应计异象：存在性与成因
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摘要
有效市场理论和资本资产定价模型在现代会计研究中扮演了十分重要的角色,是资本市场会计研究的重要基础,并极大地促进了实证会计的发展。但20世纪80年代以来,不少学者发现了很多有效市场和资本资产定价模型所不能解释的异常现象(Anomaly,如:价值异象及规模异象等),有些异常现象表明资产价格或者投资收益有时表现出一定的规律性,或者说资产价格在一定程度上可以进行预测,有些异常现象表明资产价格大大超出严格按照CAPM或其他理性预期模型计算得来的“正常”价格水平,投资于这类资产的投资者获得的绝不是平均的市场收益水平。本文中的应计异象首先是由Sloan(1996)发现的,是指会计应计(Accruals)与未来股票收益负相关,且利用会计应计信息构造股票投资组合可以获取超额回报的现象。
由于权责发生制的影响,会造成当期会计盈余(Earning)和当期现金流(Cash Flow)之间可能不一致,在实证会计研究中,一般将其差额称作会计应计。在Sloan(1996)的研究中,他将会计盈余划分为会计应计和现金流两个部分,研究发现,会计应计对未来盈余的预测能力低于现金流对未来盈余的预测能力,即会计应计的持续性(Persistence)较现金流低,但市场并不能区分二者持续性的差异,高估了会计应计的持续性而低估了现金流的持续性,也就是说,对于会计盈余中会计应计高(现金流相对较低)的企业,市场会高估其未来的盈余,从而高估企业的价值,对于会计盈余中会计应计低(现金流相对较高)的企业,市场会低估其未来的盈余,从而低估企业的价值,因此,会计应计与未来股票收益存在负相关关系,并且买空最低会计应计组的股票并卖空最高会计应计企业组的股票在未来可以获得超额回报。可见,Sloan(1996)是从会计盈余组成部分具有不同持续性的角度对应计异象进行解释的。后续的大量研究延续Sloan(1996)的思路,从探究会计应计低持续性原因的视角对应计异象的成因做出分析。
国内针对应计异象进行研究的成果很少,现有研究主要存在如下三个问题:第一,关于会计应计和未来股票收益的正负关系结论不一;第二,利用Sloan(1996)方法构建套利投资组合的超额回报存在着较大差异;第三,国内对应计异象的研究均是沿用Sloan(1996)的思路,但考虑相关因素后,Sloan(1996)模型的可靠性可能有所降低。
针对这些问题,本文主要研究了两个主题:
第一,应计异象的存在性。主要回答:中国资本市场上会计应计和未来股票收益之间存在什么关系?究竟哪些因素导致了Sloan(1996)投资组合超额回报的差异如此之大?为什么有些研究表明会计应计和未来股票收益的关系为正,有些为负?盈利公司和亏损公司对应计异象会产生显著影响吗?
第二,应计异象的成因。既然考虑相关因素后,Sloan(1996)模型的可靠性会降低,因此,有必有另辟蹊径进行解释,本文从企业成长性的视角出发,试图揭示企业成长性是如何对应计异象产生影响的。论文共分为七章,各章的结构安排如下:
第一章:导论。主要介绍本文的研究背景、研究思路及结构安排、研究方法、研究创新与不足。
第二章:理论基础。主要包括有效市场理论、资本资产定价模型及行为金融理论。
第三章:文献回顾。本章将已有的研究成果划分为两个大的方面,即:关于应计异象成因的研究和关于应计异象的其他研究。对应计异象成因进行解释的视角主要有:会计盈余持续性、风险、信息不对称、资本市场异象的关联等。关于应计异象的其他研究则主要有:投资者是否利用会计应计信息套利、分析师预测与应计异象、应计异象的全球存在性。
第四章:研究假设。主要包括两方面的内容:关于应计异象存在性的假设和关于应计异象成因的假设。前者提出了我国资本市场上存在应计异象,此外,由于既有个别研究表明亏损公司不存在应计异象,因此,在该部分中提出了盈利、亏损是否对应计异象产生影响的假设;后者从企业成长性的角度对应计异象进行了分析,主要包括三个假设:关于企业成长性与会计应计关系的假设、关于企业成长性与股票收益关系的假设、关于企业成长性与会计应计正相关程度对应计异象影响的假设,这三个假设紧密联系,说明了企业成长性是导致应计异象产生的重要因素,简单地说:会计应计与反映企业的成长性指标正相关,由于企业的成长性指标与未来股票收益负相关,因此,会计应计与未来股票收益负相关,且会计应计与企业成长性指标的正相关程度越强,会计应计与未来股票收益的负相关程度也越强;又由于企业成长性指标与当期及前期的股票收益正相关,因此,会计应计与当期及前期的股票收益正相关程度越强,表明会计应计与企业成长性指标的正相关程度越强,会计应计与未来股票收益的负相关程度也越强。
第五章:研究样本与变量设定。首先报告了研究样本和数据来源,其次阐述了评价企业成长性的传统方法,鉴于传统评价指标存在一定的片面性,利用因子分析法构建了企业成长性指数,用以全面衡量企业的成长性,最后对论文中其余研究变量进行了定义。
第六章:实证检验。构建了研究模型,并利用单变量回归、多变量回归及根据购买-持有方法构建投资组合等方法分别对研究假设进行检验。主要实证结论为:
