应计质量在A股市场得到客观定价了吗?来自中国A股市场的证据

Has accruals quality been objectively priced in A-share market?Evidence from A-share in China

论文运用Panel data(固定效应)回归以及时间序列OLS回归计量方法,从股价和超常回报率两个角度考察了应计盈余质量是否会影响投资者对股票的定价.对股价的检验显示,年报和季报之后的股票价格与可控盈余之间存在显著的正相关关系,表明,上市公司对会计报表报进行盈余管理会误导投资者对于资产的定价.进一步,构建了应计质量的替代因子AQfactor,将其纳入资产定价模型,检验结果显示,月超常回报率与AQfactor之间并不存在显著正相关关系,这表明,超常的报告盈余带来的低盈余质量并未得到A股投资者充分关注.在一定程度上.投资者未能有效识别上市公司财务报表的真实性.

In this paper, by means of Panel data （fixed） regression and the OLS method with time series data, we analysis whether accruals quality will affect the pricing of stock. The price tests show that the stock price after annual reports and quarter reports is significantly positively correlated with discretionary accruals quality, the test results show listed companies can implement earnings management to mislead investors through annual reports. We calculated an alternative variable called AQfactor who captures discretionary accruals quality, put it in CAPM model and three-factor model to do asset pricing test. Asset pricing test results show AQfactor who captures discretionary accruals quality is not significantly positively related to the extraordinary returns, the extraordinary returns is not significantly positively correlated with discretionary accruals quality, and this also show that A-share investor did not effectively pay attention to the low quality caused by extraordinary earnings fluctuations in earnings. To some extent, investor can not indentify the information risk brought by accrual quality.