本文關鍵詞： 應計異象 資產負債觀 綜合收益 有效市場假說　出處：《財政部財政科學研究所》2013年碩士論文　論文類型：學位論文

【摘要】：根據“有效市場假說”,有效的資本市場上的股票價格已經反映了市場上全部已有信息,因此投資者無法利用市場上已發(fā)布的信息進行投機獲取超額收益。20世紀80年代以后,越來越多的資本市場定價現象和有效市場假說不符被學術界發(fā)現。由于財務信息的不完全性、投資者的有限理性、市場交易的摩擦性,股票價格往往和上市公司財務會計信息發(fā)生背離,股票價格常常不能反映已發(fā)布的財務會計信息,這種背離被成為“市場異象”。在會計學界,學者們往往從會計的角度來解釋市場異象,把市場異象稱為“會計異象”。Sloan認為股票價格和財務會計信息的背離是由于權重發(fā)生制下應計項的存在,因此他把股票價格和財務會計信息的背離稱之為“應計異象”�！皯嫯愊蟆笔菚嫯愊蟮囊环N。由于權責發(fā)生制的影響,會計盈余不再等同于現金流量,會計盈余劃分為應計利潤和現金流兩個部分。Sloan發(fā)現投資者并未完全認識到會計盈余各組成部分的差異,即未認識到會計應計利潤和現金流量在持續(xù)性上的差異,只是關注于公司的會計盈余總額,從而高估了應計利潤占會計盈余比重高的企業(yè)的價值,低估了應計利潤占會計盈余比重低的企業(yè)的價值,導致資本市場定價錯誤。 本文首先對國內外應計異象的理論、研究方法和實證研究結果進行綜述,作為本文的研究基礎。我國的會計準則制定理念在新準則下越來越多地體現了資產負債觀,2009年以后在財務報告列報中出現了“綜合收益”這樣一個會計盈余概念。資產負債觀下的會計盈余的范圍比收入費用觀下的會計盈余的范圍有所擴大,因此本文將綜合收益取代凈利潤作為衡量會計盈余的最終指標。與會計盈余的范圍擴大相對應,會計盈余的組成部分也發(fā)生了變化,本文將會計盈余劃分為現金流、日常經營活動產生的應計利潤和非日常經營活動產生的應計利潤三個組成部分。由于資產負債觀下的準則更大程度上引入公允價值計量,非日常經營活動對會計盈余的影響越來越大,非日常經營活動產生的應計變化,雖然未直接在損益中確認利得或損失,但通過其他綜合收益,影響了會計盈余。在資本市場上的會計信息發(fā)生了變化的背景下,本文研究日常經營活動應計利潤和非日常經營活動應計利潤之間是否存在盈余持續(xù)性上的差異。投資者對這種持續(xù)性上的差異是否能夠正確定價,以判斷中國資本市場上的應計異象是否仍然存在。結合對中國資本市場上應計異象的理論研究與實證分析,本文對改進應計異象提出了建議。
[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.
【學位授予單位】：財政部財政科學研究所
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F231.1

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