监管制度、会计信息与量化投资策略研究

Regulations play an important role in the capital market. There are many papers that studied the relationship between the regulations based on accounting information and the listed companies' earnings management that does harm to the market efficiency. For example, Lu （1999） found that the listed companies reporting loss or two consecutive annual losses manage their earnings in order to avoid the "special treatment" status. Jiang （1998）, Haw, Qi, Wu and Zhang（1998），Sun and Wang （1999）, Cheng, Xiao and Guo （2001）, Chen and Lee （2001） studied the listed companies' earnings management prior to the offering. Furthermore, the Chinese studies show that the post-IPO performance deteriorates after listing（Sun and Tong, 2003; Fan, Wong and Zhang, 2007; Kao, Wu and Yang, 2009）. And there are many papers that studied the institutional investors' quantitative investment strategies. This topic is becoming more and more important with the development of asset management industry in Chinese capital market. For example, venture capitals and private equity funds had make profit from the IPO anomaly, and some mutual funds used PEAD anomaly in their investment, and some institutional investors also used technical analysis and fundamental analysis to pick up stocks. Obviously, the regulations and resulting earnings management will affect the institutional investors' quantitative investment strategies in the capital market. However, there are little papers that studied the relationship between the earnings management resulting from regulations and the institutional investors' using accounting information in their quantitative investment strategies. For example, Li, Niu, Zhang and Largay III(2011) studied the effect of earnings management resulting from the regulations on the accrual anomaly in Chinese market. This study used the unique Chinese setting in which the "delisting regulation" is based on accounting numbers, and separated earnings management into (1)earnings management responding to regulation and (2)earnings management prompted by market pressures and further documented that earnings management responding to market pressures produces the accrual anomaly and earnings management responding to regulation did not. The results indicated that regulations have effect on the institutional investors' quantitative investment strategies. In theory, the quantitative investment strategy is important to the efficient market hypothesis and the price discovery process, and it is correlated with the interest of thousands of millions of individual investors. This study will combine the earnings management resulting from regulations with the quantitative investment strategies based on accounting information, and will contribute to the efficient market hypothesis and the investment practice of institutional investors in Chinese capital market.

监管制度对于资本市场的健康发展至关重要，而中国上市公司为了满足监管制度中与会计信息相关的要求而进行的盈余管理行为则损害了资本市场的效率，这一现象得到了的广泛研究。比如，退市监管制度与面临退市风险企业的盈余管理行为的研究等。另外，还有许多文献关注的是机构投资者的量化投资策略。随着资本市场扩容及资产管理行业的发展，这个话题越来越引起人们的关注。显然，基于会计信息的盈余管理活动会影响到资本市场上机构投资者的量化投资策略。但是，将这两类研究结合起来的文献则非常少。本课题计划研究中国资本市场监管制度如何影响上市公司的盈余管理或盈余操纵行为，从而对机构投资者量化投资策略产生的影响。基于会计信息的量化投资策略，从理论上主要与资本市场效率及资本市场价格发现过程相关；从实务上则关系着千千万万投资者的切身利益。本课题的贡献在于将这两类研究结合起来进行探索，具有重大的理论意义与实践价值。

我从2012年开始主持的国家自然科学基金课题《监管制度、会计信息与量化投资策略研究 》（批准号：71202004）。在课题立项后，项目组成员经过努力，做出了一定的成绩。项目组成员围绕该课题的核心--会计信息，分别从计信息的影响因素（会计准则，公司治理等）、以及基于会计信息的投资策略等角度进行研究。截止目前共写作了八篇学术论文，其中四篇已公开发表，另外四篇工作论文正在修改与投稿过程中。在这三年中本课题还培养了两名硕士研究生。这两名硕士研究生的毕业论文都是围绕本课题进行的。一名已毕业的硕士生的论文研究了递延所得税费用盈余持续性与其市场反应，另一名在读硕士生的论文研究的是中国阳光私募基金与公募基金的投资策略。