1.会计应计和未来股票收益呈负相关关系,利用Sloan(1996)的方法构建套利投资组合可以获得10%左右的超额回报。但单个年度间存在较大差异。会计应计的高低正负主要是由企业的基本面决定的,剔除亏损公司后的样本并未表现出更强的应计异象,亏损公司不会对应计异象产生显著影响。改变会计应计的计算方法对应计异象存在性研究的结果会产生一定的影响,但不会产生显著影响。这些结论表明,中国资本市场上存在应计异象,国内现有研究结论的差异可能是由于样本选择区间不同或会计应计的计算方法不同而引起的。
2.会计应计和企业成长性指数(GI)、权益增长率(EG)、销售收入增长率(SG)、投资增长率(IG)及总资产增长率(AG)具有同向变化的趋势。
3.企业的成长性越强,当期股票收益率越高,同时,企业当期成长性和前期股票收益率也正相关。由于会计应计和企业成长性之间存在同向变动的趋势,因此,当期会计应计和企业当期及前期的股票收益正相关。
4.利用企业的成长性信息可以对未来股票收益进行预测,成长性好的企业未来股票收益较低,成长性低的企业未来股票收益较高。企业成长性和未来股票收益的负相关关系是由于投资者的过度反应和反应不足引起的。
5.企业成长性和会计应计的正相关程度越强,应计异象越明显;当期会计应计和当期及前期股票收益率的正相关程度越高,应计异象越明显。
第七章:研究结论与启示。首先报告了本文的主要研究结论;其次,分析了本文的研究对提高资本市场效率、财务分析与证券投资及理论研究方面的意义。
本文的创新主要有以下三点:
第一,研究视角的创新。关于应计异象成因的研究中大部分拘泥于Sloan(1996)的研究思路,因此,已有大多数研究中都可以找到会计盈余持续性的影子。本文提出了会计应计的本质,认为会计应计是企业资产变化的一部分,反映了企业的成长性,并从企业成长性的角度对应计异象进行阐释,研究发现企业成长性是引起应计异象的一个重要因素,为分析应计异象的原因提供了新的视角。
第二,对Sloan(1996)的模型提出了修正建议。Sloan(1996)的模型是建立在一定假设的基础上的,即:未来超额股票收益仅受公司规模和未预期盈余的影响,本文认为该假设具有一定的局限性,因此可能是由于模型的设定偏误导致了市场不能区分会计盈余组成部分持续性差异的研究结果,利用会计应计和企业成长性的关系可以对传统模型进行修正。
第三,提出了衡量企业成长性的指标——企业成长性指数。衡量企业成长性的传统指标主要有:销售(营业)收入增长率、总资产增长率、权益增长率和投资增长率,但这些指标只能从某一方面度量企业的成长性,具有一定的片面性,本文采用因子分析法传统指标进行了加工浓缩,生成的企业成长性指数可以全面反映企业的成长性。
Efficient Market Hypothesis and the Capital Asset Pricing Model, as the foundation of accounting research in capital market, play very important role in modern accounting research and greatly promote the development of empirical accounting. However, since the eighties of the twentieth century, many scholars have found a lot of anomalies (Anomaly, such as: the value of vision and scale of vision, etc.) that cann’t be explained by Effective Markets Hypothesis and Capital Asset Pricing Model, some anomalies indicate that the asset price or return on investment sometimes show certain regularity, or asset prices can be predicted to some extent, some anomalies show that the asset price is much higher than the "normal" level accordance with the CAPM or other rational expectations models.The accrual anomaly in this dissertation is found by Sloan(1996),it is the phenomenon that accrual negatively correlates with future stock returns and a trading strategy using accarul information generates positive abnormal stock returns.
