中国A股市场应计错误定价的经验研究
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摘要
二十世纪七十年代兴起的资本市场会计研究,因以有效市场假说、资本资产定价模型等现代金融理论为基石,借鉴经济学、公司治理、行为金融学等学科知识,运用数理统计方法解决当代会计问题而吸引了众多学者的目光。作为财务报告中的一个重要变量,会计盈余的经验研究一直是资本市场会计的一个重要研究领域,自Ball和Brown (1968)发现盈余变动符号与股票超常回报变动符号存在显著的正相关关系后,学者们对盈余预测、盈余持续性、盈余管理以及盈余组成部分之间的关系等问题进行了广泛的研究。将盈余预测、盈余持续性与Mishkin (1983)的理性预期框架相结合,Sloan (1996)发现应计盈余持续性低于现金盈余持续性,美国市场高估应计盈余相对高的公司。据此,Sloan (1996)构造了买入低应计公司股票,卖出高应计公司股票的投资策略,获得了10.4%的超常回报。利用应计信息进行投资,可获得超额收益,说明市场对会计应计存在错误定价。
应计错误定价的发现,意味着超常回报能够根据公共可获得的信息,通过执行简易交易策略赚取。这是继盈余宣告后股价漂移异象和价值魅力异象之后,会计学领域内又一次对有效市场假说提出的质疑。当前学界对应计错误定价的两大理论解释——持续观和投资增长观的关系仍存在争议,本文认为,两类假说正是体现了应计的会计学属性和经济学属性两个方面,两者相结合可以更好地诠释应计错误定价问题。
在我国,应计错误定价问题尚处于初级的存在性研究阶段,且仍存在较大争论。基于此,本文从应计的会计学属性和经济学属性出发,结合我国实际情况,选取1998-2006年A股非金融行业上市公司数据为样本,对我国应计错误定价问题进行研究,旨在探寻我国应计错误定价的表现特征,并对两类假说融合做出贡献。
全文共分八章,各章的基本内容如下：
第1章导论。本章旨在提出问题,并对本文的研究意义、研究对象、研究内容、行文逻辑思路和研究方法等全局问题进行论述。
第2章理论基础。这是本文研究应计错误定价,检验两种理论解释,并将两者相融合的理论根基,具体包括会计学的应计制理论和收益计量理论、经济学中的边际报酬递减规律和金融学中的有效市场假说。
第3章文献综述。本章根据对应计错误定价理论解释的不同,将应计错误定价文献分为三大类,即持续观、投资增长观和其他理论解释。
第4章在持续观下,对我国应计错误定价的存在性进行检验。本章发现,全样本极端应计组平均套利结果显著为7.8%,盈利样本极端应计组平均套利结果显著为10.5%。采用Fama-French (1993)三因素模型对全样本和盈利样本分别进行稳健性检验,套利结果显著为8.04%和8.87%,验证了假设。
第5章对非正常应计错误定价进行检验,进一步研究持续观如何解释我国的应计错误定价。本章将总应计分解为正常应计和非正常应计,检验发现,全样本基本Jones模型下,极端非正常应计组平均套利结果为8.1%,全样本修正Jones模型下,极端非正常应计组平均套利结果为8.9%,盈利样本修正Jones模型下,极端非正常应计组平均套利结果为10.2%。
第6章通过对经营性应计项目错误定价检验,研究投资增长观是否能解释我国的应计错误定价。本文认为,投资增长观能够解释我国边际报酬递减的传统行业样本的应计错误定价现象,但难于解释我国的全行业样本。为检验上述设想,本章分市场和行业两层次提出假设并进行检验。结果发现：样本期间,市场层次短期经营性应计套利平均超额回报显著为7.7%；投资增长观对我国纺织、服装、皮毛业,金属、非金属业,机械、设备、仪表业,电力、煤气及水的生产和供应业四个行业样本的应计错误定价,有解释力。市场对“四行业”长、短期经营性应计错误定价的套利结果分别显著为7.65%和4.83%。此外,本章建立了带有交互项的混合样本横截面回归模型,对持续观与投资增长观共同解释应计错误定价进行检验。
第7章是全文稳健性检验,即剔除股价同步性后对第4章、第5章和第6章的结果再次检验,验证了结论的稳健性。
第8章结论与展望。本章阐述了前文检验结果及结论,对我国资本市场会计研究、准则制定等环节提出几点建议,最后对本文的不足与未来研究提出展望。
由上述研究,本文得出以下结论：
1.我国应计盈余持续性显著低于现金盈余持续性,投资者未识别,我国存在总应计错误定价,且盈利样本总应计错误定价比全样本下更稳定。
2.我国正常应计盈余持续性显著低于现金盈余持续性,非正常应计盈余持续性则显著低于正常应计盈余持续性,说明盈余管理可能降低了应计盈余的持续性,投资者未识别,我国存在非正常应计错误定价。我国总应计错误定价主要来自于非正常应计的错误定价,极可能是盈余管理导致的。
3.与美国不同,企业层面整体视角的投资增长观解释我国部分行业样本(“四行业”)。持续观和投资增长观共同解释“四行业”的经营性应计错误定价,在控制本期盈利能力和长期增长因素后,盈余管理因素作用大于短期增长因素,说明盈余管理对样本的解释力度较强。
4.采用Roll (1998)模型将个股中的市场层面信息剔除后进行检验,发现我国的股价同步性仍处于较高的水平。股价同步性对我国应计错误定价的套利结果存在影响。
Rising in 1970s, Capital market accounting is popular among contemporary accounting researhes and attract the attention of scholars, as development from the Efficient Market Hypothesis, Capital Asset Pricing Model, drawing on economics, corporate governance, behavioral finance and other subjects, and the use of modern mathematical statistics to solve accounting problems. As an important variable in financial report, earnings empirical research has been an important research field, since Ball and Brown (1968) found that the symbol of earnings changes is significant positive with the symbol of stock abnormal returns changes, researches on the earnings forecast, earnings