基于非经常性损益的应计异象分析——来自中国A股市场的证据  

A Study of Accrual Anomaly Based on Extraordinary Gains and Losses——Evidence from Chinese A-Share Stock Market

作　　者：徐先知[1] 

机构地区：[1]长沙理工大学经济与管理学院,湖南长沙410114

出　　处：《财经论丛》2014年第7期67-74,共8页Collected Essays on Finance and Economics

基　　金：国家社会科学基金资助项目(12CGL028);湖南省哲学社会科学基金资助项目(12YBB001)

摘　　要：以2003-2011年的A股上市公司为研究对象,基于非经常性损益对应计异象展开分析,研究发现:投资者无法识别盈余各组成部分的持续性差异,存在错误定价,买入应计盈余最低组同时卖出应计盈余最高组的股票,在未来一年能获得8.5%的超额收益,按非经常性损益的大小进一步细分后,买入应计盈余最低且低非经常性损益组的股票,同时卖出应计盈余最高且高非经常性损益组的股票,在未来一年能获得14.4%的超额收益。Taking A-share companies from 2003 to 2011 as study objects , this paper makes an analysis of the accrual a-nomaly based on extraordinary gains and losses .The research finds that as investors cannot identify sustained differences in va-rious components of earnings , there exists mis-pricing;and by buying stocks of the lowest accrual group and selling stocks of the highest accrual group , investors can earn an excess return of 8.5% over the following year; but after further subdivision according to the extraordinary gains and losses , investors can earn an excess return of 14.4% over the following year if they buy stocks of the lowest accrual with low extraordinary gains and losses group , and sell stocks of the highest accrual with high extraordinary gains and losses group .

关 键 词：应计盈余 非经常性损益 应计异象 

分 类 号：F275[经济管理—企业管理]