机构投资者持股对应计异象的影响

发布时间：2018-04-26 21:24

本文选题：应计异象 + 机构投资者　；参考：《系统工程》2012年05期

【摘要】：机构投资者能否提高股票的定价效率一直是理论界和学术界研究的热点问题,本文从应计异象角度对该问题进行了研究,发现机构投资者能够显著减少应计项目的错误定价程度。以中国A股市场2001～2010年的上市公司为样本,本文发现我国证券市场上依然存在应计异象现象;通过考察机构投资者持股变化和公司上年度应计项目水平之间的关系,本文发现机构投资者确实会根据公司的应计项目水平做出投资决策上的调整。进一步的研究表明,不论是高机构投资者持股组还是低机构投资者持股组,都存在显著的应计项目高估现象;但机构投资者持股水平越高,应计项目的高估程度也越小,表明机构投资者确实可以减少应计异象,提高市场对应计项目的定价效率。
[Abstract]:Whether institutional investors can improve the pricing efficiency of stocks has always been a hot issue in theoretical and academic circles. This paper studies this issue from the perspective of accrual vision. It is found that institutional investors can significantly reduce the mispricing of accruals. Taking the listed companies in China's A-share market from 2001 to 2010 as samples, this paper finds that there is still an accrual anomaly in China's securities market, and investigates the relationship between the changes of institutional investors' shareholdings and the level of accrual items in the last year of the company. This paper finds that institutional investors do adjust their investment decisions according to the accrual project level of the company. Further studies show that both the high institutional investor holding group and the low institutional investor holding group have significant overestimation of accrual items, but the higher the institutional investor shareholding level, the smaller the degree of overestimation of accrual items. It shows that institutional investors can reduce accrual anomalies and improve the pricing efficiency of market accounting items.
【作者单位】：西安交通大学管理学院;
【基金】：国家自然科学基金资助项目(71172186;71102095) 教育部新世纪人撑支持计划项目(NCET-07-0309)
【分类号】：F832.51

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