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论文编号：	6441
作者编号：	2120122535
上传时间：	2014/6/10 17:02:04
中文题目：	机构投资者持股与盈余管理对“应计异象”的影响
英文题目：	The Impact of Institutional Investors’ Share-holdings and Earnings Management on Accrual Anomaly
指导老师：	周宝源
中文关键字：	应计异象；机构投资者持股；盈余管理；新会计准则；市场形势
英文关键字：	accrual anomaly; institutional investors’ share-holdings; earnings management; new accounting standards; market situation
中文摘要：	本文研究的主题“应计异象”是由Sloan（1996）最早提出的，这一现象产生的根源在于投资者进行投资决策时仅关注盈余总额，而无法识别会计盈余中应计利润和现金流的持续性之间的差异，从而在股票定价中高估了应计利润的持续性。这一现象的存在使得投资者可以利用应计利润信息构造套利组合以获得超额收益，使有效市场假说受到了广泛的质疑。 本文研究的主要目的是检验我国资本市场 “应计异象”的存在性（尤其是新会计准则实施期间），并进一步研究盈余管理和机构投资者持股对盈余持续性和“应计异象”的影响，在梳理和总结了相关理论和实证文献的基础上，主要提出了三个主要假设：关于“应计异象”存在性的假设、关于盈余管理对“应计异象”影响的假设、关于机构投资者持股对“应计异象”影响的假设。 本文选取2003至2011年沪深A股公司为样本，最终样本量为8221个。研究过程沿用Sloan（1996）的思路，采用盈余持续性模型、Mishkin（1983）理性预期模型及套利组合策略等多种方法依次对研究假设进行检验。同时，为了尽量减少制度、环境等因素对检验结果的影响，本文将研究样本分别按照会计准则（新、旧）与市场形势（牛市、熊市）分为两个子样本，并对比分析了检验的结果，得到以下结论：第一，我国资本市场上存在“应计异象”，投资者通过采用套利组合策略可以获得超额收益；第二，管理层的盈余管理降低了应计利润的持续性，且加重了应计利润的误定价程度；第三，机构投资者持股可以提高盈余持续性并可以减轻甚至消除“应计异象”；第四，新会计准则实施后，应计利润与现金流的持续性都有所降低且二者之间的差异扩大，我国资本市场上应计异象有所减弱；第五，不同的市场形势下，投资者表现出不同的定价偏差，面对积极的市场形势，投资者更容易高估应计利润的持续性。 本文深入探讨了我国资本市场上“应计异象”的存在性以及成因，拓展了国内这一领域的相关研究，并为应计利润的误定价做出了合理的解释。希望这一研究能够有效服务于投资实践，推动投资者在做投资决策时，对盈余组成成分的信息含量保持充分关注。
英文摘要：	The topical subject of this paper is “Accrual Anomaly”, which is first addressed by Sloan(1996). The cause of this phenomenon is that investors cannot recognize the difference between the persistence of accruals and cash flows. The functional fixation on the total net income results in the overvaluation of the persistence of accruals. Therefore we can use the accruals information construct arbitrage portfolio to obtain abnormal return. The efficient market hypothesis has been widely questioned since the accrual anomaly was addressed. The main purpose of this paper is to test whether accrual anomaly exists in China's capital market (especially during the period of the new accounting standards). Based on the view of ineffective capital market, this paper further studies the impact of institutional investors’ share-holdings and earnings management on accrual anomaly. This paper put forward three main hypotheses: the existence of accrual anomaly, the impact of earnings management on accrual anomaly, the impact of institutional investors’ share-holdings on accrual anomaly. By using the 8221 samples selected at random from Chinese A-sharing companies from 2003 to 2011, this paper takes Sloan’s research approach as lessons and use the earnings persistence model, Mishkin(1983) rational expectations model and arbitrage portfolio strategy to test these hypotheses. Meanwhile, in order to minimize the effects of other factors on the test results, the sample is divided into two sub samples respectively in accordance with the accounting standards (new and old) and market conditions (bull market and bear market). The results shows that: Firstly, accrual anomaly exists in China’s capital market and abnormal return can be obtained by arbitrage portfolio strategy; Secondly, earnings management reduce the persistence of accruals and aggravate the degree of accruals overvaluation; Thirdly, Institutional Investors’ share-holding improve the persistence of accruals and alleviate even eliminate accruals overvaluation; Fourth, after the implementation of new accounting standards, the persistence of accruals and cash flows are reduced and the difference are enlarged. The new accounting standards can alleviate accrual anomaly improves the pricing efficiency of investors. Fifth, investors show different pricing deviation under different market situations, in the face of positive market situation, investors are more likely to overestimate the persistence of accruals. This paper studies the existence of accrual anomaly in capital market under the new and old accounting standards as well as the cause of accrual anomaly. This paper expands the domestic researches in this field, and gives reasonable explanation of accruals overvaluation. Hope this research can effectively serve the investment practice, helping investors, particularly small and medium investors strengthen their attention to the earnings components, to improve the investment decision-making.
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