我国A股市场应计异象研究

发布时间：2018-02-03 03:08

本文关键词： 资本市场会计应计异象会计估计会计误差　出处：《证券市场导报》2011年06期 　论文类型：期刊论文

【摘要】：本文以2006~2009年我国A股公司为样本,沿用Richardson(2005)的方法对应计及其组成部分的盈余持续性及市场定价展开研究。本文根据权责确认与现金收付的异期,将营业性应计分为先收付应计FRAO与后收付应计LRAO,研究发现由于估计误差的存在,致使营业性应计的持续性低于营业利润中非营业性应计部分的持续性;由于持续性的不确定,导致FRAO的盈余持续性小于LRAO;并发现我国资本市场未能正确对营业性应计及先收付应计FRAO正确定价,但未能发现市场对后收付应计LRAO错误定价的证据。本文的研究说明估计误差及持续性的不确定是导致资本市场对应计错误定价,即"应计异象"存在的原因,在我国资本市场通过应计及其组成部分可成功构建高于市场平均回报的套利组合。
[Abstract]:This paper takes A share companies in China from 2006 to 2009 as samples. Using the method of Richardson's 2005), this paper studies the earnings persistence and market pricing of accruals and their components. This paper is based on the recognition of accruals and the different periods of cash receipts and payments. The business accrual is divided into FRAO and LRAO. The study finds that the estimation error exists. The continuity of business accruals is lower than that of non-business accruals of operating profits; Because of the uncertainty of persistence, the surplus persistence of FRAO is smaller than that of LRAO. It is also found that China's capital market has failed to correctly price the business accrual and pre-payment accrual FRAO. However, the market failed to find evidence of mispricing of LRAO. This study shows that the uncertainty of estimation error and persistence is the result of mispricing in capital market. In other words, the reason of the existence of "accrual anomaly" is that the arbitrage portfolio which is higher than the market average return can be successfully constructed in China's capital market through accrual and its components.
【作者单位】：重庆大学经济与工商管理学院;
【分类号】：F832.51;F224
【正文快照】： “法与金融学”研究表明,投资者更愿意为处于强调保护投资权利法域中的公司融资,即越不成熟的资本市场发展越受到制约,效率越低。有效资本市场假说(EMH)认为有效的资本市场是投资者(价格)能及时、正确、充分地对信息作出反应的市场,然而现实中的资本市场并不符合有效资本市场

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