公允价值会计与市场投资异象研究——来自中国上市公司的经验证据

Research on Fair Value Accounting and Market Investment Anomaly:Empirical Evidence of China's Listed Companies

以2007～2010年我国A股公司为样本,研究了上市公司在采用公允价值计量方式后是否会产生新的投资异象以及造成这种投资异象的影响因素。运用均值T检验和Wilcoxon符号等级检验,并采用Fama-French三因素模型对样本公司进行回归。研究发现,在控制了市场风险、规模风险和账面市值比风险之后,投资策略仍然可获得超常回报率,并且公允价值变动损益占净利润比重大(小)的组,超常回报率低(高)。套利风险、交易成本是公允价值变动损益对净利润的波动性风险造成的投资异象的影响因素。交易成本越大,套利风险越高,错误定价越不容易被消除,其超常回报率也越高。

Taking A share companies listed in Chinese Stock Exchanges from 2007 to 2010 as samples, whether the application of fair value accounting will lead to investment anomaly and finds out its influence factors has been examined in the paper. This paper applies to mean value T test and Wilcoxon sign-rank test, and does regression analysis on sample companies using Fama-French three factors mode. The result shows that after controlling market risk, size risk and book-to-market ratio risk, there still exists abnormal return, in addition, the group with high proportion of the profit and loss on the changes in fair value to net income has low abnormal return and the group with low such proportion changes in fair value causes the volatility of are the influence factors of this investment has high abnormal return. The profit and loss on the net income, and arbitrage risk and transaction cost anomaly. High transaction cost and arbitrage risk bring difficulties to exelude mispricing, as a result, the abnormal return is much higher.