An Empirical Research On The Funds Managers' Skill And Accrual Quality Risk Premium

This paper examines the relationship between accrual quality information and fund managers' stock investment decisions.The purpose of this paper is to study whether fund managers can obtain excess returns from using accrual quality information of stocks and the influence of fund managers' ability differences on excess returns of funds.In this paper,we use 2011-2016 years of Chinese mutual funds as a sample.By comparing the performance of the fund,this paper analyzes the stock selection ability of the fund manager.The results show that accrual quality is a risk premium factor at the level of the fund,and the fund manager can gain excess earnings through invest in the poor accrual quality stocks.And skilled fund managers can gain more excess returns.This shows that the fund manager can get benefit from using accounting information in stock-investing.And the fund manager with excellent stock selection ability can make full use of the accrual information to build the stock-portfolio,so as to obtain higher excess income.There are two innovations in this paper.First,the current research status in China mainly focus on the role of accrual quality in the corporate governance and less on the meaning of the information risk represented by accrual quality.Secondly,the previous study mainly study the economic meaning of the accounting information at the stock level.This paper examines the relationship between fund returns and accrual quality,and the influence of the fund manager's ability to make use of the accounting information.Therefore,this paper shows the economic consequences of the earnings quality in the capital market,and expand and improve the related research on the professional ability of the fund stock investment.