利用日内交易数据构建订单流不平衡指标,考察机构投资者对上市公司应计信息的即时反应情况及对股票价格产生的影响.结果表明,机构投资者在公司意外盈余为正的前提下,根据应计利润水平采取反转交易策略,买入(卖出)低(高)应计公司股票;受机构投资者交易行为的影响,低应计(高应计)公司股价在盈余公告后短期内上涨(下跌),在公告后长期则下跌(上涨),股价在整个区间内经历反转;通过构建套利组合研究发现,公司应计对股票盈余公告后长期收益的正向预测能力,不能完全被基于风险的资产定价模型所解释,说明机构投资者的交易行为造成股价过度反应,导致市场对公司应计项目错误定价.%Using order imbalances as a measure of investor trading behavior based on intraday transaction data,this paper empirically investigates institutional investors' immediate reaction to accrual information and its impact on stock prices.The results show institutional investors trade in an accrual-contrarian fashion:they buy low-accrual firms and sell high-accrual firms only when the previously-announced earnings signal is positive.When accrual-contrarian trading exhibited by institutions is intense,the accrual predicts negative short-term stock returns but positive long-term returns.In other words,the stock price experiences a long-term reversal after the earnings announcement.Further investigation suggests the positive predictability of accrual on stock price in the long run cannot be fully explained by risk-based asset pricing models.These results indicate institutional investor's reaction to accrual information generates a mispricing of accruals induced by market overreaction.
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