基于投资者有限注意的应计异象理论与实证研究
|
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。
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.
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。
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.
引文
[1]Ali,A., Hwang, L. And M. Trombley,, Accruals and Future Stock Returns:Test of Naive Investor Hypothesis., Journal of Accounting, Audting, and Finance, 2000,15,161-181
[2]Ali,A., Hwang, L. And M.Trombley,,Arbitrage Risk and the Book-To-Market Anomaly. Journal of Financial Economics, forthcoming.2003
[3]Ali,A., Gurun, Umit G., Investor Sentiment, Accruals Anomaly, and Accruals Management, Journal of Financial Economics, forthcoming.2008
[4]Baker, H.Kent and John R.Nofsinger, In Behavioral Finance, Investors,Corporations,and Markets:Limited Attention,Chapter 16,Kolb Series in Finanace,2010,296-297
[5]Bartov,E., S.Richardson,,and I.Krinsky,, Investor Sophistication and Patterns in Stock Returns after Earnings Announcements., Accounting Review,2000,75,43-63
[6]Barberis, N., A. Shleifer, And R.Vishny, A Model of Investor Sentiment., Journal of Financial Economics,2002,49(3):307-343
[7]Balsam, S., Bartov, E., and Marquardt, C., Accruals Management, Investor Sophistication, and Equity Valuation:Evidence from 10-Q Filings., Journal of Accounting Research,2002,40,987-1012
[8]Bernard,V., Stock Price Reactions to Earnings Announcements. In R. Thaler, Advances in Behavioral Finance. Niw York:Russell Sage Foundation
[9]Bushee, B. And Noe,C. Corporate Disclosure Practices, Institutional Investors, and Stock Return Volatility, Journal of Accounting Research,1998,73,305-333
[10]Bradshaw,M., S.Richardson And R.Sloan,, Do Analysts and Auditors Use Information in Accruals?, Journal of Accounting Research,2001,39,45-74
[11]Cohen,R., P.Gompers,, and Vuolteenaho,T., Who Underreacts to Cash-Flow News? Evidence from Trading Between Individuals and Institutions., Woking Paper, National Bureau of Economic Reaearch, Cambridge, MA.2002
[12]Collins, D. and P. Hribar, Earnings-based and accruals-based anomalies:One effect or two?, Journal of Accounting and Economics 2000,29,101-123.
[13]Collins, D., G. Gong, and P. Hribar, Investor sophistication and the mispricing of accruals, Review of Accounting Studies 2003,8,251-276
[14]Daniel, K., D. Hirshleifer, and A. Subrahmanyam. Investor Psychology and Security Market Under-and Overeactions. Journal of Finance,1998,53(6):1893-1886
[15]DellaVigna, S. and J. Pollet, Attention, demographics, and the stock market, UC Berkeley and Harvard University.2003,
【16】DellaVigna, S. and J. Pollet, Strategic release of information on Fridays: Evidence from earnings announcements, UC Berkeley and UIUC, working paper. 2004,
【17】 Dechow, P. M. and W. Ge, The persistence of earnings and cash flows and the role of special items:Implications for the accrual anomaly, University of Michigan Working Paper.2005,
[18]Dechow, P., Accounting earnings and cash flows as measures of firm performance:The role of accounting accruals, Journal of Accounting and Economics 1994,18,3-42.
[19]Fama,E.F.,Efficient Ccapital Markets:A Review of Empirical Work, Journal of Finance,1970,25:383-417
【20】 Francis, J., D. Pagach, and J. Stephan, The stock market response to earnings announcements released during trading versus nontrading periods, Journal of Accounting Research 1992,30,165-184.
[21]Gabaix, X. and D. Laibson, Bounded rationality and directed cognition, MIT and Harvard University, working paper.2004,
【22】 Hirshleifer, David, and Siew Hong Teoh, Limited investor attention and stock market misreactions to accounting information, Working paper, Ohio State University.2005.
[23]Hirshleifer, David, James Myers, Linda Myers, and Siew Hong Teoh, Do individual investors drive post-earnings announcement drift? Direct evidence from personal trades, Accounting Review 2008,83,1521-1550.
