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制度层面的退市监管(李远鹏和牛建军,2007)和牛熊市特征(宋云玲和李志文,2009)会影响到投资者基于应计信息的定价效率,导致我国证券市场出现应计异象。本文选取2007—2013年我国沪深A股市场的样本数据,研究2010年3月31日推出的允许投资者融资融券的卖空机制是否影响到股票的定价效率。在实证研究中,本文采用Mishkin检验和Sloan(1996)的投资组合检验发现卖空机制能够降低应计被高估的程度。但是,当我们进一步将应计分解为异常应计和正常应计后,Mishkin检验和Xie(2001)的投资组合检验发现卖空机制并没有提升投资者基于异常应计的定价效率。因此,在卖空机制推出后,虽然投资者能够有效识别应计的持续性,并给予正确定价,但他们仍然无法对异常应计的持续性给予正确定价。本研究首次验证了交易机制对应计异象的影响,即除了李远鹏和牛建军(2007)的退市监管,以及宋云玲和李志文(2009)的牛熊市特征之外,卖空机制也同样影响我国证券市场的应计异象。
Regulatory delisting supervision (Li Yuanpeng and Niu Jianjun, 2007) and CBBC characteristics (Song Yunling and Li Zhiwen, 2009) will affect the pricing efficiency of investors based on accruals, resulting in the appearance of accrued anomalies in China’s securities market. This paper chooses the sample data of China’s A-share market in Shanghai and Shenzhen in 2007-2013 and studies whether the short-selling mechanism that allows investors to borrow and sell securities on Mar. 31, 2010 will affect the pricing efficiency of the stock. In the empirical study, the paper uses the Mishkin test and Sloan (1996) portfolio test to find that short selling mechanism can reduce the extent to which accruals are overvalued. However, when we further decompose accruals to abnormal accruals and normal accruals, the Mishkin test and the Xie (2001) portfolio test found that the short selling mechanism did not improve investors’ pricing efficiencies based on abnormal accruals. Therefore, after the launch of the short sale mechanism, investors can not correctly price the persistence of abnormal accruals, although investors can effectively recognize the persistence of accruals and give correct pricing. This study, for the first time, verifies the effect of trading mechanism on accrued anomalies. In addition to the delisting supervision by Li Yuanpeng and Niu Jian-Jun (2007) and the CBBC characteristics by Song Yunling and Li Zhiwen (2009), the short selling mechanism also affects China’s securities Market accrued vision.