Based On Limited Investor Attention To The Vision Of The Accrued Theoretical And Empirical Research

This paper examined the Accruals anomalies, using both theoretical and empirical studies, based on limited investor attention.First of all, we introduced the relevant theories, including the Efficient Market Hypothesis(EMH), Limited rational. Based on these theories, Using Hirshleifer's(2006) model, we analyse the tend of the Accruals anomalies. It said some invetors neglect earnings, some attend to earnings but neglect accruals, and others not only attend to earnings but also attend to accruals. In tenns of this theory, we propose three empirical hypothesis. Where, H1:there are Accruals anomalies or Earnings anomolies in Chinese market; H2:the higher the proportion of the first category of investors is, the stronger Earnings anomolies are; H3:The higher the proportion of the third category investors is, the weaker the accruals anomalies are.Nextly, we collected Chinese A-share market data from 2005 to 2009, we then found, using correlation analysis, accruals were positively correlated with future earnings and institutional ownership, and negatively correlated with the future excess return. It showed that accruals could predict the future earnings, higher accruals could gain more attention, and high-accrual may overestimate the negative excess stock return.To go to the step, we set up the simultaneous equations model to verify the existence of the Chinese A-share market Accruals anomalies and Earnings anomalies. Then we added measure of investor limited attention factor which is a dummy variable to establish Accruals anomalies and Earnings anomalies models based on the investor limited attention. The empirical results demonstrated that the higher the attention was, the weaker the anomalies were. In addition, we had stability tests, including different accruals calculation method, different institutional ownership calculation method, the different calculation methods of cumulative excess returns, and. the samples were divided by year, and got the unanimous conclusion.Finally, we proposed some future research prospects, including exploration of other Limited attention measures, institutional investors behavior, market response with accruals and accruals earnings management.