【24】 Hirshleifer, D., and S.H. Teoh. "Limited investor attention and stock market misreactions to accounting information." Working Paper, Ohio State University. 2006.
[25]Hirshleifer, D., K. Hou, and S.H. Teoh. "The accrual anomaly." Working Paper,Ohio State University.2006. Hirshleifer, D., K. Hou, S. H. Teoh, and Y. Zhang, Do investors overvalue firms with bloated balance sheets?, Journal of Accounting and Economics 2004,38,297-331.
【26】 Hirshleifer, D., S. S. Lim, and S. H. Teoh, Disclosure to an audience with limited attention, Fisher College of Business, Ohio State University.2004,
【27】 Hirshleifer, D. and S. H. Teoh, Limited attention, information disclosure, and financial reporting, Journal of Accounting & Economics 36,337-386.2003,
【28】 Hirshleifer, D. and S. H. Teoh, Limited investor attention and misvaluation of corporate investment, Preliminary Version, Ohio State University.2005,
[29]Hirshleifer, D., Investor psychology and asset pricing, Journal of Finance 2001,64,1533-1597.
[30]Hong, H. And Jeremy C. Stein, A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets, Journal of Finance, forthcoming.1999
[31]Jegadeesh, N. and, S. Titman, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance,1993,48(1):65-91
[32]Kahneman, D., Attention and Effort (Prentice-Hall, Englewood Cliffs, New Jersey).1973,
[33]Miller, Dale T., and Michael Ross, Self-Serving Biases in Attribution of Causality:Fact or Fiction? Psychological Bulletin,1975,82(2):213-225
[33]Mehra, R., and E.C.Prescott,, The Equity Premium in Retrospect, In Handbook of the Economics of Finance. Edited by G.M.Constantinides, M. Harris,and R.Stulz.Amsterdam, Netherland:north-Holland.2003
[34]Mehra, R., and E.C.Prescott,, The Equity Premium:Why Is It a Puzzle? NBER Working Paper.2003
[35]Mehra, R., and E.C.Prescott,, The Equity Premium:A Puzzle, Journal of Monetary Economics,1985,15(2):145-161
[36]Peng, L. and W. Xiong, Time to digest and volatility dynamics, Duke University.2002.
[37]Peng, L. and W. Xiong, Limited attention and asset prices, Working paper, Duke University and Princeton University.2004.
[38]Peng, L., Learning with information capacity constraints, Journal of Financial and Quantitative Analysis, forthcoming.2005.
[39]Richardson,S. Accruals and Short Selling. An Opportunity Forgone? Woking Paper,University of Pennsylvania.,2002
[40]Roberts,H. V., Statistical Versus Clinical Prediction of the Stock Market, Unpublished Paper Presented to the Seminar on the Analysis of Security Price, University of Chicago.,1967
[41]Rozeff and Kinney, Capital Market Seasonality:The Case of Stock Returns, Journal of Financial Economics,1976,3:379-402
[42]Sloan, R.,Do stock prices fully reflect information in accruals and cash flows about future earnings?, Accounting Review 1996,71,289-315.
[43]Samuelson, P.A., Risk and Uncertainty:A Fallacy of Large Numbers, Scientia, 1963,98(4-5):108-113
[44]Savage,L. J., The Sure-Thing Principle. In Leonard J. Savage, The Foundations of Statistics. New York:John Wiley,1954,21-26
[45]Shefrin, H. And R. H.Thaler,, The Behavioral Life-Cycle Hypothesis, Economic Inquiry. Reprinted in R.H.Thaler, Quasi Rational Economics.1988
[46]Shefrin, H., and M.Statman,, Behavioral Capital Asset Pricing Theory. Journal of Financial and Quantitative Analysis,1994,29(3)
[47]Stein, Jeremy,B., Rational Capital Budgeting in an Irrational Word, Journal of Business,1996,69,429-455
[48]Thomas, Jacob, X. Zhang. "Identifying Unexpected Accruals:A comparison of Current Approaches." Journal of Accounting and Public Policy 2000,19 (Winter): 347-376.
