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Study on the Correlation of Earning Quality of Listed Companies and Call Warrant Return

Author: SunCuiPing
Tutor: WangYong
School: Harbin Institute of Technology
Course: Technology Economics and Management
Keywords: earning quality factorial analysis call warrant return regression analysis
CLC: F832.51;F224
Type: Master's thesis
Year: 2010
Downloads: 36
Quote: 0
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Abstract


Information of earning is a very important reference for market supervision and firm value. For years, the researchers at home and abroad are trying to make researches of earning quality to eliminate the earnings manipulating behaviors and increase resource efficiency and effectiveness of market. From the perspective of information, we take the reference of investor decision for an important content of earning quality. The usefulness of earning information reflects in forecasting the future profitability and cash flow capacity. Operating results and market performance of the listed companies are important reference for the stock-investor decision. We can see the relationship between the quality of company earnings and stock future returns is positive. Meanwhile, the price of the call warrant goes up with underlying Stock. From this point, there must be a definite relationship between earning quality and call warrant return. Based on this research background,‘earning quality content definition’,‘earning quality evaluation’,‘call warrant rate of return’and‘the relationship between earning quality and call warrant return’are discussed, especially on the relationship between earning quality and warrant return. Trying to work out the result by means of theoretical derivation and empirical research, the research provides investment reference for warrant investors.According to the nonlinearity of warrant return and stock price and the nonlinearity of stock market and earning quality, the positive relationship of warrant return and earning quality is inferred. Thirteen financial indexes are chosen to evaluate earning quality including earning safety, earning reliability, earning operation, cash supportability and earning manageability. The scores of earning quality are got by means of factor analysis on thirteen financial indexes. On the basis of inherent value, call warrant return are worked out using issue price, striking price, stock price on vesting date and exercise ratio. The call warrant return is replaced by abnormal return. Based on this, the call warrant return and earning quality are regression analyzed by double logarithmic model. Forty seven H-stock listed companies and seventeen AB-stock listed companies are chosen to be specimens. The positive relationship of warrant return and earning quality was proved by regression analysis on the financial data and call-warrant related data in 2008 and 2009. The two regression analyze results to prove that correlation of forty-seven H-stock listed companies and warrant return is tighter.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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