决策有用的信息观.ppt

Topic5TheInformationApproachtoDecisionUsefulness Topic5TheInformationApproachtoDecisionUsefulness 1 Overview2 OutlineoftheResearchProblem3 FinancialinformationandMarketResponse4 TheBallandBrownStudy5 EarningsResponseCoefficients ERC 6 ACaveatAboutthe Best AccountingPolicy7 TheInformationContentofOtherFinancialStatementInformation8 Conclusions 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 2 1 Overview 霍桑实验 车间照明实验实验目的 弄清照明强度 自变量 对生产效率 因变量 所产生的影响 实验程序 实验是在被挑选的两组绕线工人中进行的 一组是实验组 一组是控制组 在实验过程中 实验组不断增加照明强度 而控制组照明强度始终保持不变 实验结果 两组的产量均大大增加 前测和后测 了 但增加量几乎相等 无法确定改善照明对生产效率有什么积极影响 Despitethedifficultiesofdesigningexperimentstotesttheimplicationsofdecisionusefulness accountingresearchhasestablishedthatsecuritymarketpricesdorespondtoaccountinginformation thatisanexaminationofempiricalresearchinaccounting 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 3 1 Overview Iftheefficientmarketstheoryandthedecisiontheoriesunderlyingitarereasonabledescriptionstorealityonaverage weshouldobservethemarketvaluesofsecuritiesrespondinginpredictablewaystonewinformation Thedegreeofusefulnessforinvestorscanbemeasuredbytheextentofvolumeorpricechangefollowingreleaseoftheinformation Theequatingofusefulnesstoinformationcontentiscalledtheinformationapproachtodecisionusefulnessoffinancialreporting sinceBall Brown 1968 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 4 1 Overview However whataccountantscannotdoisclaimthatthebestaccountingpolicyistheonethatproducesthegreatestmarketresponse Whynot Theinformationapproachtodecisionusefulnessisanapproachtofinancialreportingthatrecognizesindividualsresponsibilityforpredictingfuturefirmperformanceandthatconcentratesonprovidingusefulinformationforthispurpose Theapproachassumessecuritiesmarketefficiency recognizingthatthemarketwillreacttousefulinformationfromanysource includingfinancialstatements 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 5 2 OutlineoftheResearchProblem 2 1ReasonsforMarketResponse2 2FindingtheMarketResponse2 3SeparatingMarket WideandFirm SpecificFactors2 4ComparingReturnsandIncome 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 6 2 1ReasonsforMarketResponse Considerthefollowingpredictionsaboutinvestorbehavior inresponsetofinancialinformation Investorshavepriorbeliefsaboutafirm sfutureperformance thatis whichaffecttheexpectedreturnandriskofafirm sshares Uponreleaseofcurrentyear snetincome certaininvestorswilldecidetobecomemoreinformed byanalyzingtheincomenumber Formostofthischapterwewillconfinefinancialstatementinformationtoreportednetincome Why Isthereanyotherchoice 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 7 2 1ReasonsforMarketResponse Considerthefollowingpredictionsaboutinvestorbehavior inresponsetofinancialinformation Investorswhohaverevisedtheirbeliefsaboutfuturefirmperformanceupwardwillbeinclinedtobuythefirm ssharesattheircurrentmarketprice andviceversa Wewouldexpecttoobservethevolumeofsharestradedtoincreasewhenthefirmreportsitsnetincome Beaver 1968 Iftheinvestorswhointerpretreportednetincomeasgoodnewsoutweighthosewhointerpretitasbadnew wewouldexpecttoobserveanincreaseinthemarketpriceofthefirm sshares andviceversa 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 8 2 2FindingtheMarketResponse Whencurrentyear sreportednetincomefirstbecamepubliclyknown Usingthedateofthefirm snetincomewasreportedinthefinancialmediasuchasTheWallStreetJournal andinvestigatingthereactionsinanarrowwindowofafewdayssurroundingthisdate Separatinggoodorbadnews Thegoodorbadnewsinreportednetincomeisusuallyevaluatedrelativetowhatinvestorsexpected