[49]Teoh, S. H., I. Welch, and T. J. Wong,1998, Earnings management and the long-term market performance of initial public offerings, Journal of Finance 53, 1935-1974.
[50]Teoh, S. H., I. Welch, and T. J. Wong,1998, Earnings management and the underperformance of seasoned equity offerings, Journal of Financial Economics 50, 63-99.
[51]Teoh, S. H. and T. Wong,2002, Why do new issues and high accrual firms underperform? The role of analysts'credulity, Review of Financial Studies 15, 869-900.
[52]Trueman, B.,1994, Analyst forecasts and herding behavior, Review of Financial Studies 7,97-124.
[53]Tversky, A. and D. Kahneman,1973, Availability:A heuristic for judging frequency and probability, Cognitive Psychology 5,207-232.
[54]Verrecchia, R. E.,2001, Essays on disclosure, Journal of Accounting and Economics 32,97-180.
[55]Xie, H.,2001, The mispricing of abnormal accruals, Accounting Review 76, 357-373.
[56]Walther,B., Investor Sophistication and Market Earnings Expectations., Journal of Accounting Research,1997,35,157-192
[57]程书强,机构投资者持股与上市公司会计盈余信息关系实证研究,《管理世界》,2006,9,129-136
[58]李远鹏,牛建军.退市监管与应计异象.管理世界,2007.5：125—132
[59]李远鹏,牛建军,姜国华,证券市场“应计异象”研究：回顾与展望,《会计研究》,2008,第1期,79-85页
[60]李远鹏,李若山,是会计盈余稳健性,还是利润操纵?——来自中国上市公司的经验证据,《中国会计与财务研究》,2005,7(3)
[61]林翔,陈汉文.增长、盈余管理和应计持续性.中国会计评论,2005.3：117—140
[62]李志文,宋云玲,中国上市公司盈余和盈余构成的错误定价——来自A股市场的经验证据,《中国会计评论》,2009,7(1),53-66
[63]饶育蕾,张轮,行为金融学(第二版),复旦大学出版社,2005,
[2]Ali,A., Hwang, L. And M.Trombley,,Arbitrage Risk and the Book-To-Market Anomaly. Journal of Financial Economics, forthcoming.2003
[3]Ali,A., Gurun, Umit G., Investor Sentiment, Accruals Anomaly, and Accruals Management, Journal of Financial Economics, forthcoming.2008
[4]Baker, H.Kent and John R.Nofsinger, In Behavioral Finance, Investors,Corporations,and Markets:Limited Attention,Chapter 16,Kolb Series in Finanace,2010,296-297
[5]Bartov,E., S.Richardson,,and I.Krinsky,, Investor Sophistication and Patterns in Stock Returns after Earnings Announcements., Accounting Review,2000,75,43-63
[6]Barberis, N., A. Shleifer, And R.Vishny, A Model of Investor Sentiment., Journal of Financial Economics,2002,49(3):307-343
[7]Balsam, S., Bartov, E., and Marquardt, C., Accruals Management, Investor Sophistication, and Equity Valuation:Evidence from 10-Q Filings., Journal of Accounting Research,2002,40,987-1012
[8]Bernard,V., Stock Price Reactions to Earnings Announcements. In R. Thaler, Advances in Behavioral Finance. Niw York:Russell Sage Foundation
[9]Bushee, B. And Noe,C. Corporate Disclosure Practices, Institutional Investors, and Stock Return Volatility, Journal of Accounting Research,1998,73,305-333
[10]Bradshaw,M., S.Richardson And R.Sloan,, Do Analysts and Auditors Use Information in Accruals?, Journal of Accounting Research,2001,39,45-74
[11]Cohen,R., P.Gompers,, and Vuolteenaho,T., Who Underreacts to Cash-Flow News? Evidence from Trading Between Individuals and Institutions., Woking Paper, National Bureau of Economic Reaearch, Cambridge, MA.2002
[12]Collins, D. and P. Hribar, Earnings-based and accruals-based anomalies:One effect or two?, Journal of Accounting and Economics 2000,29,101-123.
