应计质量的资本市场定价——来自中国A股市场的证据

Capital Market Pricing of Accruals Quality——Evidence from A-share in China

通过运用Panel Data(固定效应)以及时间序列OLS回归计量方法,系统分析影响应计质量的内在因素,在将总应计质量分离成内在应计质量与可操控应计质量的基础上,探讨它们与权益成本的相关性,实证表明:可操控应计质量与醛益成本成显著负相关,而内在应计质量与权益成本成显著正相关;可操控应计质量对权益成本影响比内在应计质量更为显著。这表明,在中国A股市场,投资者不能全面有效识别公司应计盈余质量的好坏,应计质量没有得到客观定价。同时,在对应计质量进行资产定价检验时发现,由于超常报告盈余引起的盈余大幅度波动(高AQ值)导致盈余质量的不稳定,并不能给投资者带来稳定的超常回报率。

This paper systematically analyzes the innate factors which impact on accruals quality by using Panel Data （fixed effect）; and examines the correlativity between them and the cost of equity, and then draws empirical conclusions： innate accruals quality and discretionary accruals quality are negatively related with the cost of equity significantly. But, discretionary accruals quality effects significantly larger than innate accrual quality, which shows that in China A-share market, investors can not effectively identify accruals quality and that accruals quality has not been objectively priced. At the same time, asset pricing test results show that violent fluctuations in earnings （high AQ value） caused by the extraordinarily reported earnings lead to the instability of earning quality, so they can not bring the extraordinary returns in a long and stable period.