应计异象的市场定价——来自中国股票市场的证据

发布时间：2018-02-11 11:28

本文关键词： 应计异象应计风险因子分析师会计收益预测修正会计收益反应系数　出处：《西华大学学报(哲学社会科学版)》2016年03期 　论文类型：期刊论文

【摘要】：本文应用非预期股票收益定价的模型框架以及Fama和French三因子模型,研究了应计特征及应计风险因子的应计异象的市场定价并发现:(1)在公司水平下,无论是在Fama和French三因子模型下还是在非预期股票收益定价的模型框架下,应计和应计异象风险因子(CMA)均不能作为独立因子、不能解释股票超额收益。(2)同Hirshleifer et al在美国市场的发现一致,Fama和French三因子模型同样不能解释中国股票市场的应计异象。相对于Fama和French三因子模型对应计异象的检验结果,三因素模型可以部分解释中国股市的应计异象,而且,还可以完全解释中等规模公司的应计异象。(3)三因素模型对大规模公司的应计异象则出现了不能被解释的截距项,平均值为-0.104,市场错误定价可能是导致出现不能被解释的截距项的原因。
[Abstract]:The application of non expected stock return pricing model framework and Fama and French three factor model of accruals and market pricing plan risk factors of accrual anomaly and found that: (1) at the company level, both in the Fama and French three factor model or non expected stock return pricing the model framework, accruals and accrual anomaly risk factor (CMA) were not the independent factor, cannot explain the excess stock returns. (2) with Hirshleifer et al in the U.S. market found, Fama and French three factor model can not explain the stock market Chinese accrual anomaly relative to Fama and French three. The accrual anomaly factor model test results, the three factor model can partly explain the China stock accrual anomaly, but also can fully explain the medium-sized company accrual anomaly. (3) the three factors model of large-scale company The accrual anomaly appears an interceptable term which cannot be explained. The average value is -0.104. The market mispricing may be the reason for the occurrence of the intercepting term which cannot be explained.

【作者单位】：贵州财经大学金融学院;四川大学锦城学院金融系;
【基金】：国家自然科学基金面上项目(71572052,71572091) 贵州省科学技术基金(黔科合J字[2013]2088号)
【分类号】：F832.51;F224

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