مقایسه ارتباط ارزش اطلاعات حسابداری در بخش های مختلف بازار سهام چینی

This paper investigates the difference in the value relevance between the accounting information prepared and audited under the Chinese GAAP for A-share investors and under the international accounting standards (IAS) for B-share investors in the Chinese stock market. The study reports three primary findings. First, accounting information influences the pricing process in both the A-share market and the B-share market. Second, the accounting information in the B-share market is more value relevant than that in the A-share market, as expected. Finally, the value relevance level of accounting information in the A-share market was low in earlier years, peaked in 1996, and then decreased due to changes in the disclosure environment. However, the value-relevance level of accounting information in the B-share market had no substantial changes. Using a constant sample, control variables on firm features, and measures of traders' behavior, we obtain robust results. These findings have implications for policymakers on recent moves toward replacing local GAAP with the IAS.

In this paper, we investigate the difference in the value relevance of accounting information in the A-share and B-share Chinese stock markets.1 Consistent with recent studies in the literature (e.g., Chang, 1999, Core et al., 2003, Francis & Schipper, 1999 and Kothari & Shanken, 2003), we define the value relevance of accounting information as the ability of accounting numbers to summarize the information underlying the stock prices. Our paper compares the value relevance of accounting information prepared under international standards for international investors with that under domestic accounting standards for domestic investors. Specifically, we conduct cross-sectional analysis on the difference between the A-share market and the B-share market, and annual cross-sectional analysis on the variation of value relevance of primary accounting information over time. The relative value relevance of accounting information in the A-share and B-share markets, which are prepared and audited, respectively under the Chinese generally accepted accounting principles (Chinese GAAP) and the international accounting standards (IAS), has implications for the recent moves toward the IAS replacing local GAAP. A-shares and B-shares are two types of public shares in China. A-shares are denominated in RMB and issued only to Chinese citizens, while B-shares are denominated in U.S. dollars on the Shanghai Stock Exchange or in Hong Kong dollars on the Shenzhen Stock Exchange and issued only to foreign residents before year 2001.2 Both A-shares and B-shares convey equal rights to the same company though they are different in terms of ownership (Fung, Lee, & Leung, 2000). However, A-share investors receive accounting information prepared under the Chinese GAAP and audited by local CPA firms, while B-share investors receive accounting information prepared under the IAS and audited primarily by international accounting firms. This diversity exists even for the firms issuing both A-shares and B-shares. Therefore, Chinese emerging markets provide a unique environment that allows us to examine whether accounting information issued by the same company and prepared and audited under the IAS has higher value relevance than that prepared under local GAAP. This paper is motivated by recent research in the value-relevance literature and developments in stock markets and accounting practices in China. In accounting literature, earnings and book values have been empirically shown as significant variables in explaining stock price and price changes (e.g., Barth et al., 1998, Burgstahler & Dichev, 1997 and Collins et al., 1997). In the emerging A-share and B-share markets, however, the value relevance of accounting information has been questioned. Accounting information based on domestic standards may be considered noisy because of sloppy accounting, inadequate regulation, and crony capitalism (Fox, 1998 and Rask et al., 1998). Besides, accompanying the rapid development of securities markets are some inevitable problems such as lagging legislation issues and multiple regulatory authorities (Liu & Zhang, 1996). However, the institutional changes in emerging markets, including the reform of the accounting-information system, could increase market liquidity, reduce transaction cost, and improve pricing efficiency (Feldman & Kumar, 1995). In addition, the paucity of competitive information sources other than accounting information, and the relative short-term horizon of Chinese investors could influence the value relevance of accounting information. Thus, it is an impending empirical issue whether or not the accounting information is relevant to the investors' decisions in these emerging markets. Only recently have researchers begun to pay attention to the value-relevance issue of accounting information in the Chinese emerging markets. Chen, Chen, and Su (2001) investigated the value relevance of accounting information in the A-share market. Using a sample of all A-shares listed in the period from 1990 to 1997, they found both book value and earnings are value relevant in the A-share market under the price model and the return model. Haw, Qi, and Wu (1999) studied the value relevance of accounting information in B-share and H-share markets. Based on the entire population of B-shares and H-shares from 1994 to 1996, they found positive and significant results for earnings under the Chinese GAAP in return models but did not find any significant results on the reconciliation items. Thus, they concluded that IAS and Hong Kong GAAP did not provide incremental information to