Accrual Anomaly: Existence, Cause And Market Performance

Research on the accounting of capital market, especially the empirical research, theefficient market hypothesis, the capital asset pricing model and the behavior financetheory as the foundation, has become a very important field of accounting empiricalresearch.(Ball and Brown,1968) for the first time, use the methods of empiricalresearch on earnings and changes in abnormal stock returns of systematic study, laid thefoundation for the study of capital market and accounting information. Capital marketinvestors according to various kinds of information to the stock pricing such securities,in many sources of information, accounting information is the basic information ofinvestors for stock pricing, and the accounting information especially earnings report isbased on the accrual accounting system as the foundation, so the accrual informationimportant influence on the pricing behavior of investors. If investors judge errorcharacteristics of accounting information, will cause its for stock pricing errors,resulting in inefficient capital markets, in view of the efficient capital market hypothesis(Efficient Market Hypothesis) is an important position, academic research will violatethe efficient capital market hypothesis phenomenon to become the capital market’svision, if not the capital market is the result of pricing errors the accrual informationmarket, it is called the capital market the accrual anomaly.(Sloan,1996) found that the capital market accounting information pricing errorson accounting information should be, first discovered the "accrual anomaly", causedwidespread controversy in academic circles and practical, although from the accrualanomaly that has been17years, but the accrual anomaly has not disappeared from thecapital market, the academic study of the accrual anomaly never ceased. At present, inthe academic research on the accrual anomaly mainly focus on the causes of the accrualanomaly, these studies have assumed a premise, namely the pricing model which areused in the study is correct, the so-called abnormal return assumed right based on thepricing model obtained is true. Therefore, study on the accrual anomaly first need torule out a risk factor associated with accrued have pricing model. Secondly, in theory,on the one hand because of the arbitrage mechanism, the accrual of arbitrage space willbe gradually reduced over time; on the other hand, according to the study hypothesis,the investors in capital markets will continue according to the new information to makethe correction of investment decision, the wrong pricing will gradually reduce the accrual the two aspects above, will lead to the disappearance of the accrual anomaly.Therefore, study on the accrual anomaly also need to face the accrual anomaly ongoingproblem, namely how to market performance of vision.In conclusion, a more in-depth study of the "accrual anomaly", should focus on thefollowing three aspects: one is the analysis of the accrual anomaly is the existence of;two is that if the accrual anomaly were confirmed to exist, then what is the reason forthe accrual anomaly; three is the accrual anomaly implies the existence of arbitragespace in the market in the capital market, smart investors through accruals informationportfolio transactions and obtain excess returns, so after a period of time, arbitrage,arbitrage accrual anomaly should be eliminated, but the study found that the accrualanomaly is persistent, then what is the reason the vision persistence.The thesis consists of seven chapters, the structure arrangement of each chapter areas follows:The first chapter. This paper mainly introduces the research background, ideas,methods and innovations.The second chapter theoretical basis. This is the theoretical basis of accrualanomaly of the efficient market hypothesis, including finance, asset pricing model andthe behavior.The third chapter is the literature summary. The domestic research on the accrualanomaly were reviewed according to the existence, causes and persists for threereasons.The fourth chapter accrued risk angle are based on accrual anomaly interpretation.The accrual anomaly test the existence of the accrual anomaly, namely what is the studyof model misspecification on an illusion caused by a market, or because investorspricing errors and the formation of the arbitrage opportunity.The fifth chapter accrual characteristics angle should be the essential reasonanalysis based on the accrual anomaly. Conduct root cause analyses accrual anomaly, ifaccrual anomaly really exist, the subjective analysis, is caused by the individual pricingbehavior mistake investors, but objectively or essential analysis is caused by thecharacteristics of accounting information, investors corresponding meter failed tocorrectly grasp the characteristics of earnings information, in order to make the wrongjudgment of earnings and its components of persistent part, finally the pricing error of.The sixth chapter micro users perceived, macro market status and accrual anomaly.Market performance from the perspective of behavioral finance to the accrual anomaly inspection, in this part, firstly, according to the different perception of investorsconcerned about the earnings persistence and the accrual anomaly degree were tested,and then the different market conditions, stock earnings persistence and market on theaccrual anomaly degree the final analysis, pricing behavior in different markets,different perception of investors are tested.The seventh chapter research conclusion. Report of the main conclusions, andanalyzes the significance of this study.First, although the accrual factor can explain the accrual mispricing marketsimulation, but the study found that this is mainly because of its and accrualcharacteristics highly related, namely the accrual anomaly is not the pricing model ofmissing a pseudo proposition research and accrued risk factor related to form in, accrualanomaly is a kind of capital market caused by investors accrual pricing informationerror pricing phenomenon.Second, the plan for the first payment should be accrued and post receipt andpayment of accrued, the study found more persistent error estimation after payment andhigher uncertainty accrued, can produce16.2%arbitrage space in the abnormal return,far greater than the accrued9.2%arbitrage space, the objective nature of reason accrualanomaly generated is low persistent accruals information, further reason is sustained bythe accounting information and the uncertainty of the estimation error is difficult tomeasure the characteristics of the resulting.Third, different perception of accrual accrual anomaly information users generatedifferent effects, accrual anomaly occurred mainly in the low perceptual ability byaccrual information users have the sample, through to the different market conditions,samples should examine market gauge anomalies further support the above conclusion.