会计应计异象与盈余公告后漂移异象——来自沪深上市公司的经验证据

Accrual Anomaly and Post-earnings Announcement Drift Anomaly——Evidence from Chinese Listed Companies

以沪深股市为例,探讨了中国资本市场中应计异象与盈余公告后漂移异象两种异象之间的联系,并判断这两种异象是否是同一种市场非有效性的表现,抑或是两种截然不同的市场异象。研究发现,应计异象和盈余公告后漂移异象之间并不能相互解释,利用两种异象构造投资组合可以为投资者带来比利用一种异象所构造的投资组合多出约两倍的累积超额收益。

This paper investigates the two accounting information-based and close related anomalies in Chinese capital market to determine whether accrual anomaly is distinct from the post-earnings announcement anomaly.The authors find that the accrual anomaly appears to be distinct from post-earnings announcement drift anomaly.A hedging portfolio trading strategy that exploits both forms of market anomaly generates abnormal returns in nearly two times those based on either unexpected earnings or accruals information alone.