【作者】 杨开元；

【导师】 刘斌；

【作者基本信息】 重庆大学 ， 会计学， 2014， 博士

【摘要】 资本市场会计实证研究是建立在有效市场假说、资本资产定价模型以及行为金融理论基础之上的，经过多年的发展，已成为会计实证研究的一个非常重要的领域。Ball and Brown（1968）首次用实证研究的方法对盈余变动与股票异常回报展开系统的研究，为资本市场与会计信息的研究奠定了基础。之后，众多的研究指出，资本市场中的投资者是根据各种信息对股票等证券进行定价的，其中，会计信息最基本也是最重要的信息来源，而会计信息尤其是盈余信息的编报又是以应计制会计制度为基础的，因此应计信息会对投资者的定价行为产生非常重要的影响。如果投资者不能准确判断会计信息的特征，则会导致其对股票错误定价，进而导致资本市场无效。鉴于有效资本市场假说(Efficient Market Hypothesis）的重要地位，学术研究中将违背有效资本市场假说的现象称为资本市场的“异象”，如果资本市场的无效是由于市场对应计信息的错误定价造成的，则称之为资本市场的“应计异象”。Sloan（1996）首次发现了“应计异象”的存在，即资本市场对会计信息中的应计信息错误定价，这引起了学术界及实务界的广泛争论。从应计异象发现至今的17年间，应计异象一直未从资本市场消失，学术界对应计异象的研究也从未停止。首先，当前学术界对应计异象的研究主要围绕应计异象的成因展开，这些研究均基于一个假设前提，即研究中所采用的定价模型是正确的，进而根据假定正确的定价模型求得的所谓的异常回报是真实的。因此，对应计异象的研究需要排除定价模型中是否存在一个与应计有关的风险因子。其次，一方面由于套利机制的作用，通过应计进行套利的空间会随着时间的推移逐渐减少；另一方面根据学习效应假说，资本市场中的投资者会不断根据新产生的信息对投资决策做出修正，市场对应计的错误定价也会逐渐降低，由于以上两个方面的原因，应计异象会最终消失。因此，对应计异象的研究还需面对应计异象是否能持续存在的问题，即“应计异象”的市场表现如何。根据以上分析，一个对“应计异象”比较深入的研究，应围绕如下三个问题逐步展开：一是应计异象究竟是否存在；二是如果应计异象被证实存在，那么是什么原因导致了应计异象的产生；三是应计异象持续存在的市场表现如何，原因又是什么。本文按照以上逻辑展开研究，共分为七章，各章节的结构安排如下：第1章是绪论，主要交代了本文的研究背景、思路、方法和创新点等。第2章为理论基础，介绍了应计异象研究的理论基础，包括有效市场假说、资产定价模型和行为金融理论。第3章是文献综述，主要对应计异象的国内研究按照存在性、存在原因以及持续存在原因三个方面进行了综述。第4章为基于应计风险角度的应计异象存在性的解释。本章对应计异象的存在性进行检验，即检验应计异象到底是由于研究中模型误设而造成的一种研究假象，还是由于投资者错误定价而形成的一种市场套利机会。第5章对基于应计特征角度的应计异象产生的客观原因进行分析。主观上而言，应计异象的存在是由投资者错误的个人定价行为造成的，但从客观上或者本质上分析，则是由会计应计信息的特征引起的，即投资者对应计等盈余信息特征未能正确把握，进而对盈余及其组成部分的持续性做出了错误判断，由此导致错误的定价行为。第6章基于微观使用者感知、宏观市场状态与应计异象的关系，从行为金融学的角度对应计异象的市场表现进行检验。本章首先通过对不同感知投资者所关注的股票的应计盈余持续性及应计异象程度进行检验；然后对不同市场状态下，股票的应计盈余持续性及市场上的应计异象程度进行分析；最后对不同市场状态、不同感知投资者的定价行为进行了检验。第7章是本文的研究结论。本章报告了全文主要的研究结论，并提出本文的研究启示。本文使用我国A股市场1998年至2013年的上市公司数据，对我国资本市场的“应计异象”进行了较为深入的研究，全文以实证研究方法为主，按照应计异象的存在性、产生的客观原因、市场持续表现的逻辑展开，主要得出如下结论：第一，虽然模拟应计因子能较好地解释市场对应计的错误定价，但研究的结果表明，这主要是由于其与应计特征的高度相关引起的，即应计异象并不是在定价模型中遗漏了与应计相关的风险因子而形成的一种伪命题，而是由投资者对应计信息错误定价而产生的一种资本市场“异象”。第二，进一步将应计划分为先收付应计与后收付应计后的研究发现，对于具有更大估计误差以及持续性更不稳定的后收付应计而言，在异常回报上能产生16.2%的套利空间，远大于基于应计的9.2%的套利空间，说明应计异象产生的客观原因是应计信息持续性的不稳定以及估计误差的难以衡量。第三，信息使用者的应计信息感知对“应计异象”的市场表现产生显著影响，“应计异象”主要发生在拥有低感知的使用者中，基于不同市场状态下的检验结果进一步支持了这一结论。更多还原

