我国A股市场应计异象研究  

The Accrual Anomaly of China A-share Market

作　　者：刘斌[1] 杨开元[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400040

出　　处：《证券市场导报》2011年第6期48-53,59,共7页Securities Market Herald

摘　　要：本文以2006~2009年我国A股公司为样本,沿用Richardson（2005）的方法对应计及其组成部分的盈余持续性及市场定价展开研究。本文根据权责确认与现金收付的异期,将营业性应计分为先收付应计FRAO与后收付应计LRAO,研究发现由于估计误差的存在,致使营业性应计的持续性低于营业利润中非营业性应计部分的持续性;由于持续性的不确定,导致FRAO的盈余持续性小于LRAO;并发现我国资本市场未能正确对营业性应计及先收付应计FRAO正确定价,但未能发现市场对后收付应计LRAO错误定价的证据。本文的研究说明估计误差及持续性的不确定是导致资本市场对应计错误定价,即＂应计异象＂存在的原因,在我国资本市场通过应计及其组成部分可成功构建高于市场平均回报的套利组合。Using the modern Richardson（2005） method,this paper studies the earning persistence of accruals and its components with China A-share companies during 2006 to 2009 as samples.We divide operating accruals into FRAO and LRAO according to the different period of responsibilities confirmation and cash receipts,and our study finds that the earing persistence of operating accruals is lower than that of the other components of operating earnings due to the existence of the estimation error;because of the continuous uncertainty,the earing persistence of FRAO is lower than that of LRAO.Our study also finds that the operating accruals and FRAO cannot be correctly priced by Chinese capital market,but does not find the evidence that LRAO had been mispriced by China capital market.This paper states that estimate error and uncertainty of persistence cause ＂accrual anomaly＂ in Chinese capital market,and investors can successfully construct arbitrage portfolio using accruals and its components to earn higher returns than the market average.

关 键 词：资本市场会计 应计异象 会计估计 会计误差 

分 类 号：F830.91[经济管理—金融学]