In the study of Sloan (1996), earnings performance attributable to the accrual component of earnings exhibits lower persistence than earnings performance attributable to the cash flow component of earnings. He indicates that stock prices act as if investors fail to distinguish fully between the different properties of the accrual and cash flow components of earnings. Consequently, firms with relatively high (low) levels of accruals experience negative (positive) future abnormal stock returns, a trading strategy taking a long position in the stock of firms reporting relatively low levels of accruals and a short position in the stock of firms reporting relatively high levels of accruals generates positive abnormal stock returns.So, Sloan(1996) interpreted the accrual anomaly based on the point of earning persistence. Following Sloan’s ideas, some researchers explain accrual anomaly according to earning persistence.
There are mainly three questions in demostic research on accrual anomaly: First, the conclusions are different t
hat the relationship between accrual and future stock returns; Second, in different studies, abnormal stock returns, generated by the trading strategy using accrual information, are different. Third, demostic research on accrual anomaly is all following Sloan’s idea, but the reliability of the model of Sloan (1996) may decrease when considering relevant factors. To solve these problems, this dissertation mainly studies following two themes:
First, the existence of accrual anomlay. This theme mainly discusses these questions: What is the relationship between accrual and furure stock returns in China’s capital market? What cause the difference in the abnormal stock returns in different studies? Why do some studies show that the relationship between accrual and the future stock returns is positive, while it is negative in other studies? Do profit and loss have a significant impact on accrual anomaly?
Second, the cause of the accrual anomaly.Since the reliability of the model of Sloan (1996) may decrease when considering relevant factors, it is necessary to interprete the accrual anomaly from other perspective.This dissertation analyses why corporate growth is a driver of the accrual anomaly.
There are seven chapters in the dissertation:
Chapter One: Introduction. This part introduces the research background, structure and ideas, research methods, innovation and limitation.
Chapter Two: Theoretical Basis.They are: efficient market theory, capital asset pricing model and behavioral finance theory.
Chapter Three: Literature Review.This part reviews the two fields of accrual anomaly: the cause of accrual anomaly and other studies about accrual anomaly.
Chapter Four: Research Hypothesis.There are two aspects: hypothesis about the existence of accrual anomaly and hypothesis about the cause of accrual anomaly.
Chapter Five: Research Sample and Defination of Variables.
Chapter Six: An Empirical Test. The main empirical results are:
1. Accrual negatively correlates with future stock returns in China’a capital market,the abnormal stock returns, generated by a trading strategy taking a long position in the stock of firms reporting relatively low levels of accruals and a short position in the stock of firms reporting relatively high levels of accruals,is about 10%.These results approve the existence of accrual anomaly in China’s capital market, the reason of different conclusions in former studies may lie in the different sample or the different method in caculating accrual.
2. Accrual positively correlates with growth index (GI), equty growth (EG), sales growth (SG), investment growth (IG) and asset growth (AG).
3. Current stock returns positively correlates with corporate growth level, and also positively correlates with past and current stock returns.
4.Corporate growth rates are strong predictors of future abnormal returns,corporate with high growth rate has lower stock returns in the future,while corporate with lower growth rate has higher stock returns in the future,it is caused by the overreaction and reaction-insufficiency of the investor.
5. The magnitude of the accrual anomaly monotonically increases with the covariation between accruals and corporate growth, and also increases with the covariations of accruals with past and current stock returns.
Chapter Seven: Conclusion and revelation.
The innovations of this dissertation are as following:
First, New research perspective. Most relevant studies follow Sloan’s ideas(1996),that is earning persistence.In the dissertation,I indicate that the essence of accrual is a part of asset change and reflect corporate growth,then study the relation between corporate growth and accrual anomaly, empirical results suggest that corporate growth is a driver of the accrual anomaly.
