中国资本市场应计异象存在性问题研究

发布时间：2018-02-19 18:40

本文关键词： 应计异象累计超额回报会计应计　出处：《安徽财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：近几十年来学者们的研究发现市场上存在各种“异象”,如规模异象,反转策略异象,市盈率异象等,而这些“异象”的存在质疑了作为资本市场研究的重要理论基础的有效市场理论和资本资产定价模型,因为学者们运用现有的有效市场理论和资本资产定价模型无法对这些“异象”给予合理的解释。李远鹏等(2008)指出在各种“异象”中,应计异象是近年来学术界讨论的热点。Sloan在其1996年针对美国资本市场的研究中首先提出应计异象。本文选取了沪深股市2005-2010年上市的A股公司作为研究对象,收集了7536个样本进行研究。本文研究发现,盈余的组成部分会计应计以及现金流部分在盈余预测能力方面存在显著的差异,会计应计的盈余预测能力低于现金流部分,并且发现当市场形势处于牛市时期盈余对未来盈余的预测能力要高于熊市,在盈余不同组成部分的预测能力方面牛市的各项指标也都好于熊市的,并且我们还观察到当市场从牛市转变到熊市时现金流盈余预测能方面下降的幅度要比会计应计大,也就是说市场形势的变化对现金流的影响更大些；然后按照Sloan的思路构造套利策略买入应计最小组股票卖出应计最大公司股票,我们总体上可获得6.43%的累计超额回报,在剔除亏损后可获得的累计超额回报提高至11.79%,这说明无论是全样本还是盈利样本都存在较为明显的“应计异象”；最后发现累计超额收益与盈余呈正比与会计应计呈反比,并且发现当市场乐观时累计超额收益与会计应计的负相关程度更大些,当市场悲观时累计超额收益与盈余的正相关程度更大些。本文的研究结果证明了我国资本市场上存在应计异象,并且从幼稚投资者角度来分析,投资者只关注企业未来盈利情况,并没有注意到会计应计在未来盈利预测能力方面的低可靠性,进而不能做出正确的投资决策,这可能是造成应计异象的一部分原因。本文的研究发现在中国资本市场上存在应计异象,这是我国资本市场缺乏效率的一种表现,本文的研究结果丰富了对市场效率问题的研究又丰富了对新领域(应计异象)的研究文献,同时对于会计准则的修订、市场制度的完善、理性投资者培养方面都具有参考价值。
[Abstract]:In recent decades, scholars have found that there are various "anomalies" in the market, such as scale vision, inversion strategy vision, price-earnings ratio anomaly, etc. The existence of these "anomalies" questions the efficient market theory and the capital asset pricing model, which are the important theoretical basis of capital market research. Because scholars can't reasonably explain these "anomalies" by using existing efficient market theories and capital asset pricing models. Li Yuanpeng et al. (2008) pointed out that in all kinds of "anomalies", Accrual anomaly is a hot topic in academic circles in recent years. In her research on American capital market in 1996, she first put forward accrual vision. This paper selects A-share companies listed in Shanghai and Shenzhen stock markets from 2005 to 2010 as the research objects, collects 7536 samples for research. There are significant differences in earnings forecasting ability between the components of earnings accrual and cash flow, which is lower than that of cash flow. It is also found that when the market situation is in a bull period, the forecasting ability of surplus to future surplus is higher than that of bear market, and all indicators of bull market are better than those of bear market in terms of forecasting ability of different components of surplus. We also observe that when the market changes from bull market to bear market, the decline of cash flow surplus forecasting ability is larger than accounting accrual, that is to say, the change of market situation has more influence on cash flow. Then according to the idea of Sloan, we construct arbitrage strategy to buy the most accrual group stock and sell the largest accrual company stock, and we can get a cumulative excess return of 6.43% on the whole. After eliminating losses, the cumulative excess return is increased to 11.79, which indicates that there are obvious "accrual anomalies" in both the whole sample and the profit sample. Finally, it is found that the cumulative excess income and surplus are in direct proportion to the accounting accrual. It is also found that when the market is optimistic, the negative correlation between cumulative excess returns and accounting accruals is greater. When the market is pessimistic, the positive correlation between cumulative excess returns and earnings is greater. The results of this paper prove that there are accrual anomalies in China's capital market, and analyze them from the perspective of immature investors. Investors only pay attention to the future earnings of enterprises and fail to notice the low reliability of accounting accruals in the ability to predict future earnings, which may be part of the reason why accounting accruals are not able to make the right investment decisions. This paper finds that there is an accrual anomaly in China's capital market, which is a manifestation of the inefficiency of China's capital market. The results of this paper enrich the study of market efficiency and the research literature of new fields (accrual anomalies). At the same time, it has reference value for the revision of accounting standards, the perfection of market system and the cultivation of rational investors.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.42;F832.51

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