中国资本市场应计异象存在性研究
摘要
以有效市场假说、资本资产定价模型为基础的现代金融理论曾在资本市场研究中占据极其重要地位,然而越来越多的证据表明,资本市场存在诸多不完善之处,从而导致各类市场异象的发生。Sloan (1996)通过研究发现,盈余组成中的应计盈余持续性低于现金盈余持续性,但投资者并未发现二者差异,因此构造投资组合可以获得10%左右的超额回报,这一现象被称为“应计异象”。应计异象的发现,意味着可以通过利用公开信息构造简单交易获取超额收益,这对有效市场假说提出了挑战。目前已有的国内外研究都证实了应计异象的存在,并对该现象的产生原因从不同角度予以解释,并且随着资本市场的逐步改善,国外学者已经发现了应计异象减弱的证据。我国上市公司于2007年1月1日开始执行与国际会计准则趋同的新会计准则,鉴于时间的局限,上述的研究全都是基于旧会计准则下的会计信息所进行的研究,其结论也必然只适用于旧准则下的我国资本市场及其定价效率,新的准则执行后情况如何并没有得到研究。因此本文的主要目的在于探讨新准则实施后,应计异象在我国资本市场是否存在并且较新准则实施前有何变化。
本文选取2004至2009年在上海证券交易所和深圳证券交易所上市的A股的公司为样本,并剔除金融类公司、当年IPO的公司以及股票回报率数据缺失公司,分成新旧准则区间两组进行分析,研究过程沿用Sloan (1996)的思路。本文提出三个假设：我国公司会计盈余的应计成分低于现金流成分,新准则实施后盈余及其组成部分的持续性都有所降低；股价没有完全反映二者产生的持续性差异；投资者可以通过买入并持有应计比重低的公司股票同时卖出应计比重高的公司股票来获取超额收益,新准则实施后,通过构造Sloan (1996)的投资组合可获得的超额收益降低。研究结果发现,无论是旧准则还是新准则样本区间,应计盈余的持续性都明显低于现金流的持续性,并且在新准则实施后,盈余及其组成部分的持续性都有所降低；样本区间盈余及其组成持续性系数都显著异于市场定价系数,应计异象在我国资本市场存在基本可作证实；新准则实施前后,通过构造投资组合,在报告公布后的十二个月内,投资者可以分别获得2.59%和4.57%的超额收益。在使用2007-2009年的盈利样本做稳健性检验后发现该套利结果更为显著,该投资组合可以获得11%左右的超额收益。因此可以得出结论：执行新准则后,应计异象在我国资本市场依旧存在,并且该现象并没有明显的减弱迹象。这也就意味着我国的资本市场仍旧不完善,还有很大的改进空间。
本文可能的贡献之处在于：第一,已有的研究碍于时间限制,均是在旧准则背景下进行,本文首次对新准则实施后应计异象的问题进行了研究并得出结论。本文使用了新准则执行之后2007至2009年度的最新数据进行研究,得出新准则实施后应计盈余持续性低于现金盈余,但投资者并没有发现二者的差异,因此构造投资组合可以获得4.57%的超额收益,应计异象现象在我国资本市场存在,并且在使用盈利样本后超额收益更加明显。第二,本文对新准则实施前后的应计异象问题进行对比分析,发现新准则实施之后盈余及其组成部分的持续性都有所降低,并且套利结果显示新准则实施后的套利结果更加明显。本文的局限在于：由于受样本区间的限制,仅对新准则实施前后各三年的数据进行分析从而得到结论,但是从长远来看,该结论是否可靠未知。此外,本文在研究过程中,没有考虑股市大盘对个股收益率的影响,剔除股价同步性因素后结论是否成立未知。
Based on efficient market hypothesis and capital asset pricing model modern, financial theory has been studied in the capital market is extremely important position. However, more and more evidence show that the capital markets are not perfect efficient, leading to so many market Anomalies. Through research, Sloan (1996) found that earnings performance attributable to the accrual component of earnings exhibits lower persistence than earnings performance attributable to the cash flow component of earnings, but investors fail to distinguish fully between the different properties of the accrual and cash flow components of earnings. So investors who structure a Portfolio can constructed about 10% of the excess returns, This is called 'Accrual Anomaly' , Accrual anomaly means that use a simple transaction, public information can be constructed excess returns, which challenges the efficient market hypothesis. Domestic and international studies have confirmed the existence of accrual anomaly and to be interpreted from different angles. As the market gradually improving, foreign scholars have found the accrual anomaly has been reduced. China listed companies implement new accounting standards on January 1,2007, due to time constraints, there were no research on this background. Therefore, the main purpose of this paper is to explore the existence of accrual anomaly in Chinese capital market on the new accounting standards background and how to change.
