基于投资者有限注意的应计异象理论与实证研究

【作者】 丁燕；

【导师】 贺伟奇； 饶育蕾；

【作者基本信息】 中南大学 ， 统计学， 2011， 硕士

【摘要】 本文基于投资者有限注意,从理论和实证两个方面研究了“应计异象”问题。首先,介绍了相关理论,包括资本市场有效假说、投资者有限理性等对“应计异象”解释。在这些理论基础上,分析Hirshleifer的基于投资者有限注意的应计异象理论模型。Hirshleifer认为投资者按对盈余及应计信息的关注程度不同可以分为三类,其中一类为完全不关注盈余信息,另一类为关注了盈余利润表现,但是却忽视了应计,最后一类为既注意到利润,也注意到应计。基于该理论,本文提出三个实证假设。其中,假设一(H1)：中国市场存在利润异象和应计异象；假设二(H2)：第一类投资者比例越高,利润异象越强；假设三(H3)：第三类投资者比例越高,应计异象越弱。本文搜集中国A股市场2005-2009年数据,对这些数据进行初步处理后进行相关分析发现应计与未来利润、机构持股是正相关,与未来超额收益呈负相关关系,初步表明应计可以预测未来利润,应计高的易受到投资者关注,高应计可能会高估股价而带来负超额收益。本文建立关于应计(利润)对未来利润预测与应计(利润)对未来超额收益的联立方程模型,验证了中国A股市场存在应计异象(利润异象)；然后,加入投资者有限注意度量因子(高低注意力的哑变量),分别建立了基于投资者有限注意的利润异象模型及基于投资者有限注意力的应计异象模型,实证结果表明利润注意程度高的公司利润异象弱于注意程度低的；应计注意程度高的公司应计异象弱于注意程度低的。本文对基于投资者有限注意的应计异象进行相关的稳健性检验,其中包括采用不同的应计项目计算方法、不同的机构持股比例计算方法、不同的累计超额收益计算方法进行分析,以及将样本按年度进行分析等,均得到一致的结论。最后,提出一些未来的研究展望。其中包括其他有限注意度量方式的探索,应计与机构投资者行为研究,基于应计的市场反应及盈余监管等。更多还原

【Abstract】 This paper examined the Accruals anomalies, using both theoretical and empirical studies, based on limited investor attention.First of all, we introduced the relevant theories, including the Efficient Market Hypothesis(EMH), Limited rational. Based on these theories, Using Hirshleifer’s(2006) model, we analyse the tend of the Accruals anomalies. It said some invetors neglect earnings, some attend to earnings but neglect accruals, and others not only attend to earnings but also attend to accruals. In tenns of this theory, we propose three empirical hypothesis. Where, H1:there are Accruals anomalies or Earnings anomolies in Chinese market; H2:the higher the proportion of the first category of investors is, the stronger Earnings anomolies are; H3:The higher the proportion of the third category investors is, the weaker the accruals anomalies are.Nextly, we collected Chinese A-share market data from 2005 to 2009, we then found, using correlation analysis, accruals were positively correlated with future earnings and institutional ownership, and negatively correlated with the future excess return. It showed that accruals could predict the future earnings, higher accruals could gain more attention, and high-accrual may overestimate the negative excess stock return.To go to the step, we set up the simultaneous equations model to verify the existence of the Chinese A-share market Accruals anomalies and Earnings anomalies. Then we added measure of investor limited attention factor which is a dummy variable to establish Accruals anomalies and Earnings anomalies models based on the investor limited attention. The empirical results demonstrated that the higher the attention was, the weaker the anomalies were. In addition, we had stability tests, including different accruals calculation method, different institutional ownership calculation method, the different calculation methods of cumulative excess returns, and. the samples were divided by year, and got the unanimous conclusion.Finally, we proposed some future research prospects, including exploration of other Limited attention measures, institutional investors behavior, market response with accruals and accruals earnings management.更多还原