Second, Put forward the suggestion to perfect Sloan’s model(1996). Sloan’s model (1996) is built on the basis of certain assumptions,namely, the future stock returns of the company is only impacted by the size and unexpected earnings,I think the assumption has some limitation,so, it may be the model that leads to the conclusion that the market can not distinguish the difference of persistence between accrual and cash flow,thus we can perfect Sloan’s model(1996) using the relationship between accrual and corporate growth.
Third,Put forward a new index to appraise corporate growth—Coroprate Growth Index.Traditional indexes reflecting corporate growth are: sale growth rate,total asset growth rate,equty growth rate and investment growth rate,but these indexes have limitation,that is ,they only measure one aspect of the corporate growth,in the dissertation, factor analysis is used to condense traditional indexes,the production of factor analysis ,Corporate Growth Index, reflects corporate growth comprehensively.
由于权责发生制的影响,会造成当期会计盈余(Earning)和当期现金流(Cash Flow)之间可能不一致,在实证会计研究中,一般将其差额称作会计应计。在Sloan(1996)的研究中,他将会计盈余划分为会计应计和现金流两个部分,研究发现,会计应计对未来盈余的预测能力低于现金流对未来盈余的预测能力,即会计应计的持续性(Persistence)较现金流低,但市场并不能区分二者持续性的差异,高估了会计应计的持续性而低估了现金流的持续性,也就是说,对于会计盈余中会计应计高(现金流相对较低)的企业,市场会高估其未来的盈余,从而高估企业的价值,对于会计盈余中会计应计低(现金流相对较高)的企业,市场会低估其未来的盈余,从而低估企业的价值,因此,会计应计与未来股票收益存在负相关关系,并且买空最低会计应计组的股票并卖空最高会计应计企业组的股票在未来可以获得超额回报。可见,Sloan(1996)是从会计盈余组成部分具有不同持续性的角度对应计异象进行解释的。后续的大量研究延续Sloan(1996)的思路,从探究会计应计低持续性原因的视角对应计异象的成因做出分析。
国内针对应计异象进行研究的成果很少,现有研究主要存在如下三个问题:第一,关于会计应计和未来股票收益的正负关系结论不一;第二,利用Sloan(1996)方法构建套利投资组合的超额回报存在着较大差异;第三,国内对应计异象的研究均是沿用Sloan(1996)的思路,但考虑相关因素后,Sloan(1996)模型的可靠性可能有所降低。
针对这些问题,本文主要研究了两个主题:
第一,应计异象的存在性。主要回答:中国资本市场上会计应计和未来股票收益之间存在什么关系?究竟哪些因素导致了Sloan(1996)投资组合超额回报的差异如此之大?为什么有些研究表明会计应计和未来股票收益的关系为正,有些为负?盈利公司和亏损公司对应计异象会产生显著影响吗?
