 financial indicators, Balance sheet data quality in general is better than income statement 2) in terms of year, data quality in 2015, 2009, 2010 and 2011 is better, and data quality in 2012 and 2013 is the worst in nearly nine years. The data quality of Shanghai A shares and Shenzhen main Board A shares is higher than that of growth Enterprise Market and Shenzhen Stock Exchange A shares.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51;F275

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