| Stock pricing is the key problem of capital market and academic field. From the accounting angle, the way how accounting information affects the return of stocks, and the relationship between share return and accounting information, are the major research direction from long time ago.This paper discusses various pricing theories and models ,compares linear residual income model and non-linear residual income model, and analyzes the pattern of share return in Chinese capital market.First, this paper reviews the relationship between accounting information and share pricing from theoretical to empirical research. Second, it deduces linear and non-linear models and summarize the empirical research papers using these two models. Last, it uses last ten years sample of Chinese capital market to examine non-linear and linear residual income at the same time.The major conclusions are listed below:(1) the explaining power of non-linear residual income model is stronger than that of the linear one, which shows Chinese investor can predict the future of companies already. This is a sign of semi-strong form efficiency. At the same time, information drift phenomenon is found by this paper. Therefore, for more accuracy, Chinese capital market is transforming from weak form to semi-strong form efficiency.(2) Pricing model has better explaining power in stable markets stage and reform of non-tradable shares increase the explaining power of accounting information.(3) Pricing model has better explaining power with low PB and medium market size shares.The contribution of this paper reflects in following ways:(1) This is the first time to utilize non-linear residential income model in Chinese market, and raise that Chinese market can predict the future operation situation of companies.(2) This paper uses ten years data and involves the latest available sample, which complements current studies.(3) This paper catches sight of information drift, which gives further evidence for current researches. |
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