The Existence Of Accrual Anomaly In Chinese Capital Market

Based on efficient market hypothesis and capital asset pricing model modern, financial theory has been studied in the capital market is extremely important position. However, more and more evidence show that the capital markets are not perfect efficient, leading to so many market Anomalies. Through research, Sloan (1996) found that earnings performance attributable to the accrual component of earnings exhibits lower persistence than earnings performance attributable to the cash flow component of earnings, but investors fail to distinguish fully between the different properties of the accrual and cash flow components of earnings. So investors who structure a Portfolio can constructed about 10% of the excess returns, This is called 'Accrual Anomaly' , Accrual anomaly means that use a simple transaction, public information can be constructed excess returns, which challenges the efficient market hypothesis. Domestic and international studies have confirmed the existence of accrual anomaly and to be interpreted from different angles. As the market gradually improving, foreign scholars have found the accrual anomaly has been reduced. China listed companies implement new accounting standards on January 1,2007, due to time constraints, there were no research on this background. Therefore, the main purpose of this paper is to explore the existence of accrual anomaly in Chinese capital market on the new accounting standards background and how to change.Followed Sloan(1996)'method, we select all the listed companies issuing A Shares during the 2004 to 2009 year in Shanghai and Shenzhen Stock Exchange, except Financial companies, IPO companies and companies which lack necessary stock returns data. The results showed that both the overall mix of the sample or sub-annual survey of sustainability of the accounting accruals are significantly lower than the sustainability of cash flow, but investors did not identify the difference between them, so that accrual anomaly exists in Chinese capital market, and the sustainability of earn and it's components on the new accounting standards background. By constructing a portfolio, twelve months after the financial report releases, you can get about 2.59% and 4.57% excess returns. Using earnings samples test can be found more significant accrual anomaly and portfolio can get about 11% excess returns. It can be concluded that implementation of the new accounting standards, the accrual anomaly still exists in Chinese capital market, and compared the existing findings, and accrual anomaly phenomenon has not diminished, which means that Chinese capital market is still imperfect.The possible contribution of this paper is that: First, select the latest data to research the existence of accrual anomaly in Chinese capital market on the new accounting standards background and find out on the new accounting standards background, accrual anomaly is still existed in Chinese capital market. Second, In this paper, the new guidelines accrued before and after comparative analysis of vision problems, found a surplus after the implementation of new guidelines for the sustainability of its components are reduced, and the results show that arbitrage after the implementation of new guidelines for results more obvious, This is an indirect effect on the implementation of the new guidelines were evaluated. The limitation is:This article is limited by the sample interval, so that only three years data can be used. In the long run, if the conclusion is reliable is unknown. In addition, this research process did not consider the broader market impacting on stock returns and the volatility, excluding the share prices of the factors conclusions are founded is unknown.