[13]Collins, D., G. Gong, and P. Hribar, Investor sophistication and the mispricing of accruals, Review of Accounting Studies 2003,8,251-276
[14]Daniel, K., D. Hirshleifer, and A. Subrahmanyam. Investor Psychology and Security Market Under-and Overeactions. Journal of Finance,1998,53(6):1893-1886
[15]DellaVigna, S. and J. Pollet, Attention, demographics, and the stock market, UC Berkeley and Harvard University.2003,
【16】DellaVigna, S. and J. Pollet, Strategic release of information on Fridays: Evidence from earnings announcements, UC Berkeley and UIUC, working paper. 2004,
【17】 Dechow, P. M. and W. Ge, The persistence of earnings and cash flows and the role of special items:Implications for the accrual anomaly, University of Michigan Working Paper.2005,
[18]Dechow, P., Accounting earnings and cash flows as measures of firm performance:The role of accounting accruals, Journal of Accounting and Economics 1994,18,3-42.
[19]Fama,E.F.,Efficient Ccapital Markets:A Review of Empirical Work, Journal of Finance,1970,25:383-417
【20】 Francis, J., D. Pagach, and J. Stephan, The stock market response to earnings announcements released during trading versus nontrading periods, Journal of Accounting Research 1992,30,165-184.
[21]Gabaix, X. and D. Laibson, Bounded rationality and directed cognition, MIT and Harvard University, working paper.2004,
【22】 Hirshleifer, David, and Siew Hong Teoh, Limited investor attention and stock market misreactions to accounting information, Working paper, Ohio State University.2005.
[23]Hirshleifer, David, James Myers, Linda Myers, and Siew Hong Teoh, Do individual investors drive post-earnings announcement drift? Direct evidence from personal trades, Accounting Review 2008,83,1521-1550.
【24】 Hirshleifer, D., and S.H. Teoh. "Limited investor attention and stock market misreactions to accounting information." Working Paper, Ohio State University. 2006.
[25]Hirshleifer, D., K. Hou, and S.H. Teoh. "The accrual anomaly." Working Paper,Ohio State University.2006. Hirshleifer, D., K. Hou, S. H. Teoh, and Y. Zhang, Do investors overvalue firms with bloated balance sheets?, Journal of Accounting and Economics 2004,38,297-331.
【26】 Hirshleifer, D., S. S. Lim, and S. H. Teoh, Disclosure to an audience with limited attention, Fisher College of Business, Ohio State University.2004,
【27】 Hirshleifer, D. and S. H. Teoh, Limited attention, information disclosure, and financial reporting, Journal of Accounting & Economics 36,337-386.2003,
【28】 Hirshleifer, D. and S. H. Teoh, Limited investor attention and misvaluation of corporate investment, Preliminary Version, Ohio State University.2005,
[29]Hirshleifer, D., Investor psychology and asset pricing, Journal of Finance 2001,64,1533-1597.
[30]Hong, H. And Jeremy C. Stein, A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets, Journal of Finance, forthcoming.1999
[31]Jegadeesh, N. and, S. Titman, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance,1993,48(1):65-91
[32]Kahneman, D., Attention and Effort (Prentice-Hall, Englewood Cliffs, New Jersey).1973,
[33]Miller, Dale T., and Michael Ross, Self-Serving Biases in Attribution of Causality:Fact or Fiction? Psychological Bulletin,1975,82(2):213-225
[33]Mehra, R., and E.C.Prescott,, The Equity Premium in Retrospect, In Handbook of the Economics of Finance. Edited by G.M.Constantinides, M. Harris,and R.Stulz.Amsterdam, Netherland:north-Holland.2003
[34]Mehra, R., and E.C.Prescott,, The Equity Premium:Why Is It a Puzzle? NBER Working Paper.2003
[35]Mehra, R., and E.C.Prescott,, The Equity Premium:A Puzzle, Journal of Monetary Economics,1985,15(2):145-161
[36]Peng, L. and W. Xiong, Time to digest and volatility dynamics, Duke University.2002.