Followed Sloan(1996)'method, we select all the listed companies issuing A Shares during the 2004 to 2009 year in Shanghai and Shenzhen Stock Exchange, except Financial companies, IPO companies and companies which lack necessary stock returns data. The results showed that both the overall mix of the sample or sub-annual survey of sustainability of the accounting accruals are significantly lower than the sustainability of cash flow, but investors did not identify the difference between them, so that accrual anomaly exists in Chinese capital market, and the sustainability of earn and it's components on the new accounting standards background. By constructing a portfolio, twelve months after the financial report releases, you can get about 2.59% and 4.57% excess returns. Using earnings samples test can be found more significant accrual anomaly and portfolio can get about 11% excess returns. It can be concluded that implementation of the new accounting standards, the accrual anomaly still exists in Chinese capital market, and compared the existing findings, and accrual anomaly phenomenon has not diminished, which means that Chinese capital market is still imperfect.
The possible contribution of this paper is that: First, select the latest data to research the existence of accrual anomaly in Chinese capital market on the new accounting standards background and find out on the new accounting standards background, accrual anomaly is still existed in Chinese capital market. Second, In this paper, the new guidelines accrued before and after comparative analysis of vision problems, found a surplus after the implementation of new guidelines for the sustainability of its components are reduced, and the results show that arbitrage after the implementation of new guidelines for results more obvious, This is an indirect effect on the implementation of the new guidelines were evaluated. The limitation is:This article is limited by the sample interval, so that only three years data can be used. In the long run, if the conclusion is reliable is unknown. In addition, this research process did not consider the broader market impacting on stock returns and the volatility, excluding the share prices of the factors conclusions are founded is unknown.
本文选取2004至2009年在上海证券交易所和深圳证券交易所上市的A股的公司为样本,并剔除金融类公司、当年IPO的公司以及股票回报率数据缺失公司,分成新旧准则区间两组进行分析,研究过程沿用Sloan (1996)的思路。本文提出三个假设：我国公司会计盈余的应计成分低于现金流成分,新准则实施后盈余及其组成部分的持续性都有所降低；股价没有完全反映二者产生的持续性差异；投资者可以通过买入并持有应计比重低的公司股票同时卖出应计比重高的公司股票来获取超额收益,新准则实施后,通过构造Sloan (1996)的投资组合可获得的超额收益降低。研究结果发现,无论是旧准则还是新准则样本区间,应计盈余的持续性都明显低于现金流的持续性,并且在新准则实施后,盈余及其组成部分的持续性都有所降低；样本区间盈余及其组成持续性系数都显著异于市场定价系数,应计异象在我国资本市场存在基本可作证实；新准则实施前后,通过构造投资组合,在报告公布后的十二个月内,投资者可以分别获得2.59%和4.57%的超额收益。在使用2007-2009年的盈利样本做稳健性检验后发现该套利结果更为显著,该投资组合可以获得11%左右的超额收益。因此可以得出结论：执行新准则后,应计异象在我国资本市场依旧存在,并且该现象并没有明显的减弱迹象。这也就意味着我国的资本市场仍旧不完善,还有很大的改进空间。
本文可能的贡献之处在于：第一,已有的研究碍于时间限制,均是在旧准则背景下进行,本文首次对新准则实施后应计异象的问题进行了研究并得出结论。本文使用了新准则执行之后2007至2009年度的最新数据进行研究,得出新准则实施后应计盈余持续性低于现金盈余,但投资者并没有发现二者的差异,因此构造投资组合可以获得4.57%的超额收益,应计异象现象在我国资本市场存在,并且在使用盈利样本后超额收益更加明显。第二,本文对新准则实施前后的应计异象问题进行对比分析,发现新准则实施之后盈余及其组成部分的持续性都有所降低,并且套利结果显示新准则实施后的套利结果更加明显。本文的局限在于：由于受样本区间的限制,仅对新准则实施前后各三年的数据进行分析从而得到结论,但是从长远来看,该结论是否可靠未知。此外,本文在研究过程中,没有考虑股市大盘对个股收益率的影响,剔除股价同步性因素后结论是否成立未知。
Based on efficient market hypothesis and capital asset pricing model modern, financial theory has been studied in the capital market is extremely important position. However, more and more evidence show that the capital markets are not perfect efficient, leading to so many market Anomalies. Through research, Sloan (1996) found that earnings performance attributable to the accrual component of earnings exhibits lower persistence than earnings performance attributable to the cash flow component of earnings, but investors fail to distinguish fully between the different properties of the accrual and cash flow components of earnings. So investors who structure a Portfolio can constructed about 10% of the excess returns, This is called 'Accrual Anomaly' , Accrual anomaly means that use a simple transaction, public information can be constructed excess returns, which challenges the efficient market hypothesis. Domestic and international studies have confirmed the existence of accrual anomaly and to be interpreted from different angles. As the market gradually improving, foreign scholars have found the accrual anomaly has been reduced. China listed companies implement new accounting standards on January 1,2007, due to time constraints, there were no research on this background. Therefore, the main purpose of this paper is to explore the existence of accrual anomaly in Chinese capital market on the new accounting standards background and how to change.
