A股投资者忽视扣非业绩信息的异象研究  

The Anomaly of Disregarding the Better Performance Measure and Focusing on the Worse One

作　　者：崔宸瑜 何贵华 谢德仁[3] Cui Chenyu;He Guihua;Xie Deren(Business School,University of International Business and Economics;School of Accounting,Zhongnan University of Economics and Law;School of Economics and Management,Tsinghua University)

机构地区：[1]对外经济贸易大学国际商学院 [2]中南财经政法大学会计学院 [3]清华大学经济管理学院

出　　处：《管理世界》2022年第8期183-198,共16页Journal of Management World

基　　金：国家自然科学基金项目(72002032、72102231、71672098);对外经济贸易大学中央高校基本科研业务费专项资金(19QD05);中南财经政法大学中央高校基本科研业务费专项资金(2722022BQ035);清华大学经济管理学院研究项目(2020051009)的资助。

摘　　要：我国证监会强制要求A股上市公司对外披露扣除非经常性损益后的净利润(以下简称“扣非后净利润”),通过将之与报表净利润进行比较研究,本文发现扣非后净利润比报表净利润更能反映上市公司的盈利能力。然而后续的实证检验一致说明,投资者在使用财务指标时表现出显著的弃优用劣非理性倾向:关注报表净利润而不是质量更高的扣非后净利润。在盈余公告日,我们发现股票价格伴随报表净利润而不是扣非后净利润的变动而变动,投资者也主要根据报表净利润而非扣非后净利润交易股票。进一步的研究表明,投资者容易在报表净利润与扣非后净利润的相异程度较大时对上市公司的未来盈利能力产生错误预期,利用投资者弃优用劣的行为偏误设计交易策略,可以获得1%左右的月度超额收益。A-share listed firms are regulated by CSRC to disclose earnings excluding non-recurring gains and losses(henceforth,EENGL)in financial reports. We find that EENGL is a more informative performance measure than reported accounting earnings(hence-forth, RAE). However, a series of tests consistently demonstrate that investors irrationally disregard EENGL, the better performance mea-sure, and rely on the worse one. During earnings announcements, stock returns and investors’ trading behaviors are primarily determinedby the change of RAE rather than the change of EENGL. Further analysis reveals that investors tend to have biased beliefs when RAE andEENGL provide inconsistent information. A trading strategy employing investors’ misuse of performance measures earns monthly risk-ad-justed returns of around 1%.

关 键 词：扣非后净利润 报表净利润 弃优用劣 市场异象 

分 类 号：F832.51[经济管理—金融学]