机构投资者持股与应计质量相关性的资产定价——来自中国A股市场的证据  

The Asset Pricing of Correlation between Institutional Ownership and Accruals Quality——Evidence From A-share Market in China

作　　者：王鸿[1] 朱宏泉[1] 涂瑞[1] 

机构地区：[1]西南交通大学经济管理学院,成都610031

出　　处：《系统管理学报》2011年第4期462-471,共10页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70971110);教育部长江学者和创新团队发展计划资助项目(IRT0860)

摘　　要：通过运用Panel Data(固定效应下)计量方法,系统地分析了影响应计质量(AQ)的内在因素,并着重分析了机构持股与AQ的相关性,从总样本和分等级样本综合来看,AQ与机构持股比例成显著负相关,表明,从整体上来看,对于那些盈余波动较大,AQ较差的公司股票,机构投资者予以了识别与回避。进一步,通过构建AQ的替代变量AQfactor,将其纳入三因子和四因子模型,采用时间序列OLS回归计量方法进行资产定价检验。结果显示,AQfactor虽然与股票回报率正相关,但是,在三因子模型中,其回归系数只在10%水平上显著,同时,按机构持股高低分组的检验结果表明,机构持股最高的组合,其AQfactor系数的显著程度在10%水平上高于机构持股最低的样本。而在四因子模型中,回归显示并不具有统计意义上的显著性。表明,中国A股投资者在对股票定价时,虽对AQ带来的盈余信息风险有所识别,但无充分的证据表明,AQ能作为一个较为稳定可靠的定价因子来解释股票回报率。In this paper we systematically analyzes the innate factors which have impact on accruals quality based on Panel Data（fixed effect）,and we focus on the relationship between the proportion of institutional ownership and accrual quality.We find that AQ is negatively correlated with the proportion of institutional ownership,and overall,institutional investors can indentify those stocks with greater earnings volatility and poor accrual quality.More specifically,we calculate an alternative variable called AQfactor which captures discretionary accruals quality,put it in both CAPM model and three-factor model to do asset pricing test,The results show that,although AQfactor is positively related to the extraordinary returns,in the three-factor model,regression coefficient is significant at the 1% level.Meanwhile,grouped according to the level of institutional ownership,the test results show that in the group of the highest institutional ownership,the AQfactor coefficient is more significant than the lowest level in 10% level.In the four-factor,it cannot pass Significant coefficient test.It indicates that,when A-share investor price the stocks,to some extent,there is no sufficient evidence that accrual quality can serve as a stable and reliable pricing factors to explain stock returns,although they can identify the information risk brought by accrual quality.

关 键 词：机构持股 应计质量 回报率 资产定价 

分 类 号：F831.5[经济管理—金融学]