The Study On The Existing Of Accrual Anomaly In Chinese Growth Enterprises Market

Efficient Market Hypothesis, which was put forward by Fama in1965and Capital Asset Pricing Model, which was put forward by William Sharp in1964were the basis of modern financial theory. Many scholars regarded it as the hypothesis of their studies. It occupied an extremely important position at the time of the capital market study. However, a growing number of market anomalies suggest that the capital market is not as efficient as the Efficient Market Hypothesis described. It still has many defects. Accrual Anomaly (Sloan1996) is one of the many market anomalies of questioning the efficient market hypothesis, which means the investors could gain excess returns through using accounting earnings information, Thus becoming a hot field of market efficiency research.At present, the research of foreign scholars on the the accrual anomaly is studied extensively and deeply from different point of view, and the results are very abundant. Since Li Yuanpeng, Niu Jianjun (2007) has studied the accrual anomaly, it also receives high attention, and achieves certain results in our country.The Growth Enterprises Market(GEM)in China since its opening in2009, the research about GEM has became the common concern in theory and practice field. But the research of accrual anomaly in GEM is scarce. So this paper selects the company listed in the GEM from2009to2012as the research object, and study the existence of accrual anomaly in GEM. In the first place, this study found the current earnings has the ability to predict future earnings, but different part of earnings have different level of predictability.The cash flow has higher predictive ability than the accounting accruals.Secondly, the single variable regression found the accounting accruals and cumulative excess returns exhibit significant negative correlation. After introducing relevant risk factors, the negative correlation still significantly exist.Finally, By using the method of chart display and tabulation, it found by means of constructing portfolio strategy, we can obtain significant abnormal returns. After changing the calculation method of abnormal returns, the above conclusion is still valid. So we can prove the the accrual anomaly is exactly existing in the GEM market in China. Finally, The paper explains the causes of the accrual anomaly in the GEM, and then put forward appropriate suggestions to alleviate the accrual anomaly.The empirical conclusions of this paper will not only enrich the field study of accrual anomaly and market efficiency in GEM, but also provide important reference value to the improvements of information disclosure mechanism of the companies listed in the GEM, the perfection of market regulatory system and also the cultivation of rational investors.