Abstract: Taking A-share companies from 2003 to 2011 as study object, this paper makes analysis of the accrual anomaly based on extraordinary gains and losses. The research finds that: Investors can’t identify the differences of persistence in various components of earnings and exist the mis-pricing; Buying stocks of the lowest accrual group and selling stocks of the highest accrual group, we can earn an excess return of 8.5% over the following year; However, further subdivision according to the extraordinary gains and losses, buying stocks of the lowest accrual with low extraordinary gains and losses group and selling stocks of the highest accrual with high extraordinary gains and losses group, we can earn an excess return of 14.4% over the following year.