第二,应计异象的成因。既然考虑相关因素后,Sloan(1996)模型的可靠性会降低,因此,有必有另辟蹊径进行解释,本文从企业成长性的视角出发,试图揭示企业成长性是如何对应计异象产生影响的。论文共分为七章,各章的结构安排如下:
第一章:导论。主要介绍本文的研究背景、研究思路及结构安排、研究方法、研究创新与不足。
第二章:理论基础。主要包括有效市场理论、资本资产定价模型及行为金融理论。
第三章:文献回顾。本章将已有的研究成果划分为两个大的方面,即:关于应计异象成因的研究和关于应计异象的其他研究。对应计异象成因进行解释的视角主要有:会计盈余持续性、风险、信息不对称、资本市场异象的关联等。关于应计异象的其他研究则主要有:投资者是否利用会计应计信息套利、分析师预测与应计异象、应计异象的全球存在性。
第四章:研究假设。主要包括两方面的内容:关于应计异象存在性的假设和关于应计异象成因的假设。前者提出了我国资本市场上存在应计异象,此外,由于既有个别研究表明亏损公司不存在应计异象,因此,在该部分中提出了盈利、亏损是否对应计异象产生影响的假设;后者从企业成长性的角度对应计异象进行了分析,主要包括三个假设:关于企业成长性与会计应计关系的假设、关于企业成长性与股票收益关系的假设、关于企业成长性与会计应计正相关程度对应计异象影响的假设,这三个假设紧密联系,说明了企业成长性是导致应计异象产生的重要因素,简单地说:会计应计与反映企业的成长性指标正相关,由于企业的成长性指标与未来股票收益负相关,因此,会计应计与未来股票收益负相关,且会计应计与企业成长性指标的正相关程度越强,会计应计与未来股票收益的负相关程度也越强;又由于企业成长性指标与当期及前期的股票收益正相关,因此,会计应计与当期及前期的股票收益正相关程度越强,表明会计应计与企业成长性指标的正相关程度越强,会计应计与未来股票收益的负相关程度也越强。
第五章:研究样本与变量设定。首先报告了研究样本和数据来源,其次阐述了评价企业成长性的传统方法,鉴于传统评价指标存在一定的片面性,利用因子分析法构建了企业成长性指数,用以全面衡量企业的成长性,最后对论文中其余研究变量进行了定义。
第六章:实证检验。构建了研究模型,并利用单变量回归、多变量回归及根据购买-持有方法构建投资组合等方法分别对研究假设进行检验。主要实证结论为:
1.会计应计和未来股票收益呈负相关关系,利用Sloan(1996)的方法构建套利投资组合可以获得10%左右的超额回报。但单个年度间存在较大差异。会计应计的高低正负主要是由企业的基本面决定的,剔除亏损公司后的样本并未表现出更强的应计异象,亏损公司不会对应计异象产生显著影响。改变会计应计的计算方法对应计异象存在性研究的结果会产生一定的影响,但不会产生显著影响。这些结论表明,中国资本市场上存在应计异象,国内现有研究结论的差异可能是由于样本选择区间不同或会计应计的计算方法不同而引起的。
2.会计应计和企业成长性指数(GI)、权益增长率(EG)、销售收入增长率(SG)、投资增长率(IG)及总资产增长率(AG)具有同向变化的趋势。
3.企业的成长性越强,当期股票收益率越高,同时,企业当期成长性和前期股票收益率也正相关。由于会计应计和企业成长性之间存在同向变动的趋势,因此,当期会计应计和企业当期及前期的股票收益正相关。
4.利用企业的成长性信息可以对未来股票收益进行预测,成长性好的企业未来股票收益较低,成长性低的企业未来股票收益较高。企业成长性和未来股票收益的负相关关系是由于投资者的过度反应和反应不足引起的。
5.企业成长性和会计应计的正相关程度越强,应计异象越明显;当期会计应计和当期及前期股票收益率的正相关程度越高,应计异象越明显。
第七章:研究结论与启示。首先报告了本文的主要研究结论;其次,分析了本文的研究对提高资本市场效率、财务分析与证券投资及理论研究方面的意义。
本文的创新主要有以下三点:
第一,研究视角的创新。关于应计异象成因的研究中大部分拘泥于Sloan(1996)的研究思路,因此,已有大多数研究中都可以找到会计盈余持续性的影子。本文提出了会计应计的本质,认为会计应计是企业资产变化的一部分,反映了企业的成长性,并从企业成长性的角度对应计异象进行阐释,研究发现企业成长性是引起应计异象的一个重要因素,为分析应计异象的原因提供了新的视角。
第二,对Sloan(1996)的模型提出了修正建议。Sloan(1996)的模型是建立在一定假设的基础上的,即:未来超额股票收益仅受公司规模和未预期盈余的影响,本文认为该假设具有一定的局限性,因此可能是由于模型的设定偏误导致了市场不能区分会计盈余组成部分持续性差异的研究结果,利用会计应计和企业成长性的关系可以对传统模型进行修正。
第三,提出了衡量企业成长性的指标——企业成长性指数。衡量企业成长性的传统指标主要有:销售(营业)收入增长率、总资产增长率、权益增长率和投资增长率,但这些指标只能从某一方面度量企业的成长性,具有一定的片面性,本文采用因子分析法传统指标进行了加工浓缩,生成的企业成长性指数可以全面反映企业的成长性。
Efficient Market Hypothesis and the Capital Asset Pricing Model, as the foundation of accounting research in capital market, play very important role in modern accounting research and greatly promote the development of empirical accounting. However, since the eighties of the twentieth century, many scholars have found a lot of anomalies (Anomaly, such as: the value of vision and scale of vision, etc.) that cann’t be explained by Effective Markets Hypothesis and Capital Asset Pricing Model, some anomalies indicate that the asset price or return on investment sometimes show certain regularity, or asset prices can be predicted to some extent, some anomalies show that the asset price is much higher than the "normal" level accordance with the CAPM or other rational expectations models.The accrual anomaly in this dissertation is found by Sloan(1996),it is the phenomenon that accrual negatively correlates with future stock returns and a trading strategy using accarul information generates positive abnormal stock returns.