Thismeansthatresearchersmustobtainaproxyforwhatinvestorsexpectednetincometobe SeparatingMarket wideandfirm specificfactorsonsharereturns Therearealwaysmanyeventstakingplacethataffectafirm ssharevolumeandprice Thus itisdesirabletoseparatetheimpactsofmarket wideandfirm specificfactorsonsharereturns 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 9 2 3SeparatingMarket WideandFirm SpecificFactor TheMarketmodeliswidelyusedtoexpostseparatedmarket wideandfirm specificfactorsthataffectsecurityreturns 已实现收益等于期初预期收益 j jRMt加上未期望或异常收益 jt 其中 j 1 j Rf E jt 0 jt 0Thisabnormalreturn jt isalsointerpretedastherateofreturnonfirmj ssharesfortimepointtafterremovingtheinfluenceofmarket widefactors 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 10 SeparatingMarketWideandFirmSpecificfactors Ifincomeannouncementisgoodnewsthenwehaveapositiveabnormalsharereturn 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 12 2 3SeparatingMarket WideandFirm SpecificFactor Figure5 2 Actualreturn 0 0015 onfirmj ssharesforday0 thedayofthefirm scurrentearningsannouncement isseparatedintoexpectedreturn 0 0009 andabnormalreturn 0 0006 How ObtainthepastRjtandRMt proxied forexample bytheDowJonesIndustrialAverageindexortheS P TSXCompositeindex anduseregressionanalysistoestimatethecoefficients jand j ofthemodel So wecanpredictthereturnonfirmj sshareswith j jandRM0RM0 Levelofindex endday0 Dividendsindex day0 Levelofindex beginningday0 1 Sometimes thedividendsareomitted Unusual Non recurringandExtraordinaryItems Theextraordinaryitemsmustbefullydisclosed otherwise themarketmaygetanexaggeratedimpressionofearningspersistence Thelastcharacteristicinthedefinitionwasassedinthe1989revision Extraordinaryitemsareitemsthatresultfromtransactionsoreventsthathaveallofthefollowingcharacteristics a theyarenotexpectedtooccurfrequentlyoverseveralyears b theydonottypifythenormalbusinessactivitiesoftheentity and c theydonotdependprimarilyondecisionordeterminationsbymanagementorowners 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 14 1989revision Thisrevisionwasdesignedtoresolvetheissueofclassificatorysmoothing wherebymanagementcouldsmooth orotherwisemanageearningsfromcontinuingoperationsbychoosingtoclassifyunusualitemsaboveorbelowtheoperatingearningsline Barnea RonenSecond andofgreaterconcern theamountsandtimingoftherecordingofunusualandnon recurringitemsaresubjecttostrategicmanipulationbymanagement Elliott Hanna 1996 foundasignificantdeclineinthecoreearningsERCinquartersfollowingthereportingofalargeunusualitem Furthermore theERCdeclinedfurtherifthefirmreportednumerouslargespecialitemsovertime Why 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 15 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 16 Unusual Non RecurringandExtraordinaryItems HierarchyofincomenumbersNetincomebeforeunusualandnon recurringitems alsocalledcoreearningsxxUnusualandnon recurringitemsxxIncomefromcontinuingoperations alsocalledoperatingincomexxIncomefromDiscontinuingoperationsxxNetincomexx 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 17 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 18 OtherComprehensiveIncome PresentedwithIncomeStatementNetincomefromoperationsxxxExtraordinaryitemsxxxNetincomexxxOthercomprehensiveincomexxxComprehensiveincomexxxAlternativePresentationAspartofstatementofchangesinshareholders equityLesstransparent especiallyifsecuritiesmarketsnotfullyefficient 19 20 2 4ComparingReturnsandIncome researchercannowcomparetheabnormalsharereturn marketprices onday0ascalculatedabovewiththeunexpectedcomponentoffirm scurrentreportednetincome accountinginformation Ifthisunexpectednetincomeisgoodnews