南方科技大学知识苑(SUSTech KC): 中国股市应计异象研究

Title	中国股市应计异象研究
Alternative Title	ACCRUAL ANOMALYIN THE STOCK MARKET OF CHINA
Author	郭致嫣
Name pinyin	GUO Zhiyan
School number	12032331
Degree	硕士
Discipline	070103 概率论与数理统计
Subject category of dissertation	07 理学
Supervisor	王缘
Mentor unit	金融系
Publication Years	2022-05-06
Submission date	2022-07-04
University	南方科技大学
Place of Publication	深圳
Abstract	近年来越来越多的学者发现了资产定价模型(CAPM)和有效市场假说(EMH)不能解释的异象 (Anomaly：如规模效应，账面价值比效应，动量效应等异象 )，也就是在金融市场中实际收益与预期收益偏离的现象。本文所研究的目标应计异象是 Sloan于 1996年发现的，他将会计盈余 (Earnings)分为应计利润 (Accrual)和现金流 (Cash flow)两个部分，并认为应计利润(Accrual)与未来收益呈负相关，从而可以构造买入应计项目低的公司的股票同时卖出应计项目高的公司的股票的多空投资组合，来获得超额收益。本文以 1998年 6月至 2020年 7月的沪深两市 A股为样本，通过实证研究证实了应计异象在中国市场的存在性，并尝试从错误定价、风险溢价和数据窥探等多个角度探究应计异象在中国 A股市场的成因探索在中国市场真正合理的存在原因。本文有理论和现实的双重意义。从理论意义来说，本文针对会计信息有效性及资产定价相关研究领域做出了部分探讨并提出了可供参考的理论分析，丰富了该领域的研究。从现实角度考虑，本文提高了投资者利用会计信息的效率从而降低了投资者的决策成本，并提供了政策法规措施体系完善实施与有效监管的新构思。实证结果表明，应计异象确实长期存在在我国 A股市场中，并不是一个数据窥探的产物。从成因上讲，错误定价与风险补偿均对应计异象有所影响，但主要还是由于投资者无法区分会计盈余的两个组成部分，即会计应计和现金流的持续性不同，而对会计应计成分高的股票高估而产生的错误定价。
Keywords	应计异象投资组合风险补偿错误定价
Language	Chinese
Training classes	独立培养
Enrollment Year	2020
Year of Degree Awarded	2022-07
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Academic Degree Assessment Sub committee	金融系
Domestic book classification number	O213
Data Source	人工提交
Document Type	Thesis
Identifier	http://kc.sustech.edu.cn/handle/2SGJ60CL/347865
Department	Department of Finance
Recommended Citation GB/T 7714	郭致嫣. 中国股市应计异象研究[D]. 深圳. 南方科技大学,2022.

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