A股公司的应计异象  

The Abnormality in Accrual in A-share Companies

作　　者：宋云玲[1] 李志文[2,1] 

机构地区：[1]清华大学经济管理学院 [2]浙江大学商学研究院

出　　处：《管理世界》2009年第8期17-24,共8页Journal of Management World

摘　　要："应计异象"是股市系统性地错估应计项目,这个现象首先发现于美国,很可能存在于世界各国。本文用Fama-MacBeth计算法,扩展了李远鹏、牛建军(2007)的研究,发现中国股市确实有应计异象,也发现中国股市对A股盈余和盈余成分的定价错误与美国资本市场并不一致。在分年度的检验中,本文发现中国股市对盈余、应计项目及现金流的错误定价方向是一致的,而且对现金流与盈余的错误定价程度基本相同。相对于现金流的错误定价,应计项目的错误定价偏上。同时,当市场乐观时,应计项目被市场高估的程度更大;当市场悲观时,现金流被市场低估的程度也更大。本文用一个简单的模型说明这个现象,并指出盈余、应计项目和现金流的错误定价可以出现3种组合。'The abnormality in accrual' (TAIA), an accrued item that is systematically estimated on the stock market, was firstly found in U.S.A., and this phenomenon is very likely to exist all over the world. Using the calculation method of Fama-MacBeth, we have, in this article, developed the results of study made by Li Yuanpeng and Niu Jianjun, found that there does exist TAIA on China’s stock markets, and discovered that the mispricing of Ashare earnings and of the components of earnings on China’s stock markets is not the same as that on U.S. capital markets. In our annual examination, we have found that the direction of the mispricing, on China’s stock markets, of earnings, the accrued item and the cash flow is the same, and that the degree of mispricing the cash flow is basically the same as that of mispricing earnings. The mispricing of the accrued item is more serious than that of cash flow. While the market is optimistic, the extent of high estimation, on the market, of the accrued item is greater; while the market is pessimistic, the extent of low estimation, on the market, of the cash flow is also greater. In this paper, we have used a simple model to interpret this fact, and pointed out that the mispricing of earnings, that of the accrued item and that of the cash flow may be mixed in three patterns.

关 键 词：应计异象 应计盈余 现金盈余 持续性 错误定价 

分 类 号：F275[经济管理—企业管理] F832.51[经济管理—国民经济] F224