Abstract: By making use of the other comprehensive income data of Chinese listed companies from 2009 to 2015, this paper conducts an empirical test on the investor pricing effect of other comprehensive income. The findings show that other comprehensive income has the investor pricing effect, and the pricing effect has strong dependence on the information environment and the investor’s cognitive ability. In addition, the usefulness of investment decisions of other comprehensive income mainly comes from the two specific components, i.e., the available-for-sale financial assets and the effectively hedged cash flows.

Key words: other comprehensive income; investor pricing; company information environment; investor’s cognitive ability