Followed Sloan(1996)'method, we select all the listed companies issuing A Shares during the 2004 to 2009 year in Shanghai and Shenzhen Stock Exchange, except Financial companies, IPO companies and companies which lack necessary stock returns data. The results showed that both the overall mix of the sample or sub-annual survey of sustainability of the accounting accruals are significantly lower than the sustainability of cash flow, but investors did not identify the difference between them, so that accrual anomaly exists in Chinese capital market, and the sustainability of earn and it's components on the new accounting standards background. By constructing a portfolio, twelve months after the financial report releases, you can get about 2.59% and 4.57% excess returns. Using earnings samples test can be found more significant accrual anomaly and portfolio can get about 11% excess returns. It can be concluded that implementation of the new accounting standards, the accrual anomaly still exists in Chinese capital market, and compared the existing findings, and accrual anomaly phenomenon has not diminished, which means that Chinese capital market is still imperfect.
The possible contribution of this paper is that: First, select the latest data to research the existence of accrual anomaly in Chinese capital market on the new accounting standards background and find out on the new accounting standards background, accrual anomaly is still existed in Chinese capital market. Second, In this paper, the new guidelines accrued before and after comparative analysis of vision problems, found a surplus after the implementation of new guidelines for the sustainability of its components are reduced, and the results show that arbitrage after the implementation of new guidelines for results more obvious, This is an indirect effect on the implementation of the new guidelines were evaluated. The limitation is:This article is limited by the sample interval, so that only three years data can be used. In the long run, if the conclusion is reliable is unknown. In addition, this research process did not consider the broader market impacting on stock returns and the volatility, excluding the share prices of the factors conclusions are founded is unknown.
引文
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[3]张圣平.现代经典金融学的困境与行为金融学的崛起.金融研究.2003.4.
[4]刘云中.中国股票市场对会计盈余和会计应计量信息的反映.中国软科学.2003.11.
[5]刘云中.对会计应计量信息反映的检验.证券市场导报.2004.2.
[6]陈汉文、郑鑫成.可操纵应计的市场反应——来自中国证券市场的实证证据.财会通讯.2004.2.
[7]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.
[8]王庆文.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金融研究.2005.10.
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[13]彭韶兵、黄益建.会计信息可靠性与盈余持续性.中国会计评论.2007.5.
[14]彭韶兵、黄益建、赵根.信息可靠性、企业成长性与会计盈余持续性.会计研究.2008.4.
[15]张国清、赵景文.资产负债项目可靠性、盈余持续性及其市场反应.会计研究.2008.3.
[16]樊行健、刘裕、郭文博.中国资本市场应计异象问题研究——基于上市公司成长性的全新视角.金融研究.2009.5.
[17]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.
[18]谭洪涛、蔡春.新准则实施会计质量实证研究——来自A股上市公司的经验证据.中国会计评论.2009.6.
[19]金智.新会计准则、会计信息质量与股价同步性.会计研究.2010.7.
[20]娄芳、李玉博、原红旗.新会计准则对现金股利和会计盈余关系影响的研究.管理世界.2010.1.
[21]孙谦.盈余持续性研究综述及启示.厦门大学学报.2010.1.
[22]陈国辉、赵宇凌.资本市场会计之“应计异象”的国内外研究评论.财会学习.2010.3.
[23]李远鹏、牛建军.中国上市公司会计应计的时间序列特征.中国会计评论.2010.8.1.
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