[37]Peng, L. and W. Xiong, Limited attention and asset prices, Working paper, Duke University and Princeton University.2004.
[38]Peng, L., Learning with information capacity constraints, Journal of Financial and Quantitative Analysis, forthcoming.2005.
[39]Richardson,S. Accruals and Short Selling. An Opportunity Forgone? Woking Paper,University of Pennsylvania.,2002
[40]Roberts,H. V., Statistical Versus Clinical Prediction of the Stock Market, Unpublished Paper Presented to the Seminar on the Analysis of Security Price, University of Chicago.,1967
[41]Rozeff and Kinney, Capital Market Seasonality:The Case of Stock Returns, Journal of Financial Economics,1976,3:379-402
[42]Sloan, R.,Do stock prices fully reflect information in accruals and cash flows about future earnings?, Accounting Review 1996,71,289-315.
[43]Samuelson, P.A., Risk and Uncertainty:A Fallacy of Large Numbers, Scientia, 1963,98(4-5):108-113
[44]Savage,L. J., The Sure-Thing Principle. In Leonard J. Savage, The Foundations of Statistics. New York:John Wiley,1954,21-26
[45]Shefrin, H. And R. H.Thaler,, The Behavioral Life-Cycle Hypothesis, Economic Inquiry. Reprinted in R.H.Thaler, Quasi Rational Economics.1988
[46]Shefrin, H., and M.Statman,, Behavioral Capital Asset Pricing Theory. Journal of Financial and Quantitative Analysis,1994,29(3)
[47]Stein, Jeremy,B., Rational Capital Budgeting in an Irrational Word, Journal of Business,1996,69,429-455
[48]Thomas, Jacob, X. Zhang. "Identifying Unexpected Accruals:A comparison of Current Approaches." Journal of Accounting and Public Policy 2000,19 (Winter): 347-376.
[49]Teoh, S. H., I. Welch, and T. J. Wong,1998, Earnings management and the long-term market performance of initial public offerings, Journal of Finance 53, 1935-1974.
[50]Teoh, S. H., I. Welch, and T. J. Wong,1998, Earnings management and the underperformance of seasoned equity offerings, Journal of Financial Economics 50, 63-99.
[51]Teoh, S. H. and T. Wong,2002, Why do new issues and high accrual firms underperform? The role of analysts'credulity, Review of Financial Studies 15, 869-900.
[52]Trueman, B.,1994, Analyst forecasts and herding behavior, Review of Financial Studies 7,97-124.
[53]Tversky, A. and D. Kahneman,1973, Availability:A heuristic for judging frequency and probability, Cognitive Psychology 5,207-232.
[54]Verrecchia, R. E.,2001, Essays on disclosure, Journal of Accounting and Economics 32,97-180.
[55]Xie, H.,2001, The mispricing of abnormal accruals, Accounting Review 76, 357-373.
[56]Walther,B., Investor Sophistication and Market Earnings Expectations., Journal of Accounting Research,1997,35,157-192
[57]程书强,机构投资者持股与上市公司会计盈余信息关系实证研究,《管理世界》,2006,9,129-136
[58]李远鹏,牛建军.退市监管与应计异象.管理世界,2007.5：125—132
[59]李远鹏,牛建军,姜国华,证券市场“应计异象”研究：回顾与展望,《会计研究》,2008,第1期,79-85页
[60]李远鹏,李若山,是会计盈余稳健性,还是利润操纵?——来自中国上市公司的经验证据,《中国会计与财务研究》,2005,7(3)
[61]林翔,陈汉文.增长、盈余管理和应计持续性.中国会计评论,2005.3：117—140
[62]李志文,宋云玲,中国上市公司盈余和盈余构成的错误定价——来自A股市场的经验证据,《中国会计评论》,2009,7(1),53-66
[63]饶育蕾,张轮,行为金融学(第二版),复旦大学出版社,2005,