The Existence Of Accrual Anomaly In Chinese Capital Market

In recent decades, scholars study found that there are many "anomalies" in the market,such as the scale anomaly, contrarian strategy anomaly, price earnings ratio anomaly, etc.These "anomalies" questioned the efficient market theory and capital asset pricing model,which is the important theoretical foundation of Capital Market Research. Because scholars apply the existing efficient market theory and the capital asset pricing model can not give a reasonable explanation for these "anomalies". This all shows that the market is not perfect. Li Yuanpeng (2008) pointed out that in a variety of "anomalies", accrual anomaly is a hot academic discussion in recent years. Accrual anomaly was first introduced by Sloan (1996). The accrual anomaly is the earnings accrued persistent asymmetry persistent and cash flow part, continued the former is obviously lower than that of the latter, and investors can buy low accrued stock, sell high accruals stocks to earn excess returns. Research for this kind of phenomenon first started in the United States.This paper selects the Shanghai and Shenzhen stock market from2005to2010listed A shares of the company as the research object, collected7536samples. The results of this study found accounting accruals and cash flow in the part of earnings forecast has significant differences; accounting accruals earnings forecast ability is lower than the cash flow. We find that when the market situation in the bull market when the earnings forecast of future earnings is higher than that of a bear market. The indicators of earnings forecast of bull market is better than a bear market. And we also observed when the market from the bull market to bear market the cash flow forecasts decline more than accounting accruals. That is to say the market situation changing has biger influence on the cash flow than accounting accruals. According to the Sloan’s thought of arbitrage strategy,we buy stock which has lowest accruals and sell stock which has highest accruals. On the whole we can obtain abnormal returns6.43%. After eliminating the losses we can obtain abnormal returns increased to11.79%. This indicates that both the whole sample or profit sample has obvious "accrual anomaly". Abnormal returns has positive correlation with earnings, however it has negative correlation with accruals. And found that it has deeper negative correlation between abnormal returns and accruals, when in the optimistic market; but it has deeper positive correlation between abnormal returns and earnings,when in the pessimism market. The results of this study proved that the capital market of our country exists the accrual anomaly. Analyzed from the angle of naive investors, investors only focus on future earnings,they do not pay attention to the accounting accruals in the future earnings of low reliability. This leads them can not make a right investment decision. It may be the partial reason which has lead to the accrual anomaly.This paper proves that China’s capital market exists the accrual anomaly. It’s a manifestation of China’s capital market lack of efficiency. This paper enriches the study of market efficiency and also enrich the new field study. At the same time, perfect for the revision of accounting standards, the market mechanism, rational investors culture also has reference value.