In the study of Sloan (1996), earnings performance attributable to the accrual component of earnings exhibits lower persistence than earnings performance attributable to the cash flow component of earnings. He indicates that stock prices act as if investors fail to distinguish fully between the different properties of the accrual and cash flow components of earnings. Consequently, firms with relatively high (low) levels of accruals experience negative (positive) future abnormal stock returns, a trading strategy taking a long position in the stock of firms reporting relatively low levels of accruals and a short position in the stock of firms reporting relatively high levels of accruals generates positive abnormal stock returns.So, Sloan(1996) interpreted the accrual anomaly based on the point of earning persistence. Following Sloan’s ideas, some researchers explain accrual anomaly according to earning persistence.
There are mainly three questions in demostic research on accrual anomaly: First, the conclusions are different t
hat the relationship between accrual and future stock returns; Second, in different studies, abnormal stock returns, generated by the trading strategy using accrual information, are different. Third, demostic research on accrual anomaly is all following Sloan’s idea, but the reliability of the model of Sloan (1996) may decrease when considering relevant factors. To solve these problems, this dissertation mainly studies following two themes:
First, the existence of accrual anomlay. This theme mainly discusses these questions: What is the relationship between accrual and furure stock returns in China’s capital market? What cause the difference in the abnormal stock returns in different studies? Why do some studies show that the relationship between accrual and the future stock returns is positive, while it is negative in other studies? Do profit and loss have a significant impact on accrual anomaly?
Second, the cause of the accrual anomaly.Since the reliability of the model of Sloan (1996) may decrease when considering relevant factors, it is necessary to interprete the accrual anomaly from other perspective.This dissertation analyses why corporate growth is a driver of the accrual anomaly.
There are seven chapters in the dissertation:
Chapter One: Introduction. This part introduces the research background, structure and ideas, research methods, innovation and limitation.
Chapter Two: Theoretical Basis.They are: efficient market theory, capital asset pricing model and behavioral finance theory.
Chapter Three: Literature Review.This part reviews the two fields of accrual anomaly: the cause of accrual anomaly and other studies about accrual anomaly.
Chapter Four: Research Hypothesis.There are two aspects: hypothesis about the existence of accrual anomaly and hypothesis about the cause of accrual anomaly.
Chapter Five: Research Sample and Defination of Variables.
Chapter Six: An Empirical Test. The main empirical results are:
1. Accrual negatively correlates with future stock returns in China’a capital market,the abnormal stock returns, generated by a trading strategy taking a long position in the stock of firms reporting relatively low levels of accruals and a short position in the stock of firms reporting relatively high levels of accruals,is about 10%.These results approve the existence of accrual anomaly in China’s capital market, the reason of different conclusions in former studies may lie in the different sample or the different method in caculating accrual.
2. Accrual positively correlates with growth index (GI), equty growth (EG), sales growth (SG), investment growth (IG) and asset growth (AG).
3. Current stock returns positively correlates with corporate growth level, and also positively correlates with past and current stock returns.
4.Corporate growth rates are strong predictors of future abnormal returns,corporate with high growth rate has lower stock returns in the future,while corporate with lower growth rate has higher stock returns in the future,it is caused by the overreaction and reaction-insufficiency of the investor.
5. The magnitude of the accrual anomaly monotonically increases with the covariation between accruals and corporate growth, and also increases with the covariations of accruals with past and current stock returns.
Chapter Seven: Conclusion and revelation.
