中国上市公司盈余和盈余构成的错误定价--来自A股市场的经验证据

The Mis-pricing of Earnings and Earnings Components in China:Empirical Evidence from A-companies

A股公司盈余(EARN)和盈余构成(应计盈余ACC和现金盈余CFO)的错误定价与成熟资本市场并不完全一致。一致的地方在于确实存在"应计异象"。不一致的地方在于"应计异象"的相对性。在分年度的检验中,EARN、ACC和CFO的错误定价方向一致,CFO和EARN的错误定价程度基本相同,相对于CFO的错误定价程度,ACC被高估——出现高估的时候,ACC被高估的程度更大;出现低估的时候,CFO被低估的程度更大。一个简单的模型表明,由于这种相对的高估,ACC和CFO的错误定价可以出现三种组合。

The mis-pricing of earnings and earnings components in China are not completely consistent with those of developed markets. The persistence of ACC is always lower than that of CFO, hut the market pricing of ACC is not indifferent with that of CFO, which is the consistent facet. The inconsistent is that their mispricings are in the same direction in by-year regressions, but the extents of mis-pricing are asymmetric-the mis-pricing of ACC is more upwardly than that of CFO. That is, when ACC and CFO are over-valued, ACC is over-valued more; when they are under-valued, CFO is under-valued more. A simple model shows that due to this asymmetry, the mis-pricing of ACC and CFO could exhibit three modes.