资本市场应计异象：模型误设还是错误定价

The Accural Anomaly in Capital Market: Misspecification or Mispricing

资本市场应计异象是由于投资者的错误定价还是因模型误设造成的,国外研究并未得到一致的结论。但以我国为代表的发展中国家资本市场,对应计异象的研究基本集中在解释应计异象存在原因,而对其是否真实存在还是源于模型误设,尚未有研究进行检验。本文以我国资本市场为研究背景,对上述问题进行考察。研究发现应计项作为一种"系统风险",具有较好的预测回报的能力,但在进一步的分析又发现这种系统风险特征与应计本身的特征高度相关,这说明应计异象并非源自定价模型的误设,而是投资者的错误定价,应计异象真实存在于我国资本市场中。

There is no identical conclusion abroad on the reason that causes the accrual anomaly in capital market, i. e. misspecificaion or mispricing. However, as a representative capital market of developing countries, researchers in China did little work about it. Under the background of capital market in China, this paper empirically analyzed whether the accrual anomaly existed. This paper found the accrual anomaly came from mispricing of investors instead of misspecificaion, which implied the accrual anomaly exist in real. Because the accrual-mimicking factor had a good forecasting ability of return as one of systemic risks, and in the advanced analysis, it found that there was significant correlation between the characteristics and the loading of accrual-mimicking factor.