应计质量的风险定价研究——来自中国A股市场的证据

Accruals Quality,Risk and Asset Pricing——Evidence from Chinese A-Share Stock Markets

以2002年～2008年575家A股上市公司为样本,分别运用固定效应和时间序列OLS回归方法,从股价(年报后)和股票回报率两个角度考察A股上市公司应计盈余质量是否会影响投资者对股票的定价。通过将每股盈余分离成每股可控盈余、非可控盈余和经营现金流后发现,年报之后的股票价格与可控盈余之间呈高度正相关。研究结果表明,投资者不能有效识别上市公司财务报表的真实性,盈余管理在一定程度上影响了投资者对股票的客观定价。进一步,通过构建盈余质量的替代变量AQfactor,将其纳入CAPM模型和三因子模型中进行资产定价检验。结果显示,AQfactor虽然与股票回报率正相关,但并不具有统计意义上的显著性,即在中国A股市场上,没有证据表明应计盈余质量可以作为一个信息风险定价因子来解释股票回报;在相对较长而稳定的期间里,超常的报告盈余引起的应计盈余波动并不能给投资者带来稳定回报率。

In this paper,using panel data （fixed） and the regression analysis of time series,we select 575 listed companys from 2002-2008 in A-share market and analyze whether accruals quality will affect the pricing of stock from two perspectives-stock-price and stock returns. After devided earnings per share into nondiscretionary accruals per share,discretionary accruals per share and cash flow from operations per share,tests and stock price of their relevance,the results show that the stock price after annual reports is positively related to discretionary accruals quality. Investors can not identify the true information content from earnings reports of listed companies and to some extent earnings management misleads the investor＇s stock pricing objectively. Moreover,an atternative variable AQfactor which captures discretionary accruals quality is put in CAPM model and three-foctor model to do asset pricing test. The results show that,although AQfactor are positively related to the extraordinary returns,it can not pass through Significant coefficient of-fit test. To AQfactor,extraordinary returns have not showed systematic differences. Therefore from the perspective of asset pricing tests,there is no evidence indicate that AQ is a priced risk factor and the extraordinary earnings caused by fluctuations in earnings can not bring the extraordinary returns in a long and stable period.