关键词: 资本市场, 应计异象, 风险, 错误定价

Abstract: There is no identical conclusion abroad on the reason that causes the accrual anomaly in capital market, i.e. misspecificaion or mispricing. However, as a representative capital market of developing countries, researchers in China did little work about it. Under the background of capital market in China, this paper empirically analyzed whether the accrual anomaly existed. This paper found the accrual anomaly came from mispricing of investors instead of misspecificaion, which implied the accrual anomaly exist in real. Because the accrual-mimicking factor had a good forecasting ability of return as one of systemic risks, and in the advanced analysis, it found that there was significant correlation between the characteristics and the loading of accrual-mimicking factor.

Key words: Capital Market, Accrual Anomaly, Risk, Mispricing