中文摘要：

制度层面的退市监管（李远鹏和牛建军,2007）和牛熊市特征（宋云玲和李志文,2009）会影响到投资者基于应计信息的定价效率,导致我国证券市场出现应计异象。本文选取2007—2013年我国沪深A股市场的样本数据,研究2010年3月31日推出的允许投资者融资融券的卖空机制是否影响到股票的定价效率。在实证研究中,本文采用Mishkin检验和Sloan（1996）的投资组合检验发现卖空机制能够降低应计被高估的程度。但是,当我们进一步将应计分解为异常应计和正常应计后,Mishkin检验和Xie（2001）的投资组合检验发现卖空机制并没有提升投资者基于异常应计的定价效率。因此,在卖空机制推出后,虽然投资者能够有效识别应计的持续性,并给予正确定价,但他们仍然无法对异常应计的持续性给予正确定价。本研究首次验证了交易机制对应计异象的影响,即除了李远鹏和牛建军（2007）的退市监管,以及宋云玲和李志文（2009）的牛熊市特征之外,卖空机制也同样影响我国证券市场的应计异象。

英文摘要：

Market regulation such as delisting systems （Li and Niu, 2007） and market characteristics such as bull or bear markets （Song and Li, 2009） can influence the mispricing of accruals, and lead to accrual anomaly in Chinese securities market. Using data of Shanghai and Shenzhen A-share market from 2007 to 2013, this paper studies the effect of the securities margin trading, launched on March 31 in year 2010 on the market mispricing of accruals. Our empirical research finds short sales can improve the market overpricing of accruals with the methods of Mishkin test and Sloan＇s decile portfolios. However, our further empirical results shows that short sales cannot improve the market mispricing of abnormal accruals with Mishkin test and Xie＇s decile portfolios when accruals are separated into abnormal accruals and normal accruals. Thus, investors can identify the lower persistence of accruals in an ex- change mechanism with short sales and give correct pricing of them, but they are still unable to identify the persistence of abnormal accruals and give incorrect pricing. This paper reveals the impact of exchange mechanism such as short sales on accruals anomaly, and extends Li and Niu＇s study of market regulation and Song and Li＇s study of market characteristics on accruals anomaly in Chinese securities market.