摘要
本文在应计定价被高估的"应计异象"研究基础上,从投资者有限注意角度出发,将投资者分为高关注和低关注两类,实证检验两类投资者对应计定价的不同影响。实证研究发现,高关注投资者由于能够充分关注到包括应计和现金流在内的盈余组成部分,因而能够对应计作出较为合理的定价;相反,低关注投资者则对应计作出过高的定价。进一步的研究发现,在不同的市场态势下,高、低关注投资者对应计定价具有不同的表现:当市场处于牛市时,高关注投资者对应计进行了合理定价,而低关注投资者则存在对应计的高估;而熊市时,高关注投资者对应计作出偏低的定价,而低关注投资者则对应计作出了较为合理的定价。
We empirically study the impact of limited investor attention on accrual mispricing in Chinese A-share market.We divide the investors into high-attention and low-attention groups to test the difference of accrual mispricing by the two groups.High-attention(Low-attention) means the investors would(wouldn't) attend to the components of earnings i.e.accruals and cash flows.The results indicate that high-attention investors' accrual pricing is accurate while low-attention investors highly price the accrual's persistence.Furthermore,high-attention and low attention investors' accrual pricing are different between the optimistic and pessimistic market.
出处
《会计研究》
CSSCI
北大核心
2012年第5期59-66,94,共8页
Accounting Research
基金
国家自然科学基金项目(项目编号:70872111
71071166)
国家自然科学基金创新群体项目(批准号:70921001)的资助