persistence, earnings management and earnings components of the relationship become a wide range of issues. Combination of earnings forecast and earnings persistence, with Mishkin (1983) rational expectations framework, Sloan (1996) found that accruals persistence is lower than cash flow persistence in U.S., market prices relatively high accruals company. Accordingly, Sloan (1996) constructed a hedge strategy by buying lowest-accrual decile and shorting highest-accrual decile, access to the abnormal return of 10.4%. Investing by use of accounting information available could earn abnormal return, indicating that the market mispricing of accounting accruals.
The discovery of accrual mispricing means that abnormal return can be earned through the implementation of simple trading strategies based on public information available. After post-earnings announcement drift and value-glamour anomaly, accrual mispricing means that the accounting is again on the questions of the EMH. There still is a controversy between persistence perspective and investment growth perspective in academic world. The dissertation supports that the two hypotheses is a manifestation of the accrual accounting property and accrual economic attributes, combination of the two pespectives can better interpret the accrual mispricing.
In China, researches of accrual mispricing are still on the primary stage, and there still is controversy. Based on this, from accounting property and the economic attributes, combined with the actual situation in China, selection of 1998-2006 A market listed shares non-financial companies data as the samples, the dissertation studys the mispricing of accrual of the issue, to explore the performance characteristics in China, and contribute to combine the two perspectives.
The dissertation is divided into eight parts, the basic contents of each part as follows:
Chapter 1 brings up questions, and focus on the research significance, research object, research methods and logic roads.
Chapter 2 analyzes the theoretical basis, about accrual accounting theory, earnings measure theory, diminishing marginal returns, and EMH.
Chapter 3 reviews the literatures on accrual mispricing. According to different theory explanations of accruals mispricing, the dissertation divides the literatue into three parts, persistence perspective, investment perspective and other theory explanations.
Chapter 4 examines the existence of accrual mispricing in persistence perspective. This chapter showed that all samples of the extreme accrual decile, the average arbitrage results is significant 7.8%, profits samples of the extreme accrual decile, the average arbitrage is significant 10.5%. Using Fama-French (1993) three-factor model and the full sample and profit samples tests are robust, the arbitrage results are respectively significant 8.04% and 8.87%, verified the hypothesis.