The innovations of this dissertation are as following:
First, New research perspective. Most relevant studies follow Sloan’s ideas(1996),that is earning persistence.In the dissertation,I indicate that the essence of accrual is a part of asset change and reflect corporate growth,then study the relation between corporate growth and accrual anomaly, empirical results suggest that corporate growth is a driver of the accrual anomaly.
Second, Put forward the suggestion to perfect Sloan’s model(1996). Sloan’s model (1996) is built on the basis of certain assumptions,namely, the future stock returns of the company is only impacted by the size and unexpected earnings,I think the assumption has some limitation,so, it may be the model that leads to the conclusion that the market can not distinguish the difference of persistence between accrual and cash flow,thus we can perfect Sloan’s model(1996) using the relationship between accrual and corporate growth.
Third,Put forward a new index to appraise corporate growth—Coroprate Growth Index.Traditional indexes reflecting corporate growth are: sale growth rate,total asset growth rate,equty growth rate and investment growth rate,but these indexes have limitation,that is ,they only measure one aspect of the corporate growth,in the dissertation, factor analysis is used to condense traditional indexes,the production of factor analysis ,Corporate Growth Index, reflects corporate growth comprehensively.
引文
①谢晓霞.会计信息与股价反应研究-基于中国上市公司年度报告的分析[D].四川大学博士论文.2007(02)。
②中华人民共和国财政部.企业会计准则(2006)[M].北京:经济科学出版社.2006。
①会计应计的定义与实质见本文4.2.1节。
②Xie,H.2001.The mispricing of abnormal accruals.The Accounting Review 76:357-373。
①中国证券监督管理委员会.中国资本市场发展报告[M].北京:中国金融出版社,前言:1
②蔡祥,李志文,张为国.2003.中国证券市场中的财务问题:实证研究述评[J],1:1-23
③国内针对应计异象进行研究的文章仅有3篇,作者分别为:刘云中(2003)、李远鹏和牛建军(2007)、徐浩峰、王正位(2006)。(截至2008年12)
④彭韶兵,黄益建.2007.会计信息可靠性与盈余持续性[J].中国会计评论,2:219-232
⑤刘云中.2003.中国股票市场对会计盈余和会计应计量信息的反映[J].中国软科学,11:40-45
⑥李远鹏,牛建军.2007.退市监管与应计异象[J].管理世界,5:125-132
⑦徐浩峰,王正位.2006.盈余持续性特征与中国资本市场效率的经济影响分析[J].清华大学学报,S1
⑧张国清,赵景文.2008.资产负债项目可靠性、盈余持续性及其市场反应[J].会计研究,3:51-57
⑨刘云中.2003.中国股票市场对会计盈余和会计应计量信息的反映[J].中国软科学,11:40-45
⑩王庆文.2005.会计盈余质量对未来会计盈余及股票收益的影响-基于中国股票市场的实证研究[J].金融研究,10:141-152 11徐浩峰,王正位.2006.盈余持续性特征与中国资本市场效率的经济影响分析[J].清华大学学报,S1
①李远鹏,牛建军.2007.退市监管与应计异象[J].管理世界,5:125-132。
①西南财经大学会计学院.2006.会计理论研究(课程资料)。
①占卫华.2007.资本市场中的会计研究[M].北京:中国金融出版社。
②陈雨露,汪昌云.2006.金融学文献通论-微观金融卷[M].北京:中国人民大学出版社。
①蔡春、谭洪涛.2008.财经实证模型与方法研究.成都:西南财经大学出版社。
①参阅http://baike.baidu.com/view/1508206.htm和http://wiki.mbalib.com/wiki/%E8%A1%8C%E4%B8%BA%E9%87%91%E8%9E%8D%E7%90%86%E8%AE%BA。
①李远鹏,牛建军,姜国华.2008.证券市场“应计异象”研究:回顾与展望[J].会计研究,1:81。
①李远鹏,牛建军.2007.退市监管与应计异象[J].管理世界,5:125-132。
②陈旭东.2007.企业生命周期、应计特征与会计稳健性[J].西南交通大学博士论文。
③林舒,魏明海.2000.中国A股发行公司首次公开募股过程中的盈利管理[J].中国会计与财务研究,12:87-107。
④陈小悦,肖星,过晓燕.2000.配股权与上市公司利润操纵[J].经济研究,1:30-36。
①Michael J.Cooper,Huse Yin Gulen和Michael J. Schill,2008, Asset Growth and the Cross-Section of Stock Returns, Journal of Finance 63 (4), 1609–1651.
