应计异象的市场定价——来自中国股票市场的证据

本文应用非预期股票收益定价的模型框架以及Fama和French三因子模型，研究了应计特征及应计风险因子的应计异象的市场定价并发现:(1)在公司水平下，无论是在Fama和French三因子模型下还是在非预期股票收益定价的模型框架下，应计和应计异象风险因子(CMA)均不能作为独立因子、不能解释股票超额收益。(2)同Hirshleifer et al在美国市场的发现一致，Fama和French三因子模型同样不能解释中国股票市场的应计异象。相对于Fama和French三因子模型对应计异象的检验结果，三因素模型可以部分解释中国股市的应计异象，而且，还可以完全解释中等规模公司的应计异象。(3)三因素模型对大规模公司的应计异象则出现了不能被解释的截距项，平均值为-0.104，市场错误定价可能是导致出现不能被解释的截距项的原因。

The Market Pricing of Accruals: Evidence from Chinese Stock Market

Based on Fama-French three factors model and multi-factors pricing model, this paper investigates the market pricing of accruals. New findings show that, first, little empirical support for a significant relation between stocks expected return and characteristics of accruals or risk factor related with accruals; Second, consistence with evidence from the American stock market, Fama-French three factors model can not explain for accruals, while multi-factors pricing model can partially account for accruals anomalies, especially, the accruals sorting with middle size and accruals can be explained completely by multi-factors pricing model; third, there is large negative intercepts for portfolios sorting with large size and accruals when multi-factors pricing model is used to pricing of accruals anomalies, and the market mispricing may cause it.