foreign investors. Instead of using reconciliation items as a proxy for the incremental value of the IAS, Bao and Chow (1999) used the Davidson-MacKinnon J-test to study whether B-share markets incorporate more IAS than Chinese GAAP accounting information.3 They obtained opposite results and found that along with A-share accounting information, the estimated B-share prices from the IAS model is significantly related to the actual B-share prices, indicating that the IAS model has additional explanatory power over that contributed by the Chinese GAAP model. Hence, they concluded that, for international investors, book value and earnings reported under the IAS have greater information content than those based on the Chinese GAAP. However, Hu (2002) repeated Bao and Chow (1999) by focusing on companies only listed on the Shanghai Stock Exchange and found that book value and earnings reported under the Chinese GAAP have greater information content than those based on IAS. Other than the difference in the samples, one primary reason for the mixed results of the studies cited might be problems in the design problems of their research models. For instance, Chen et al. (2001) point out that the implication of the Haw et al. (1999) model is inconsistent with the disclosure practice. Haw et al. (1999) examined the association between market price in the B-share market and accounting information in the A-share market, but in disclosure practice reconciliation of discrepancy in GAAP is disclosed only in the A-share reports. B-shareholders in the B-share market receive a complete set of financial statements prepared under IAS.4 Consequently, problems in the research design, which lead to mixed results, require further research to shed light on the empirical question of whether the usefulness of accounting information under IAS is the same as under Chinese GAAP. Abdel-Khalik, Wong, and Wu (1999) investigated the association between earnings and share prices of A- and B-shares using an event study. Their sample included 2 years observations over 1994–1995. Contrary to their expectations, they found significant association between earnings and abnormal returns for A-shares but not for B-shares. They attributed their results to high price volatility, dominance of government officials, and the thin trading volume in the B-share market. Besides Abdel-Khalik et al. (1999), no other study has directly examined the relative value relevance of accounting information prepared under IAS for the B-share market versus that prepared under Chinese GAAP for the A-share market. For instance, Eichenseher (2000) examined the role of book value in pricing securities on the Shanghai Stock Exchange from 1996 to1997 and found that earnings were relevant to prices in both markets while book values were not. However, he did not directly address whether there is any difference in the value relevance of primary accounting information between the two different market segments other than whether book value or earnings are relevant to the pricing process. In one recent working paper, Chen, Firth, and Kim (2003) showed the same concern and tried to address this issue by examining the value relevance of the accounting information under Chinese GAAP and the reconciliation under IAS in the two segments. However, they did not directly address the difference in the value relevance of primary accounting information between the two different market segments other than the information content of reconciliation. In this study, we directly investigate the relative value relevance of accounting information in the two segments to provide further evidence on the value-relevance issue in the emerging market. Our basic intention is to test whether the two market segments differently value the major accounting information disclosed by the same company, but not to test whether and how one market segment values the major accounting information—such as whether the A-share market values the accounting information of firms with foreign investors (firms issuing both A- and B-shares) more than others (A-share only firms) as in Chen et al. (2001), or whether the B-share market values accounting information under IAS more than that under Chinese GAAP as inBao and Chow (1999). Following most studies in the value relevance literature, we use the price model in this paper.5 The relative significance of coefficients and explanatory powers of the models in the A-share market and the B-share market, as well as their relative significance over time, are assessed through respective t-statistics, the Christie (1990)Z-test, R2, and the Cramer (1987) test. The results indicate that accounting information is relevant to the pricing process in both the A-share and B-share markets. Also, the accounting information in the B-share market is more value relevant. This result points to the superiority of accounting information prepared under the IAS and audited by international auditors versus those prepared under domestic GAAP and audited by local auditors in the pricing of stocks. In addition, for the A-share market, there is some evidence that the value relevance of accounting information significantly increased since 1996, although this increase was modest when domestic investors became familiar with the accounting information. The remainder of the study proceeds as follows. Section 2 presents the background of A-share and B-share stock markets, reviews the related research, and develops hypotheses for the study. Models and empirical testing are discussed in Section 3. Section 4 reports on the data collection and results. Implications and limitations of the study, as well as the perspective for future research, are addressed in Section 5.

