本文關(guān)鍵詞： 應(yīng)計(jì)異象 累計(jì)超額回報(bào) 會(huì)計(jì)應(yīng)計(jì)　出處：《安徽財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：近幾十年來(lái)學(xué)者們的研究發(fā)現(xiàn)市場(chǎng)上存在各種“異象”,如規(guī)模異象,反轉(zhuǎn)策略異象,市盈率異象等,而這些“異象”的存在質(zhì)疑了作為資本市場(chǎng)研究的重要理論基礎(chǔ)的有效市場(chǎng)理論和資本資產(chǎn)定價(jià)模型,因?yàn)閷W(xué)者們運(yùn)用現(xiàn)有的有效市場(chǎng)理論和資本資產(chǎn)定價(jià)模型無(wú)法對(duì)這些“異象”給予合理的解釋。李遠(yuǎn)鵬等(2008)指出在各種“異象”中,應(yīng)計(jì)異象是近年來(lái)學(xué)術(shù)界討論的熱點(diǎn)。Sloan在其1996年針對(duì)美國(guó)資本市場(chǎng)的研究中首先提出應(yīng)計(jì)異象。 本文選取了滬深股市2005-2010年上市的A股公司作為研究對(duì)象,收集了7536個(gè)樣本進(jìn)行研究。本文研究發(fā)現(xiàn),盈余的組成部分會(huì)計(jì)應(yīng)計(jì)以及現(xiàn)金流部分在盈余預(yù)測(cè)能力方面存在顯著的差異,會(huì)計(jì)應(yīng)計(jì)的盈余預(yù)測(cè)能力低于現(xiàn)金流部分,并且發(fā)現(xiàn)當(dāng)市場(chǎng)形勢(shì)處于牛市時(shí)期盈余對(duì)未來(lái)盈余的預(yù)測(cè)能力要高于熊市,在盈余不同組成部分的預(yù)測(cè)能力方面牛市的各項(xiàng)指標(biāo)也都好于熊市的,并且我們還觀察到當(dāng)市場(chǎng)從牛市轉(zhuǎn)變到熊市時(shí)現(xiàn)金流盈余預(yù)測(cè)能方面下降的幅度要比會(huì)計(jì)應(yīng)計(jì)大,也就是說(shuō)市場(chǎng)形勢(shì)的變化對(duì)現(xiàn)金流的影響更大些；然后按照Sloan的思路構(gòu)造套利策略買入應(yīng)計(jì)最小組股票賣出應(yīng)計(jì)最大公司股票,我們總體上可獲得6.43%的累計(jì)超額回報(bào),在剔除虧損后可獲得的累計(jì)超額回報(bào)提高至11.79%,這說(shuō)明無(wú)論是全樣本還是盈利樣本都存在較為明顯的“應(yīng)計(jì)異象”；最后發(fā)現(xiàn)累計(jì)超額收益與盈余呈正比與會(huì)計(jì)應(yīng)計(jì)呈反比,并且發(fā)現(xiàn)當(dāng)市場(chǎng)樂觀時(shí)累計(jì)超額收益與會(huì)計(jì)應(yīng)計(jì)的負(fù)相關(guān)程度更大些,當(dāng)市場(chǎng)悲觀時(shí)累計(jì)超額收益與盈余的正相關(guān)程度更大些。本文的研究結(jié)果證明了我國(guó)資本市場(chǎng)上存在應(yīng)計(jì)異象,并且從幼稚投資者角度來(lái)分析,投資者只關(guān)注企業(yè)未來(lái)盈利情況,并沒有注意到會(huì)計(jì)應(yīng)計(jì)在未來(lái)盈利預(yù)測(cè)能力方面的低可靠性,進(jìn)而不能做出正確的投資決策,這可能是造成應(yīng)計(jì)異象的一部分原因。 本文的研究發(fā)現(xiàn)在中國(guó)資本市場(chǎng)上存在應(yīng)計(jì)異象,這是我國(guó)資本市場(chǎng)缺乏效率的一種表現(xiàn),本文的研究結(jié)果豐富了對(duì)市場(chǎng)效率問題的研究又豐富了對(duì)新領(lǐng)域(應(yīng)計(jì)異象)的研究文獻(xiàn),同時(shí)對(duì)于會(huì)計(jì)準(zhǔn)則的修訂、市場(chǎng)制度的完善、理性投資者培養(yǎng)方面都具有參考價(jià)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.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F830.42;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 喬洪武,孫小帆;行為金融學(xué)的理論基礎(chǔ)及其貢獻(xiàn)[J];當(dāng)代經(jīng)濟(jì)管理;2005年05期

2 李遠(yuǎn)鵬;牛建軍;;退市監(jiān)管與應(yīng)計(jì)異象[J];管理世界;2007年05期

3 宋云玲;李志文;;A股公司的應(yīng)計(jì)異象[J];管理世界;2009年08期

4 姜英兵;張爽;;新會(huì)計(jì)準(zhǔn)則與應(yīng)計(jì)異象[J];經(jīng)濟(jì)管理;2010年11期

5 陸璇,陳小悅,張嶺松,劉慧霞;中國(guó)上市公司財(cái)務(wù)基本信息對(duì)未來(lái)收益的預(yù)測(cè)能力[J];經(jīng)濟(jì)科學(xué);2001年06期

6 陸蓉,徐龍炳;“牛市”和“熊市”對(duì)信息的不平衡性反應(yīng)研究[J];經(jīng)濟(jì)研究;2004年03期

7 王慶文;;會(huì)計(jì)盈余質(zhì)量對(duì)未來(lái)會(huì)計(jì)盈余及股票收益的影響——基于中國(guó)股票市場(chǎng)的實(shí)證研究[J];金融研究;2005年10期

8 樊行健;劉浩;郭文博;;中國(guó)資本市場(chǎng)應(yīng)計(jì)異象問題研究——基于上市公司成長(zhǎng)性的全新視角[J];金融研究;2009年05期

9 趙春光;現(xiàn)金流量?jī)r(jià)值相關(guān)性的實(shí)證研究——兼評(píng)現(xiàn)金流量表準(zhǔn)則的實(shí)施效果[J];會(huì)計(jì)研究;2004年02期

10 姜國(guó)華;;基于會(huì)計(jì)信息的證券投資策略研究:分析及展望[J];會(huì)計(jì)研究;2005年11期

，

本文編號(hào)：1517839