thatis apositiveone givensecuritiesmarketefficiency apositiveabnormalsharereturnconstitutesevidencethatinvestorsonaveragearereactingfavorablytotheexpectedgoodnewsinearnings Toincreasethepoweroftheinvestigation theresearchermaywishtosimilarlycompareafewdaysoneithersideofday0 2 4ComparingReturnsandIncome Ifpositiveandnegativeabnormalreturnssurroundinggoodorbadnewsarefoundtoholdacrossasampleoffirms theresearchermayconcludethatpredictionsbasedonthedecisiontheoryandefficientsecuritiesmarkettheoryaresupported thatis accountinginformationisuseful 一种复杂情况是在公司公告盈余时 公司其他特定信息也随之而至 简单地把这类公司从样本中剔除出去 另一种复杂情况为了区分市场回报和公司特定回报 对公司 的估计 用盈余公告后一段期间的数据估计 用其他方法估计 和公司特定回报 不区分市场回报和公司特定回报 Easton Harris 1991 并不能保证市场模型充分描述产生股票收益的实际过程 Brown Warner 1980 得出结论 对于月回报窗口 市场模型比其他可选方法表现得更合理 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 23 副对角线概率 削弱当期财务报表信息和未来公司业绩之间的关系 称为财务报表中的噪音 noise 或低盈余质量 lowearningsquality 主对角线概率越高 系统越有信息含量 informative 称为透明 transparent 或高质量 highquality 信息系统的信息含量能够被实证检验 3 FinancialinformationandMarketResponse Permanent expectedtolastindefinitelyTransitory affectingearringsinthecurrentyearonlyPriceIrrelevant zeropersistency TypesofEarningEvents 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 24 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 25 EventStudy Itstudiesthesecuritiesmarketreactiontoaspecificevent 事件研究是目前检验半强式有效市场假说的主要方法 用来了解资本市场证券价格与特定事件之间相关性的实证研究若此事件有影响 证券价格波动状况异于无此事件时的表现 产生异常回报应用统计方法检验异常回报状况 以说明此事件是否对证券价格有影响常用事件 公司盈余公告 新股发行 增发和配股 股票回购或分割 股利分配 兼并收购 盈利预测 以及宏观经济政策变化公告等Ball Brown BB 1968 study课后自学 下次课提问自行设计一个与BB研究类似研究构想 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 26 窗口长短选择没有固定标准 但数据的可得性会制约窗口长短选择 短窗口从几分钟到几天 长窗口可能涉及几个月到几年短窗口容易避免事件窗内其他事件对证券价格的影响 但短窗口可能错误估计事件窗内预期收益率 而且有些事件的滞后影响可能是短窗口所不能捕获的 因此 近年来长窗口比较流行 但长窗口也存在着诸如遗漏风险因素并错误计量风险 幸存者偏差和数据挖掘偏差等数据问题及统计推断问题 正常收益 假设不发生此事件的预期收益 常用计算模型 市场模型 均值调整模型 市场调整模型异常收益 事件期间内证券实际收益与同期正常收益的差 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 27 事件研究法是指运用股票收益率数据来测定某一特定经济事件对公司价值的影响 事件研究法先利用估计期 估计出事件日的期望收益 由事件期的实际收益扣除期望收益得到非正常收益 再检验样本平均非正常收益是否显著区别于原假设 事件日的期望收益可以由均值调整模型 市场调整模型和市场模型来估计 4 TheBallandBrownStudy Ball Brown BB 1968 beganatraditionofempiricalmarketsresearchinaccountingthatcontinuestothisday Theywerethefirsttoprovideconvincingscientificevidencethatfirms sharereturnsrespondtotheinformationcontentoffinancialstatements 4 1MethodologyandFindings4 2CausationVersusAssociation4 3OutcomesoftheBBStudy 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 28 4 1MethodologyandFindings BBexaminedasampleof261NYSEfirmsovernineyearsfrom1957to1965 BBconcentratedontheinformationcontentofearnings BB sfirsttaskwastomeasuretheinformationcontentofearnings thatis goodnews GN andbadnews BN Thus firmswithearningshigherthanlastyear swereclassifiedasGN andviceversa Thenexttaskwastoevaluatethemarketreturnonthesharesofthesamplefirmsnearthetimeofeachearningsannouncement ThiswasdownaccordingtotheabnormalreturnsprocedureillustratedinFigure5 2 TheonlydifferencewasBBusedmonthlyreturns dailyreturnswerenotavailableondatabasesin1968 BBrepeatedtheirabnormalsecuritymarketreturnscalculationforawidewindowconsistingofeachofthe11monthspriortoand6mothsfollowingthemonthofearningsrelease month0 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 29 4 1MethodologyandFindings Averagecumulativeones 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 30 4 2CausationVersusAssociation Ifasecuritymarketreactiontoaccountinginformationisobservedduringanarrowwindowofafewdayssurroundinganearningsannouncement itcanbearguedthattheaccountinginformationisthecauseofthemarketreaction