Chapter 5 examines the mispricing of abnormal accruals, and further studies how persistence perspective explains the accrual mispricing. Dividing accruals into normal accruals and abnormal accruals, results display that the average arbitrage result is 8.1% in the abnormal accrual extreme decile of whole sample, by Jones model. By modified Jones model, the extreme abnormal Accrued arbitrage decile of all samples, the average result is 8.9%, profit sample modified Jones model, the extreme abnormal accrual decile, the average arbitrage result of is 10.2%.
Chapter 6 examines operating accruals mispricing, to whether investment growth can explain accrual mispricing in China. This dissertation argues that investment growth can explain the traditional industries of diminishing marginal returns, but difficult to explain all sample. In order to examine these ideas, this chapter provide market and industry two-level hypothesis. The results showed that:during sample period, the market-level short-term operating accruals strategy earns significant average abnormal returns on 7.7%; investment growth perspective has explanatory power for China's textile, clothing, fur industry, metal, non-metallic industry, machinery, equipment, instrumentation industry, power, gas and water production and supply industryof samples. For "four industry", long and short term operating accruals mispricing arbitrage results are significant 7.65% and 4.83%. In addition, this chapter establishes the interaction terms with the mixed sample of cross-sectional regression model, to examine perspectives of persistence and investment growth.
Chapter 7 is robust test of the full dissertation, after eliminating the stock price synchronicity, the results of re-examination on Chapter 4, Chapter 5 and Chapter 6 verify the robustness of conclusions.
Chapter 8 summarizes the conclusions and provides outlook of accrual mispricing. This chapter describes the results of examinations and conclusions, gives a few suggestions of the capital market accounting research, standards setting and other aspects, and finally point out the lack of this dissertaion and provide future research prospects.
From the above study, the dissertation draws the following conclusions:
1. Accrual earnings persistence is significantly lower than persistence of cash earnings, investors did not recognize. Accruals are mispricing in China, and the hedge result in profit samples is more stable than in full sample.
2. Normal accrual earnings persistence is significantly lower than the cash earnings persistence, abnormal accruals earnings persistence is significantly lower than the accrual earnings persistence, indicating that earnings management may reduce the persistence of accrual earnings, investors didn't recognize, abnormal accruals are mispriced in China. Accrual mispricing is mainly from abnormal accruals mispricing in China, most likely as a result of earnings management.
3. Unlike the U.S., the overall enterprise level view of the investment growth perspective can explain four industries in China. Persistence perspective and investment growth perspective can explain the "four industris" operating accruals mispricing. Conrolling profitability in period and long-term growth factors, the role of earnings management factors is more important than short-term growth factors.
4. By Roll (1998) model, the dissertation found that our stock price synchronicity is still at a high level. Stock price synchronicity influences on the mispricing of accruals.
应计错误定价的发现,意味着超常回报能够根据公共可获得的信息,通过执行简易交易策略赚取。这是继盈余宣告后股价漂移异象和价值魅力异象之后,会计学领域内又一次对有效市场假说提出的质疑。当前学界对应计错误定价的两大理论解释——持续观和投资增长观的关系仍存在争议,本文认为,两类假说正是体现了应计的会计学属性和经济学属性两个方面,两者相结合可以更好地诠释应计错误定价问题。
