盈余增长、盈余信息质量与盈余加速异象--来自中国A股市场的经验证据

Earnings Growth, Earnings Information Quality and Earning Acceleration Anomaly: Evidence from China’s A-share Market

盈余信息在资本市场定价行为中具有重要影响。本文以2002―2019年中国A股上市公司数据为样本,实证研究了A股市场的盈余加速(盈余增长率的变化)异象,并进一步探究该异象的形成机制。研究发现:(1)A股市场整体存在盈余加速异象,且该异象不能被其他定价因子和因子模型所解释;(2)盈余加速对未来盈余增长具有增量预测能力,市场未能完全理解该信息含量导致的盈余加速异象;(3)低盈余信息质量公司的盈余加速异象更强,说明低盈余信息质量带来的高信息成本使得投资者对盈余加速信息含量反应不足。本文为A股市场盈余加速异象的存在性提供了直接证据,并从盈余信息含量和盈余信息质量两条路径解释了该异象的形成机制。

Earnings information plays an important role in capital market pricing.Based on the data of China’s A-share listed companies from 2002 to 2019,this study empirically studies the earnings acceleration(changes in earnings growth rate)anomaly in the A-share market,and further explores the formation mechanism of the anomaly.The results show that:(1)Earnings acceleration anomaly in the A-share market is significant as a whole,and the anomaly cannot be explained by other pricing factors or factor models;(2)Earnings acceleration has incremental prediction ability for future earnings growth,but the market does not fully understand the information content,resulting in the existence of earnings acceleration anomaly;(3)The earnings acceleration anomaly of companies with low earnings information quality is stronger,which shows that the high information cost brought by low earnings information quality makes investors less responsive to earnings acceleration information content.This study provides direct evidence for the existence of earnings acceleration anomaly in A-share market,and explains the formation mechanism of the anomaly from two paths:earnings information content and earnings information quality.