股市周期、投资者情绪与盈余管理——来自中国A股市场的证据

Stock Market Cycles,Investor Sentiment and Earnings Management:Evidence from A-share Stock Market in China

将中国大陆1394家上市公司2004年至2007年期间5576份年报,分为熊市悲观样本组与牛市乐观样本组,用Givoly&Hayn(2000)的应计项目模型和Ball&Shiva-kumar(2005)的应计项/现金流模型进行实证检验。研究发现:熊市悲观样本组的应计利润以及非经营性应计利润较低,会计盈余下降周期与熊市悲观周期吻合;牛市乐观样本组的应计利润以及非经营性应计利润较高,会计盈余上升周期与牛市乐观周期一致。上市公司经营者(代理人)操纵应计项目以及刻意安排应计项目在牛市与熊市之间回转,使得熊市悲观周期会计盈余被低估而牛市乐观周期会计盈余被高估,以迎合投资者(委托人)牛市过度乐观而熊市过度悲观的情绪和盈余预期。

This paper divides 5576 annual reports of 1394 companies listed in China Mainland from 2004 to 2007 into two groups, one is the bear market negative group for the year 2004 and 2005, the other is the bull market positive group for the year 2006 and 2007, then compares the accruals between these two groups using the Givoly ＆ Hayn （2000） accrual model and Ball ＆ Shivakumar （2005） model. We find that both accruals and non operation accruals in the former group are significantly lower than accruals in the latter, this indicates that the cycle of accounting earnings declining is consistent with the bear market negative cycle, the cycle of accounting earnings increasing is consistent with the bull market positive cycle. it is explained that in order to cater for investors＇ sentiment （excessively positive in the bull market and excessively negative in the bear market） and their earnings expectation, the management or the agent manipulates the accruals which are underestimated in the bear market period and overestimated in the bull market period.