An Empirical Study Between The Voluntary Disclosure Of Internal Control And Accrual Anomaly

After the American has issued the SOX, internal control is being paid more and more attention. Our country also adopted a series of measures to strengthen the internal control, and the related information also begins to get attention. The disclosure of internal control information can help investors and the public get some specific information about how the internal control system is designed and how it operates, which is very helpful for investors to make more reasonable investment decision. And at the same time according to the information disclosure in different ways, the decisions which the investors made will be effected and then it will have effect to the corresponding capital market. But there is lack of the research about the relationship between the development of the voluntary disclosure of internal control information and China's capital market.Accrual anomaly, which was first found by Sloan, is a anomaly that mainly refers to investors can obtain abnormal return by constructing portfolios. But this abnormal return departures from capital market theory, and as a result there has been aroused a lot of study about it. But because of the foreign capital market develops much earlier than China's, so there is much more study in foreign. However, in recent years there has emerged a lot of study on accrual anomaly in China in which there is no study between the disclosure of internal control and the accrual anomaly. The information of internal control is part of the information of capital market, so the disclosure of this will have influence on the capital market. As a result the study between the disclosure of internal control information and the accrual anomaly can help us further understand the accrual anomaly, and also can be in another way to reveal the importance of disclosure the internal control information.This paper mainly studies the concept is:At the first we have select the A-stock in Shanghai stock exchange of 2006～2009 as project, and correspondingly eliminate some financial companies which are special on the relative laws and regulations and IPO and some companies which lack of the data. Then according to the disclosure of internal control we have classed these companies. The company which has disclosed the Internal Control Self-assessment Report and Internal Control Attestation Report has been classed as group B, and the other companies have been classed group A. After that we classed each group according the accrual and calculated the abnormal return of each group to reflect the accrual anomaly. According to the results of the study, we can find that the abnormal return of group A is very clear, but the return of group B is not obvious. This phenomenon shows that the internal control relevant information disclosure can significantly weakened accrual anomaly and further robustness inspection also support the result.There is little study about the accrual anomaly in China and this paper connects the disclosure of internal control information to the accrual anomaly which is a characteristic, and at the same time it's a new attempt to the accrual anomaly from the view of internal control. But this paper also has certain limitation. The study about it in foreign always has a long span time, but because this paper from the voluntary disclosure, which caused the time span of the sample cover only 2006 to 2009. This may reduce the reliability of the study, and due to eliminate some samples will also produce certain effect.