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.

摘要： 以2003-2011年的A股上市公司为研究对象，基于非经常性损益对应计异象展开分析，研究发现：投资者无法识别盈余各组成部分的持续性差异，存在错误定价，买入应计盈余最低组同时卖出应计盈余最高组的股票，在未来一年能获得8.5%的超额收益，按非经常性损益的大小进一步细分后，买入应计盈余最低且低非经常性损益组的股票，同时卖出应计盈余最高且高非经常性损益组的股票，在未来一年能获得14.4%的超额收益。