在我国,应计错误定价问题尚处于初级的存在性研究阶段,且仍存在较大争论。基于此,本文从应计的会计学属性和经济学属性出发,结合我国实际情况,选取1998-2006年A股非金融行业上市公司数据为样本,对我国应计错误定价问题进行研究,旨在探寻我国应计错误定价的表现特征,并对两类假说融合做出贡献。
全文共分八章,各章的基本内容如下：
第1章导论。本章旨在提出问题,并对本文的研究意义、研究对象、研究内容、行文逻辑思路和研究方法等全局问题进行论述。
第2章理论基础。这是本文研究应计错误定价,检验两种理论解释,并将两者相融合的理论根基,具体包括会计学的应计制理论和收益计量理论、经济学中的边际报酬递减规律和金融学中的有效市场假说。
第3章文献综述。本章根据对应计错误定价理论解释的不同,将应计错误定价文献分为三大类,即持续观、投资增长观和其他理论解释。
第4章在持续观下,对我国应计错误定价的存在性进行检验。本章发现,全样本极端应计组平均套利结果显著为7.8%,盈利样本极端应计组平均套利结果显著为10.5%。采用Fama-French (1993)三因素模型对全样本和盈利样本分别进行稳健性检验,套利结果显著为8.04%和8.87%,验证了假设。
第5章对非正常应计错误定价进行检验,进一步研究持续观如何解释我国的应计错误定价。本章将总应计分解为正常应计和非正常应计,检验发现,全样本基本Jones模型下,极端非正常应计组平均套利结果为8.1%,全样本修正Jones模型下,极端非正常应计组平均套利结果为8.9%,盈利样本修正Jones模型下,极端非正常应计组平均套利结果为10.2%。
第6章通过对经营性应计项目错误定价检验,研究投资增长观是否能解释我国的应计错误定价。本文认为,投资增长观能够解释我国边际报酬递减的传统行业样本的应计错误定价现象,但难于解释我国的全行业样本。为检验上述设想,本章分市场和行业两层次提出假设并进行检验。结果发现：样本期间,市场层次短期经营性应计套利平均超额回报显著为7.7%；投资增长观对我国纺织、服装、皮毛业,金属、非金属业,机械、设备、仪表业,电力、煤气及水的生产和供应业四个行业样本的应计错误定价,有解释力。市场对“四行业”长、短期经营性应计错误定价的套利结果分别显著为7.65%和4.83%。此外,本章建立了带有交互项的混合样本横截面回归模型,对持续观与投资增长观共同解释应计错误定价进行检验。
第7章是全文稳健性检验,即剔除股价同步性后对第4章、第5章和第6章的结果再次检验,验证了结论的稳健性。
第8章结论与展望。本章阐述了前文检验结果及结论,对我国资本市场会计研究、准则制定等环节提出几点建议,最后对本文的不足与未来研究提出展望。
由上述研究,本文得出以下结论：
1.我国应计盈余持续性显著低于现金盈余持续性,投资者未识别,我国存在总应计错误定价,且盈利样本总应计错误定价比全样本下更稳定。
2.我国正常应计盈余持续性显著低于现金盈余持续性,非正常应计盈余持续性则显著低于正常应计盈余持续性,说明盈余管理可能降低了应计盈余的持续性,投资者未识别,我国存在非正常应计错误定价。我国总应计错误定价主要来自于非正常应计的错误定价,极可能是盈余管理导致的。
3.与美国不同,企业层面整体视角的投资增长观解释我国部分行业样本(“四行业”)。持续观和投资增长观共同解释“四行业”的经营性应计错误定价,在控制本期盈利能力和长期增长因素后,盈余管理因素作用大于短期增长因素,说明盈余管理对样本的解释力度较强。
4.采用Roll (1998)模型将个股中的市场层面信息剔除后进行检验,发现我国的股价同步性仍处于较高的水平。股价同步性对我国应计错误定价的套利结果存在影响。
Rising in 1970s, Capital market accounting is popular among contemporary accounting researhes and attract the attention of scholars, as development from the Efficient Market Hypothesis, Capital Asset Pricing Model, drawing on economics, corporate governance, behavioral finance and other subjects, and the use of modern mathematical statistics to solve accounting problems. As an important variable in financial report, earnings empirical research has been an important research field, since Ball and Brown (1968) found that the symbol of earnings changes is significant positive with the symbol of stock abnormal returns changes, researches on the earnings forecast, earnings persistence, earnings management and earnings components of the relationship become a wide range of issues. Combination of earnings forecast and earnings persistence, with Mishkin (1983) rational expectations framework, Sloan (1996) found that accruals persistence is lower than cash flow persistence in U.S., market prices relatively high accruals company. Accordingly, Sloan (1996) constructed a hedge strategy by buying lowest-accrual decile and shorting highest-accrual decile, access to the abnormal return of 10.4%. Investing by use of accounting information available could earn abnormal return, indicating that the market mispricing of accounting accruals.
The discovery of accrual mispricing means that abnormal return can be earned through the implementation of simple trading strategies based on public information available. After post-earnings announcement drift and value-glamour anomaly, accrual mispricing means that the accounting is again on the questions of the EMH. There still is a controversy between persistence perspective and investment growth perspective in academic world. The dissertation supports that the two hypotheses is a manifestation of the accrual accounting property and accrual economic attributes, combination of the two pespectives can better interpret the accrual mispricing.