Overall, the results indicate that accounting information is relevant to prices in both the A-share and B-share markets. Furthermore, the results show that the value relevance of accounting information is different between the two markets. The accounting information in the B-share market is more value relevant, as expected. Also, we find that in the A-share market, the relevance level of accounting information to the market price was low in early years, peaked in 1996, and then decreased in the last 2 years. The limited time-series results are inconsistent with the recent movement in China's regulatory environment, which could be explained be one or any combination of the following: (1) China's regulations in most recent years may not empirically impact the value relevance of accounting information although theoretically it should be; (2) China's regulations in recent years may not immediately impact the value relevance of accounting information—the time-series observation is only 7 years; in addition, the issuance and implementation of new auditing and accounting standards during the period of 1996–1999 might imply that the A-share investors need more time to become familiar with the new accounting information and use it properly; (3) China's regulations in recent years may not dominantly impact the value relevance of accounting information—as discussed in Ryan and Zarowin (2003), the value relevance may decline because earnings increasingly reflect news with a lag relative to stock prices and also earnings increasingly reflect good news and bad news asymmetrically. Future studies could investigate the third possibility to examine the different factors in explaining the declining value relevance of major accounting information over time. We addressed some of the differences between our study and the prior research in the introduction. In our paper, we do not investigate the information content of reconciliation (which is done by Haw et al., 1999), nor the earnings conservatism (which is done by Ball et al., 2000), nor the comparison of value relevance between different sets of accounting information for the same companies in the same market segment (as Bao & Chow, 1999) or between companies with different ownership structures in the same market segment (as Chen et al., 2001). We simply compare the value relevance of accounting information between the two different market segments. Thus, our conclusions could be different from these studies due to different perspectives (different research issues). Our paper is not the only one to reach such a conclusion. For instance, the same conclusion is also drawn in Chen et al. (2003). The findings of our study have several implications for a variety of users. First, it provides both foreign and domestic investors with useful information regarding the relevance of the firm's accounting performance to its market value. Because in the emerging markets accounting data may be considered noisy due to sloppy accounting, inadequate regulation, and crony capitalism, it is not clear whether financial statement-users rely on accounting information in making their decisions. This study adds to the body of the evidence that accounting information is relevant to the pricing process in both the A-share and B-share markets. Second, for policymakers, the value-relevance information may indicate a direction for policy-making. For instance, the cross-sectional comparison of accounting information prepared under local GAAP and the IAS has implications for recent moves toward replacing the local GAAP with the IAS. In our study, we identified firms that issued both A- and B-shares on either the Shanghai Stock Exchange or the Shenzhen Stock Exchange. The sample of A-shares in this study might not be generalized to the whole population of firms that issued A-shares on Chinese stock exchanges.24 Due to the dual reporting and auditing systems, as well as better corporate governance, companies with both A- and B-shares might reflect a higher quality in their financial reporting, and thus their accounting information could be more value relevant to pricing in the market. To shed light on the general value relevance of accounting information in the A-share market, future studies could compare the value relevance of accounting information for firms that have only A-shares and firms that have both A- and B-shares and address the reasons underlying the differences in value relevance.25 Finally, this study only takes a value-relevance approach to investigate the association between accounting information and stock price, rather than an information approach. Future studies could examine how much accounting information contributes incrementally to equity value in these markets, by testing the price movements during short windows surrounding the release of accounting information.