Itcannotbeclaimedthatreportednetincomecausedtheabnormalreturnsduringthe11monthsleadinguptomonth0 Themostthatcanbearguedisthatnetincomeandreturnsareassociated Wewillfindthattheassociationbetweensharereturnsandearningsincreasedasthewindowwidens Easton HarrisWarfield Wild 1992 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 31 4 3OutcomesoftheBBStudy Itopenedupalargenumberofadditionalusefulnessissues Whetherthemagnitudeofunexpectedearningsisrelatedtothemagnitudeofthesecuritymarketresponse Beaver Clarke Wright 1979 Since1968 accountingresearchershavestudiedsecuritiesmarketresponsetonetincomeonotherstockexchanges inothercountries andforquarterlyearningsreports withsimilarresults Theapproachhasbeenappliedtostudymarketresponsetotheinformationcontainedinnewaccountingstandards auditorchanges etc Earningsresponsecoefficients ESC asksadifferentquestion namely foragivenamountofunexpectedearnings isthesecuritymarketresponsegreaterforsomefirmsthanothers 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 32 5 EarningsResponseCoefficients ERC 5 1ReasonsforDifferentialMarketResponse5 2ImplicationsofERCResearch5 3MeasuringInvestors EarningsExpectations5 4Summary Anearningsresponsecoefficients ERC measurestheextentofasecurity sabnormalmarketreturninresponsetotheunexpectedcomponentofreportedearningsofthefirmissuingthatsecurity 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 33 5 1ReasonsforDifferentialMarketResponse BetaEmpiricalevidenceofalowerERCforhigher betasecuritieswasfoundbyCollins Kothari 1989 andbyEaston Zmijewski 1989 CapitalStructureEmpiricalevidenceofalowerERCformorehighlyleveredfirmswasreportedbyDhaliwal Lee Fargher 1991 EarningsQualityThehigherearningsquality thehigherwewouldexpectedtheERCtobe Measurementofearningsquality EarningspersistenceAccrualsqualityOtherreasons 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 34 EarningsQuality DescriptionofeventActualevent 23 Dec 19 01OverviewofAccountingTheoryanditsresearch QinggangWang 35 What smeaningofwindow dressing Earningspersistence WewouldexpectthattheERCwillbehigherthemorethegoodorbadnewsincurrentearningsisexpectedtopersistintothefuturefirmperformance Kormedi Lipe 1987 Themeasureofpersistencewastheextenttowhichearningschangesofthelasttwoyearscontinuedintothecurrentyear Ramakrishnan Thomas RT 1991 Differentcomponentsofnetincomemayhavedifferentpersistence Thisimpliesthataccountantsshouldprovidelotsofclassificationanddetailontheincomestatement Permanent expectedtopersistindefinitely ERC 1 Transitory affectingearningsinthecurrentyearbutnotfutureyears ERC 1 Price irrelevant persistenceofzero ERC 0 成功引进新产品 处置产房和设备 资本化开办费 注销研究费 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 36 Higherearningsquality HighpersistenceofearningsandcashflowsHighpredictiveabilityofearningsandcashflowsHighearningsresponsecoefficientLowlevelofearningsmanagementMorevoluntarilydisclosureStrongcorporategovernance 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 37 Whatshouldtheusersbeawareof Statementusersmust Understandcurrentfinancialreportingsettingsandstandards Differencesinaccountingmethods Differencesinaccountingestimates Differencesinstandardsimplementation Recognizethatmanagementmaymanipulatethefinancialinformation Distinguishbetweenreliablefinancialstatementinformationandpoorqualityinformation 38 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 38 Accrualsquality WewouldexpectthatahigherERCforhigheraccrualsquality DeChow Dichev 2002 Earningsqualitydependsprimarilyonthequalityofworkingcapitalaccruals Totheextentcurrentperiodworkingcapitalaccrualsshowupascashflowsnetperiod thoseaccrualsareofhighquality