机构投资者对应计异象的影响研究

发布时间：2018-06-19 11:10

本文选题：应计异象 + 持续性　；参考：《重庆理工大学》2015年硕士论文

【摘要】：Sloan在1996年首次提出了应计异象的概念。本文以2009—2012年我国A股上市公司的财务数据检验了应计异象的存在性。为保持应计异象完整的研究框架,从会计盈余及其不同组成部分的持续性开始,首先检验了现金流和应计利润持续性的不同,然后对应计利润和未来累计超额回报进行了单变量回归,结果显示应计利润与未来累计超额回报呈现显著地负相关关系;接着加入影响股票收益的风险因子进行了多元回归的检验,在加入控制变量后,应计利润与未来超额回报仍呈现显著地负相关关系;最后再使用套利投资策略,进一步分年度和对总体做了套利检验,结果发现总体可以获得超过10%的超额回报,这几种方法都从不同程度上对应计异象的存在性做了检验,结果表明我国资本市场在研究期间内存在显著地应计异象。在实证检验我国资本市场存在应计异象后,基于机构投资者在中国证券市场上的迅速发展,结合机构投资者所拥有的信息资源优势以及机构投资者的双重代理人身份,本文从机构投资者对会计信息的认知程度(机构持股比例越高,应越能识别会计盈余所包含的信息)和不同类型机构投资者监督上市公司的积极性出发研究了机构投资者对于应计异象程度的影响,结果表明无论是通过分样本组检验还是通过引入交乘项的多元回归检验,实证结果都是机构投资者持股比例越高,其应计异象的程度越小,说明机构投资者持股比例的高低对应计异象的缓解程度时不一致的。同时,本文进一步将机构投资者分类为积极型机构投资者和消极型机构投资者后,实证结果表明积极型机构投资者所持股票的上市公司表现出的应计异象小于消极型的,说明不同类型的机构投资者对应计异象的缓解程度是不一样的。对于面临国家干预压力较小,内部薪酬激励体制较为完善的基金和QFII能通过监督干预管理层的行为来缓解应计异象,而其余的包括券商、保险、社保基金、信托由于受到的政府干预较大,薪酬激励体系与业绩不挂钩,没有积极监督管理层行为的动力,因此,消极型的机构投资者相对积极型机构投资者对应计异象的缓解程度小。
[Abstract]:Sloan first put forward the concept of accrual vision in 1996. This paper examines the existence of accrual anomalies based on the financial data of A-share listed companies in China from 2009 to 2012. In order to maintain a complete research framework of accrual anomalies, starting with the persistence of accounting earnings and their different components, the differences in the continuity of cash flow and accrual profits are first tested. Then the accrual profit and future cumulative excess return are analyzed by univariate regression. The results show that accrual profit has a significant negative correlation with future cumulative excess return. After adding the control variable, the accrual profit is still negatively correlated with the future excess return. Finally, the arbitrage investment strategy is used. The results show that the overall excess return can be obtained by more than 10%. All of these methods are tested to some extent corresponding to the existence of vision. The results show that there are significant accrual anomalies in China's capital market during the period of study. Based on the rapid development of institutional investors in China's securities market, combining the advantages of information resources owned by institutional investors and the dual agent identity of institutional investors, this paper examines the existence of accrual anomalies in China's capital market. From the perspective of institutional investors' cognition of accounting information (the higher the proportion of institutional holdings is, The more we can identify the information contained in accounting earnings) and the enthusiasm of different types of institutional investors to supervise listed companies, we study the influence of institutional investors on the degree of accrual anomalies. The results show that the higher the shareholding ratio of institutional investors, the smaller the degree of accrual anomalies. It shows that the ratio of institutional investors holding shares is inconsistent with the degree of mitigation of accounting anomalies. At the same time, after classifying institutional investors into active institutional investors and passive institutional investors, the empirical results show that listed companies with active institutional investors exhibit less accrual anomalies than negative institutional investors. It shows that different types of institutional investors have different mitigation of accrual anomalies. Funds and QFII, which face less pressure from state intervention and better internal compensation incentive systems, can mitigate accrual anomalies by monitoring and intervening in the behavior of management, while the rest include brokers, insurance, and social security funds. Because of the large government intervention, the compensation incentive system is not linked to performance, and there is no incentive to actively supervise the behavior of the management, the passive institutional investors are relatively less relieved of the accrual vision than the active institutional investors.
【学位授予单位】：重庆理工大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.51

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