①这一结果与李远鹏、牛建军(2007)的研究结果相似,具体参见:李远鹏,牛建军.2007.退市监管与应计异象[J].管理世界,5:130。
①李远鹏、牛建军(2007)所选样本公司中,亏损公司的比例为12.03%,具体参见:李远鹏,牛建军.2007.退市监管与应计异象[J].管理世界,5:127。
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②中华人民共和国财政部.企业会计准则(2006)[M].北京:经济科学出版社.2006。
①会计应计的定义与实质见本文4.2.1节。
②Xie,H.2001.The mispricing of abnormal accruals.The Accounting Review 76:357-373。
①中国证券监督管理委员会.中国资本市场发展报告[M].北京:中国金融出版社,前言:1
②蔡祥,李志文,张为国.2003.中国证券市场中的财务问题:实证研究述评[J],1:1-23
③国内针对应计异象进行研究的文章仅有3篇,作者分别为:刘云中(2003)、李远鹏和牛建军(2007)、徐浩峰、王正位(2006)。(截至2008年12)
④彭韶兵,黄益建.2007.会计信息可靠性与盈余持续性[J].中国会计评论,2:219-232
⑤刘云中.2003.中国股票市场对会计盈余和会计应计量信息的反映[J].中国软科学,11:40-45
⑥李远鹏,牛建军.2007.退市监管与应计异象[J].管理世界,5:125-132
⑦徐浩峰,王正位.2006.盈余持续性特征与中国资本市场效率的经济影响分析[J].清华大学学报,S1
⑧张国清,赵景文.2008.资产负债项目可靠性、盈余持续性及其市场反应[J].会计研究,3:51-57
⑨刘云中.2003.中国股票市场对会计盈余和会计应计量信息的反映[J].中国软科学,11:40-45
⑩王庆文.2005.会计盈余质量对未来会计盈余及股票收益的影响-基于中国股票市场的实证研究[J].金融研究,10:141-152 11徐浩峰,王正位.2006.盈余持续性特征与中国资本市场效率的经济影响分析[J].清华大学学报,S1
①李远鹏,牛建军.2007.退市监管与应计异象[J].管理世界,5:125-132。
①西南财经大学会计学院.2006.会计理论研究(课程资料)。
①占卫华.2007.资本市场中的会计研究[M].北京:中国金融出版社。
②陈雨露,汪昌云.2006.金融学文献通论-微观金融卷[M].北京:中国人民大学出版社。
①蔡春、谭洪涛.2008.财经实证模型与方法研究.成都:西南财经大学出版社。
①参阅http://baike.baidu.com/view/1508206.htm和http://wiki.mbalib.com/wiki/%E8%A1%8C%E4%B8%BA%E9%87%91%E8%9E%8D%E7%90%86%E8%AE%BA。
①李远鹏,牛建军,姜国华.2008.证券市场“应计异象”研究:回顾与展望[J].会计研究,1:81。
①李远鹏,牛建军.2007.退市监管与应计异象[J].管理世界,5:125-132。
②陈旭东.2007.企业生命周期、应计特征与会计稳健性[J].西南交通大学博士论文。
③林舒,魏明海.2000.中国A股发行公司首次公开募股过程中的盈利管理[J].中国会计与财务研究,12:87-107。
④陈小悦,肖星,过晓燕.2000.配股权与上市公司利润操纵[J].经济研究,1:30-36。
①Michael J.Cooper,Huse Yin Gulen和Michael J. Schill,2008, Asset Growth and the Cross-Section of Stock Returns, Journal of Finance 63 (4), 1609–1651.
①这一结果与李远鹏、牛建军(2007)的研究结果相似,具体参见:李远鹏,牛建军.2007.退市监管与应计异象[J].管理世界,5:130。
①李远鹏、牛建军(2007)所选样本公司中,亏损公司的比例为12.03%,具体参见:李远鹏,牛建军.2007.退市监管与应计异象[J].管理世界,5:127。
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