CAJ | 학술논문

以2007-2010年我国A股公司为样本，研究了上市公司在采用公允价值计量方式后是否会产生新的投资异象以及造成这种投资异象的影响因素。运用均值T检验和Wilcoxon符号等级检验，并采用Fama-French三因素模型对样本公司进行回归。研究发现，在控制了市场风险、规模风险和账面市值比风险之后，投资策略仍然可获得超常回报率，并且公允价值变动损益占净利润比重大（小）的组，超常回报率低（高）。套利风险、交易成本是公允价值变动损益对净利润的波动性风险造成的投资异象的影响因素。交易成本越大，套利风险越高，错误定价越不容易被消除，其超常回报率也越高。
이2007-2010년아국A고공사위양본，연구료상시공사재채용공윤개치계량방식후시부회산생신적투자이상이급조성저충투자이상적영향인소。운용균치T검험화Wilcoxon부호등급검험，병채용Fama-French삼인소모형대양본공사진행회귀。연구발현，재공제료시장풍험、규모풍험화장면시치비풍험지후，투자책략잉연가획득초상회보솔，병차공윤개치변동손익점정리윤비중대（소）적조，초상회보솔저（고）。투리풍험、교역성본시공윤개치변동손익대정리윤적파동성풍험조성적투자이상적영향인소。교역성본월대，투리풍험월고，착오정개월불용역피소제，기초상회보솔야월고。
Taking A share companies listed in Chinese Stock Exchanges from 2007 to 2010 as samples, whether the application of fair value accounting will lead to investment anomaly and finds out its influence factors has been examined in the paper. This paper applies to mean value T test and Wilcoxon sign-rank test, and does regression analysis on sample companies using Fama-French three factors mode. The result shows that after controlling market risk, size risk and book-to-market ratio risk, there still exists abnormal return, in addition, the group with high proportion of the profit and loss on the changes in fair value to net income has low abnormal return and the group with low such proportion changes in fair value causes the volatility of are the influence factors of this investment has high abnormal return. The profit and loss on the net income, and arbitrage risk and transaction cost anomaly. High transaction cost and arbitrage risk bring difficulties to exelude mispricing, as a result, the abnormal return is much higher.