Asimilarargumentappliestolastperiod saccruals Evidencethatfirm sERCsandsharepricesrespondpositivelytoaccrualqualityasmeasuredbythisprocedureisreportedbyFrancisetal 2004 2005 andEckeretal 2006 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 39 5 2ImplicationsofERCResearch Improvedunderstandingofmarketresponsesuggestswaysthataccountantscanfurtherimprovethedecisionusefulnessoffinancialstatements Lowerinformativenessofpriceforsmallerfirmsimpliesthatexpandeddisclosureforthesesfirmswouldbeusefulforinvestors contrarytoacommonargumentthat toexpanddisclosureofthenatureandmagnitudeoffinancialinstruments includingthosethatare off balance sheet thedesirabilityofdisclosureofsegmentinformation since Also MD Aenablesthefirmtocommunicateitsgrowthprospect Disclosureofthecomponentsofnetincomeisusefulforinvestors 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 40 5 3MeasuringInvestors EarningsExpectations Undertheidealconditions expectedearningsissimplyaccretionofdiscountonopeningfirmvalue Whenconditionsarenotideal Oneapproachistoprojectthetimeseriesformedbythefirm spastreportednetincomes thatis tobasefutureexpectationsonpastperformance However dependsonearningspersistence Ifearningsare100 persistent expectedearningsarejustlastyear sactualearnings thenunexpectedearningsarethechange BallEaston Harris 1991 foundbothchangesinandlevelsofnetincomearecomponentsofthemarket searningsexpectation Tobecontinued 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 41 5 3MeasuringInvestors EarningsExpectations Undertheidealconditions expectedearningsissimplyaccretionofdiscountonopeningfirmvalue Whenconditionsarenotideal Anothersourceofearningsexpectationsisanalysts forecasts Sincerationalinvestorswillpresumablyusethemostaccurateforecast Analysts forecastsaremoreaccuratethantimeseriesforecasts Brownetal 1987 O Brien 1988 Thesinglemostrecentearningsforecastprovidedamoreaccurateearningspredictionthantheaverageforecastofallanalystsfollowingthefirm O Brien 1988 Analysts forecastsareoptimistically althoughthebiasmayhencedecreasedinrecentyears Kothari 2001 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 42 5 4Summary Theinformationcontentofnetincomecanbemeasuredbytheextentofsecuritypricechangeor morespecifically bythesizeofthesecurity sabnormalmarketreturn aroundthetimethemarketlearnsthecurrentnetincome Foragivenamountofunexpectednetincome theextentofsecuritypricechangeorabnormalreturnsdependsonfactorssuchas Theempiricalresultsarereallyquiteremarkable First theyhaveovercomesubstantialstatisticalandexperimentaldesignpreambles Second theysupportsthetheoryofsecuritiesmarketefficiencyandthedecisiontheoriesthatunderlieit Finally theysupportthedecisionusefulnessapproachtofinancialreporting 23 Dec 19 05TheInformationApproachtoDecisionUsefulness 43 6 ACaveatAboutthe Best AccountingPolicy However whataccountantscannotdoisclaimthatthebestaccountingpolicyistheonethatproducesthegreatestmarketresponse Whynot Thereasonisthatinformationhascharacteristicsofapublicgood Asaresult investorsmayperceiveaccountinginformationasusefuleventhoughfromsociety sstandpointthecostsofthisinformationoutweighthebenefitstoinvestors Itisstilltruethataccountantscanbeguidedbymarketresponsetomaintainandimprovetheircompetitivepositionassupplierstothemarketplaceforinformation Itisalsotruethatsecuritiesmarketswillworkbettertotheextentsecuritypricesprovidegoodindicationsofunderlyingrealinvestmentopportunities However thesesocialconsiderationsdosuggestthat asageneralrule accountingstandardsettingbodiesshouldbewaryofusingsecuritiesmarketresponsetoguidetheirdecisions 23 Dec 19 05TheInformationApproachtoD