【Abstract】 Research on the accounting of capital market, especially the empirical research, theefficient market hypothesis, the capital asset pricing model and the behavior financetheory as the foundation, has become a very important field of accounting empiricalresearch.(Ball and Brown,1968) for the first time, use the methods of empiricalresearch on earnings and changes in abnormal stock returns of systematic study, laid thefoundation for the study of capital market and accounting information. Capital marketinvestors according to various kinds of information to the stock pricing such securities,in many sources of information, accounting information is the basic information ofinvestors for stock pricing, and the accounting information especially earnings report isbased on the accrual accounting system as the foundation, so the accrual informationimportant influence on the pricing behavior of investors. If investors judge errorcharacteristics of accounting information, will cause its for stock pricing errors,resulting in inefficient capital markets, in view of the efficient capital market hypothesis(Efficient Market Hypothesis) is an important position, academic research will violatethe efficient capital market hypothesis phenomenon to become the capital market’svision, if not the capital market is the result of pricing errors the accrual informationmarket, it is called the capital market the accrual anomaly.(Sloan,1996) found that the capital market accounting information pricing errorson accounting information should be, first discovered the "accrual anomaly", causedwidespread controversy in academic circles and practical, although from the accrualanomaly that has been17years, but the accrual anomaly has not disappeared from thecapital market, the academic study of the accrual anomaly never ceased. At present, inthe academic research on the accrual anomaly mainly focus on the causes of the accrualanomaly, these studies have assumed a premise, namely the pricing model which areused in the study is correct, the so-called abnormal return assumed right based on thepricing model obtained is true. Therefore, study on the accrual anomaly first need torule out a risk factor associated with accrued have pricing model. Secondly, in theory,on the one hand because of the arbitrage mechanism, the accrual of arbitrage space willbe gradually reduced over time; on the other hand, according to the study hypothesis,the investors in capital markets will continue according to the new information to makethe correction of investment decision, the wrong pricing will gradually reduce the accrual the two aspects above, will lead to the disappearance of the accrual anomaly.Therefore, study on the accrual anomaly also need to face the accrual anomaly ongoingproblem, namely how to market performance of vision.In conclusion, a more in-depth study of the "accrual anomaly", should focus on thefollowing three aspects: one is the analysis of the accrual anomaly is the existence of;two is that if the accrual anomaly were confirmed to exist, then what is the reason forthe accrual anomaly; three is the accrual anomaly implies the existence of arbitragespace in the market in the capital market, smart investors through accruals informationportfolio transactions and obtain excess returns, so after a period of time, arbitrage,arbitrage accrual anomaly should be eliminated, but the study found that the accrualanomaly is persistent, then what is the reason the vision persistence.The thesis consists of seven chapters, the structure arrangement of each chapter areas follows:The first chapter. This paper mainly introduces the research background, ideas,methods and innovations.The second chapter theoretical basis. This is the theoretical basis of accrualanomaly of the efficient market hypothesis, including finance, asset pricing model andthe behavior.The third chapter is the literature summary. The domestic research on the accrualanomaly were reviewed according to the existence, causes and persists for threereasons.The fourth chapter accrued risk angle are based on accrual anomaly interpretation.The accrual anomaly test the existence of the accrual anomaly, namely what is the studyof model misspecification on an illusion caused by a market, or because investorspricing errors and the formation of the arbitrage opportunity.The fifth chapter accrual characteristics angle should be the essential reasonanalysis based on the accrual anomaly. Conduct root cause analyses accrual anomaly, ifaccrual anomaly really exist, the subjective analysis, is caused by the individual pricingbehavior mistake investors, but objectively or essential analysis is caused by thecharacteristics of accounting information, investors corresponding meter failed tocorrectly grasp the characteristics of earnings information, in order to make the wrongjudgment of earnings and its components of persistent part, finally the pricing error of.The sixth chapter micro users perceived, macro market status and accrual anomaly.Market performance from the perspective of behavioral finance to the accrual anomaly inspection, in this part, firstly, according to the different perception of investorsconcerned about the earnings persistence and the accrual anomaly degree were tested,and then the different market conditions, stock earnings persistence and market on theaccrual anomaly degree the final analysis, pricing behavior in different markets,different perception of investors are tested.The seventh chapter research conclusion. Report of the main conclusions, andanalyzes the significance of this study.First, although the accrual factor can explain the accrual mispricing marketsimulation, but the study found that this is mainly because of its and accrualcharacteristics highly related, namely the accrual anomaly is not the pricing model ofmissing a pseudo proposition research and accrued risk factor related to form in, accrualanomaly is a kind of capital market caused by investors accrual pricing informationerror pricing phenomenon.Second, the plan for the first payment should be accrued and post receipt andpayment of accrued, the study found more persistent error estimation after payment andhigher uncertainty accrued, can produce16.2%arbitrage space in the abnormal return,far greater than the accrued9.2%arbitrage space, the objective nature of reason accrualanomaly generated is low persistent accruals information, further reason is sustained bythe accounting information and the uncertainty of the estimation error is difficult tomeasure the characteristics of the resulting.Third, different perception of accrual accrual anomaly information users generatedifferent effects, accrual anomaly occurred mainly in the low perceptual ability byaccrual information users have the sample, through to the different market conditions,samples should examine market gauge anomalies further support the above conclusion.更多还原