【摘要】 本文以1998-2000年沪深两市A股为样本,以应计项目作为会计盈余质量标准, 研究其对公司下一年度会计盈余及未来两年内股票收益的影响。研究结果发现:(1)第t年度会计盈余高而经营现金流量低的公司在第t+1年度的会计盈余会降低,而第t年度会计盈余低而经营现金流量高的公司在第t+1年度的会计盈余则会升高;(2)投资者会高估那些会计盈余高但经营现金流量低的股票,而低估那些会计盈余低但经营现金流量高的股票,据此构造的投资策略可获得显著超常收益。并且这些超常收益在经过CAPM模型、Fama-French三因素和四因素模型风险调整后依然显著存在。更多还原

【Abstract】 In this paper, by sampling A - share firms listed in Shanghai and Shenzhen Stock Exchanges from 1998 to 2002, the author examines the impact on next year’s earnings and next two years’ stock returns measured by accruals as a standard of earnings quality. The empirical results show that: (1) Companies with high earnings but low cash flows will experience a decrease of earnings in next year, while companies with low earnings but high cash flows will experience a increase of earnings in next year; (2) Investors overvalue companies of high earnings with low cash flows and undervalue companies of low earnings with high cash flows. So, investors can construct investing strategies to gain abnormal returns. After adjusting risks by CAPM model, Fama - French three - factors model and four - factors model, these abnormal returns still exist significantly.更多还原