In China, researches of accrual mispricing are still on the primary stage, and there still is controversy. Based on this, from accounting property and the economic attributes, combined with the actual situation in China, selection of 1998-2006 A market listed shares non-financial companies data as the samples, the dissertation studys the mispricing of accrual of the issue, to explore the performance characteristics in China, and contribute to combine the two perspectives.
The dissertation is divided into eight parts, the basic contents of each part as follows:
Chapter 1 brings up questions, and focus on the research significance, research object, research methods and logic roads.
Chapter 2 analyzes the theoretical basis, about accrual accounting theory, earnings measure theory, diminishing marginal returns, and EMH.
Chapter 3 reviews the literatures on accrual mispricing. According to different theory explanations of accruals mispricing, the dissertation divides the literatue into three parts, persistence perspective, investment perspective and other theory explanations.
Chapter 4 examines the existence of accrual mispricing in persistence perspective. This chapter showed that all samples of the extreme accrual decile, the average arbitrage results is significant 7.8%, profits samples of the extreme accrual decile, the average arbitrage is significant 10.5%. Using Fama-French (1993) three-factor model and the full sample and profit samples tests are robust, the arbitrage results are respectively significant 8.04% and 8.87%, verified the hypothesis.
Chapter 5 examines the mispricing of abnormal accruals, and further studies how persistence perspective explains the accrual mispricing. Dividing accruals into normal accruals and abnormal accruals, results display that the average arbitrage result is 8.1% in the abnormal accrual extreme decile of whole sample, by Jones model. By modified Jones model, the extreme abnormal Accrued arbitrage decile of all samples, the average result is 8.9%, profit sample modified Jones model, the extreme abnormal accrual decile, the average arbitrage result of is 10.2%.
Chapter 6 examines operating accruals mispricing, to whether investment growth can explain accrual mispricing in China. This dissertation argues that investment growth can explain the traditional industries of diminishing marginal returns, but difficult to explain all sample. In order to examine these ideas, this chapter provide market and industry two-level hypothesis. The results showed that:during sample period, the market-level short-term operating accruals strategy earns significant average abnormal returns on 7.7%; investment growth perspective has explanatory power for China's textile, clothing, fur industry, metal, non-metallic industry, machinery, equipment, instrumentation industry, power, gas and water production and supply industryof samples. For "four industry", long and short term operating accruals mispricing arbitrage results are significant 7.65% and 4.83%. In addition, this chapter establishes the interaction terms with the mixed sample of cross-sectional regression model, to examine perspectives of persistence and investment growth.
Chapter 7 is robust test of the full dissertation, after eliminating the stock price synchronicity, the results of re-examination on Chapter 4, Chapter 5 and Chapter 6 verify the robustness of conclusions.
Chapter 8 summarizes the conclusions and provides outlook of accrual mispricing. This chapter describes the results of examinations and conclusions, gives a few suggestions of the capital market accounting research, standards setting and other aspects, and finally point out the lack of this dissertaion and provide future research prospects.
From the above study, the dissertation draws the following conclusions:
1. Accrual earnings persistence is significantly lower than persistence of cash earnings, investors did not recognize. Accruals are mispricing in China, and the hedge result in profit samples is more stable than in full sample.
2. Normal accrual earnings persistence is significantly lower than the cash earnings persistence, abnormal accruals earnings persistence is significantly lower than the accrual earnings persistence, indicating that earnings management may reduce the persistence of accrual earnings, investors didn't recognize, abnormal accruals are mispriced in China. Accrual mispricing is mainly from abnormal accruals mispricing in China, most likely as a result of earnings management.
3. Unlike the U.S., the overall enterprise level view of the investment growth perspective can explain four industries in China. Persistence perspective and investment growth perspective can explain the "four industris" operating accruals mispricing. Conrolling profitability in period and long-term growth factors, the role of earnings management factors is more important than short-term growth factors.
4. By Roll (1998) model, the dissertation found that our stock price synchronicity is still at a high level. Stock price synchronicity influences on the mispricing of accruals.
引文
①转引自杜兴强、章永奎.财务会计理论[M].厦门：厦门大学出版社,2005,P67.
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