Empirical Analysis Of Credit Demand Information Conveyed In Aggregate Earning Surprise

Earnings is one of the most important concepts in accounting information.Earnings is also one of the important indicators for various economic entities to make decision.At the micro level,the relationship between earnings information and credit demand has been discussed and studied.However,there is not much research at the macro level.Earning surprise refers to the excess of expected earnings,which is the proxy variable for earnings information.Aggregate earning surprise reflects the aggregate earnings information.This article discusses whether aggregate earning surprise conveys the signals of credit demand.Based on earning forecast information released by non-financial A-share listed companies from the first quarter of 2004 to the fourth quarter of 2016,this article calculates the company's earnings surprise based on profit forecast and actual profit.Then we calculated aggregate earning surprise weighted by equal rights,market value,average market value,the market value of circulation,and the average market value of circulation.The aggregate earning surprise is used to represent the aggregate earnings information.We use the net increase of weighted long-term borrowings as the proxy variable for credit demand.Thus,we discussed whether credit demand is conveyed by aggregate earning surprise.This paper builds a VAR model based on aggregate earning surprise,the net increase in weighted long-term borrowings,and control variables(output gap,inflation),then conducts Granger causality test on the basis of VAR model.The results show that the aggregate earning surprise of equal rights rejected the original hypothesis “summed the unexpected surplus is not Granger due to credit demand” at the significance level of 5%.;the other four measures,namely the market value weighted and the average market value weighted,the weighted market value of circulation,and the weighted by the average circulation market value,all reject the hypothesis of “growth of unexpected surpluses is not Granger's credit demand” at the significance level of 1%.The empirical results show that the aggregate earning surprise is the Granger's cause of credit demand,and the assumption that aggregate earning surprise conveys the signals on future credit demand is confirmed.The empirical results are robust.The main innovations and contributions of the dissertation are to provide affirmative evidence for answering whether the aggregated earnings information will convey credit demand signals.The research conclusions also have certain implications for practice.