摘要
机构投资者能否提高股票的定价效率一直是理论界和学术界研究的热点问题,本文从应计异象角度对该问题进行了研究,发现机构投资者能够显著减少应计项目的错误定价程度。以中国A股市场2001～2010年的上市公司为样本,本文发现我国证券市场上依然存在应计异象现象;通过考察机构投资者持股变化和公司上年度应计项目水平之间的关系,本文发现机构投资者确实会根据公司的应计项目水平做出投资决策上的调整。进一步的研究表明,不论是高机构投资者持股组还是低机构投资者持股组,都存在显著的应计项目高估现象;但机构投资者持股水平越高,应计项目的高估程度也越小,表明机构投资者确实可以减少应计异象,提高市场对应计项目的定价效率。
Abstract： This paper studies the effect of institutional investors＇ shareholding on the accruals anomaly. Using listed companies in Chinese A share Market between 2001--2010 as the samples, we confirm that the accruals anomaly still exists in Chinese stock markets. After investigating the relationship between institutional investors＇ shareholding and accruals of last year, we find that institutional investors will adjust their portfolios according to accruals. Further evidence shows that, whether institutional investors have high shareholding or not, there always exists overpricing for accruals. However, the overpricing is mitigating among institutional investors with more shareholding, which shows that institutional investors can actually reduce the accruals anomaly, and improve the pricing efficiency for accruals.
出处
《系统工程》
CSSCI
CSCD
北大核心
2012年第5期1-8,共8页
Systems Engineering
基金
国家自然科学基金资助项目(71172186
71102095)
教育部新世纪人撑支持计划项目(NCET-07-0309)
关键词
应计异象
机构投资者
错误定价
定价效率
Accruals Anomaly
Institutional Investors
Mispricing
Pricing Efficiency
