企业净资产收益率操纵度量模型与识别方法

doi:10.16381/j.cnki.issn1003-207x.2023.0794

Abstract

Abstract:

Return on equity is an important financial indicator that reflects the profitability of an enterprise. In order to improve the firm value， get rid of external financing constraints， and meet the salary incentive conditions， listed companies often use a variety of means to manipulate the ROE. Since the performance results achieved by ROE manipulation are unsustainable and are likely to erode future operating results and then lead to a decline in firm value， if not effectively identified， it will disrupt the normal order of the capital market and infringe on the interests of investors and creditors. Therefore， the precise measurement of the extent of ROE manipulation and accurate identification of suspected samples are of great significance for investors to correctly assess the value of the company and for government departments to effectively supervise violations.After combing through the previous studies， it is not difficult to find that there is a lack of systematic research focusing on ROE manipulation. Further， there is no quantitative research on the degree of ROE manipulation. Besides， in the research on suspect sample identification， no identification method has been found that can effectively identify suspect samples and their manipulation methods. However， enterprises will consider the cost-effectiveness of each manipulation method and choose different combinations of methods for ROE manipulation. The economic consequences will vary greatly depending on the combinations. Given this， it will focus on the ROE indicator， construct an ROE measurement model， and a suspect sample identification method to provide new methods and clues for ROE manipulation behavior identification in this paper.Through literature research and mathematical analysis， an ROE manipulation measurement model is constructed starting by analyzing multiple manipulation methods affecting ROE. Firstly， the accrual earnings management， real earnings management， and cash dividend management measurement models are constructed respectively. Secondly， according to the ROE calculation formula stipulated by the CSRC， the impact of the three manipulation methods on the ROE is calculated in total， and the measurement model of the degree of ROE manipulation is constructed. Based on the measurement of the extent of ROE manipulation， the suspect samples and manipulation methods are identified. Firstly， the samples with a degree of manipulation of ROE greater than 0 are preliminarily defined as suspect samples. Secondly， the extent of manipulation of each method of the suspect samples is standardized to make samples in different scales and industries comparable. Thirdly， the quantile threshold adjustment method is used to determine the final suspect samples.The data of China's A-share listed companies from 2014 to 2019 as the research samples are selected to test the validity of the measurement model and identification method in the following four steps. Firstly， the identification ability test of each measurement model； Secondly， taking the real samples of earnings management disclosed by the CSRC as the standard to test the identification errors； Thirdly， a comparative analysis of identification error of measurement models and identification method； Fourthly， from the perspective of the economic consequences of ROE manipulation， the effectiveness of constructed models and identification method is further tested. The empirical research results show that the measurement models and the identification method constructed in this paper can effectively identify suspect samples with high recognition accuracy.The research in this paper is of great significance for maintaining the order of the capital market. The construction of the ROE manipulation measurement models and identification method is helpful for investors and creditors to better understand and use financial information， then restrain the ROE manipulation behavior of listed company managers driven by self-interest， and protect the interests of investors.

Key words: return on equity manipulation, earnings management, cash dividend management, measurement model, identification method

CLC Number:

F830.9

Qingwen Sun, Yu Jin, Limei Zheng, Zihan Sun. Measurement Model and Identification Method of Return on Equity Manipulation: Empirical Research Based on the Data of Chinese A-share Listed Companies[J]. Chinese Journal of Management Science, 2025, 33(2): 1-15.

Figures/Tables 7

变量	非嫌疑样本		嫌疑样本		中位数差异及显著性水平
变量	数量	中位数（%）	数量	中位数（%）	中位数差异及显著性水平
$Z T J t / A t - 1$	1722	2.7	353	2.1	-0.006^***
$C A C C t / C F O t$	1722	-28.2	353	31.6	0.598^***

变量	非嫌疑样本		嫌疑样本		中位数差异及显著性水平
变量	数量	中位数(%)	数量	中位数(%)	中位数差异及显著性水平
$S t 4 / S t$	1805	24.5	270	34.2	0.097^***
$Δ A R t 4 / S t 4$	1805	0.7	270	1.5	0.008^***

变量	销售收入增减方向	非嫌疑样本		嫌疑样本		中位数差异及显著性水平
变量	销售收入增减方向	数量	中位数(%)	数量	中位数(%)	中位数差异及显著性水平
$Δ P R O D t / Δ S t$	增加	753	48.1	165	94.0	0.459^***
$Δ P R O D t / Δ S t$	减少	242	42.9	89	18.9	-0.240^***
合计	—	995	—	254	—	—

变量	销售收入增减方向	非嫌疑样本		嫌疑样本		中位数差异及显著性水平
变量	销售收入增减方向	数量	中位数(%)	数量	中位数(%)	中位数差异及显著性水平
$Δ D t / Δ S t$	增加	1231	15.9	137	3.7	-0.122^***
$Δ D t / Δ S t$	减少	657	0.7	50	6.2	0.055^***
合计	—	1888	—	187	—	—

变量	每股收益增减方向	非嫌疑样本			嫌疑样本			中位数/均值差异及显著性水平
变量	每股收益增减方向	数量	中位数	均值	数量	中位数	均值	中位数/均值差异及显著性水平
$Δ D I t / Δ E I t$	增加	1026	0.122	—	241	0.318	—	0.196^***
$Δ D I t / Δ E I t$	减少	679	0.171	—	129	0.033	—	-0.138^***
$Δ M t$	增加	1026	—	0.110	241	—	-0.103	-0.213^***
$Δ M t$	减少	679	—	0.066	129	—	-0.124	-0.190^***
合计	—	1705	—		370	—	—	—

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模型类别	模型名称	模型	盈余管理真实样本数量	模型识别嫌疑样本数量	正确识别数量	正向误判数量	负向误判数量	误判率（%）	精确率（%）	召回率（%）
应计盈余管理	本文应计盈余管理度量模型	A	339	353	308	45	31	1.00	87.25	90.86
	Dechow(1995)修正的Jones模型	B	339	384	205	179	134	4.13	53.39	60.47
	李芳（2019）应计盈余管理模型	C	339	372	224	148	115	3.47	60.22	66.08
真实盈余管理	本文真实盈余管理度量模型	D	263	279	239	40	24	0.84	85.66	90.87
	Roychowdhury（2006）模型	E	263	303	162	141	101	3.19	53.47	61.60
	孙庆文（2020）真实盈余管理模型	F	263	290	198	92	65	2.07	68.28	75.29

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Measurement Model and Identification Method of Return on Equity Manipulation: Empirical Research Based on the Data of Chinese A-share Listed Companies

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