资产负债观下应计异象研究

发布时间：2018-02-27 06:05

本文关键词： 应计异象资产负债观综合收益有效市场假说　出处：《财政部财政科学研究所》2013年硕士论文　论文类型：学位论文

【摘要】：根据“有效市场假说”,有效的资本市场上的股票价格已经反映了市场上全部已有信息,因此投资者无法利用市场上已发布的信息进行投机获取超额收益。20世纪80年代以后,越来越多的资本市场定价现象和有效市场假说不符被学术界发现。由于财务信息的不完全性、投资者的有限理性、市场交易的摩擦性,股票价格往往和上市公司财务会计信息发生背离,股票价格常常不能反映已发布的财务会计信息,这种背离被成为“市场异象”。在会计学界,学者们往往从会计的角度来解释市场异象,把市场异象称为“会计异象”。Sloan认为股票价格和财务会计信息的背离是由于权重发生制下应计项的存在,因此他把股票价格和财务会计信息的背离称之为“应计异象”。“应计异象”是会计异象的一种。由于权责发生制的影响,会计盈余不再等同于现金流量,会计盈余划分为应计利润和现金流两个部分。Sloan发现投资者并未完全认识到会计盈余各组成部分的差异,即未认识到会计应计利润和现金流量在持续性上的差异,只是关注于公司的会计盈余总额,从而高估了应计利润占会计盈余比重高的企业的价值,低估了应计利润占会计盈余比重低的企业的价值,导致资本市场定价错误。本文首先对国内外应计异象的理论、研究方法和实证研究结果进行综述,作为本文的研究基础。我国的会计准则制定理念在新准则下越来越多地体现了资产负债观,2009年以后在财务报告列报中出现了“综合收益”这样一个会计盈余概念。资产负债观下的会计盈余的范围比收入费用观下的会计盈余的范围有所扩大,因此本文将综合收益取代净利润作为衡量会计盈余的最终指标。与会计盈余的范围扩大相对应,会计盈余的组成部分也发生了变化,本文将会计盈余划分为现金流、日常经营活动产生的应计利润和非日常经营活动产生的应计利润三个组成部分。由于资产负债观下的准则更大程度上引入公允价值计量,非日常经营活动对会计盈余的影响越来越大,非日常经营活动产生的应计变化,虽然未直接在损益中确认利得或损失,但通过其他综合收益,影响了会计盈余。在资本市场上的会计信息发生了变化的背景下,本文研究日常经营活动应计利润和非日常经营活动应计利润之间是否存在盈余持续性上的差异。投资者对这种持续性上的差异是否能够正确定价,以判断中国资本市场上的应计异象是否仍然存在。结合对中国资本市场上应计异象的理论研究与实证分析,本文对改进应计异象提出了建议。
[Abstract]:According to the efficient Market hypothesis, stock prices in efficient capital markets have reflected all available information in the market, so investors cannot use the information published in the market to speculate to obtain excess returns after 80s. More and more phenomena of capital market pricing and efficient market hypothesis have been discovered by academic circles. Due to the incompleteness of financial information, the limited rationality of investors, the friction of market transactions, The stock price often deviates from the financial accounting information of the listed company. The stock price often fails to reflect the published financial and accounting information. This deviation is called "market anomaly". Scholars often explain market anomalies from the perspective of accounting, calling market anomalies "accounting anomalies". Sloan thinks that the deviation between stock prices and financial accounting information is due to the existence of accruals under the weight system. Therefore, he called the deviation between stock price and financial accounting information as "accrual anomaly". "accrual anomaly" is one of accounting anomalies. Due to the effect of accrual basis, accounting surplus is no longer equal to cash flow. Accounting earnings are divided into accrual profits and cash flows. Sloan finds that investors are not fully aware of the differences between the components of accounting earnings, that is, the differences between accrued profits and cash flows on a continuous basis. Only by focusing on the total amount of accounting earnings of the company, it overestimates the value of the enterprises with a high proportion of accrued profits and accounting earnings, and underestimates the value of enterprises with a low proportion of accrual profits, which leads to the mispricing of the capital market. This paper first summarizes the theory, research methods and empirical results of accrual anomalies at home and abroad. As the basis of this paper, the concept of accounting standard-making in China has more and more embodied the concept of assets and liabilities under the new standards. After 2009, the concept of "comprehensive income" has emerged in the financial report presentation as an accounting surplus concept. The scope of the accounting surplus under the asset-liability view is wider than the scope of the accounting surplus under the income and expense view, Therefore, this paper takes synthetic income instead of net profit as the ultimate index to measure accounting surplus, corresponding to the expansion of accounting surplus, the components of accounting surplus also change, the accounting surplus is divided into cash flow, and the accounting surplus is divided into cash flow, cash flow, cash flow, cash flow, cash flow and cash flow. The three components of accrual profit arising from daily business activities and accrual profits from non-daily operating activities. Because the criterion under the view of assets and liabilities introduces fair value measurement to a greater extent, The impact of non-routine business activities on accounting earnings is increasing. Accrual changes resulting from non-routine operations do not directly recognize gains or losses in gains or losses, but through other combined gains and losses, In the context of the change in accounting information in the capital market, This paper studies whether there is a difference between accrual profit of daily operation and accrual profit of non-daily operation. In order to judge whether the accrual anomalies still exist in China's capital market, this paper puts forward some suggestions to improve the accrual anomalies in the light of theoretical research and empirical analysis of the accrual anomalies in China's capital market.
【学位授予单位】：财政部财政科学研究所
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F231.1

【参考文献】