财务会计理论(司可脱)ppt文件04_scott_im_ch04

2006 Pearson Education Canada Inc.,4-1,Chapter 4Efficient Securities Markets, 2006 Pearson Education Canada Inc.,4-2,Efficient Securities Markets,Definition (Semi-strong form)At all timesFully reflect.All publicly available informationA relative conceptEfficiency defined relative to a stock of publicly available information, 2006 Pearson Education Canada Inc.,4-3,Accounting Implications of Securities Market Efficiency,W. Beaver, “What Should Be the FASBs Objectives,” Journal of Accountancy (1973)Full disclosure, incl. acc. policiesAccounting policies do not matter (unless cash flow effects)“Nave”investors price-protectedAccountants in competition, 2006 Pearson Education Canada Inc.,4-4,Share Price on an Efficient Market,CAPME(Rjt) = Rf(1 - j) + jE(RMt)Only firm-specific component is jHow does accounting information affect share price? See Eqn (4.2) in text:, 2006 Pearson Education Canada Inc.,4-5,How Does Accounting Information Affect Share Price, Contd,In Eqn (4.2), Accounting Information Affects E( Pjt + Djt)E(Rjt) Does Not Change, Since Only Firm Specific Component is BetaThus Pj,t-1 (i.e., current share price) Must Change in Eqn 4.2, 2006 Pearson Education Canada Inc.,4-6,Information Asymmetry,The Adverse Selection ProblemInside informationInsider trading, 2006 Pearson Education Canada Inc.,4-7,Social Implications of Adverse Selection,Security Prices Do Not Reflect Fundamental ValueMisallocation of scarce capitalAll Share Prices Suffer (cost of capital)Investors cannot distinguish good from badthin markets, as investors withdraw, 2006 Pearson Education Canada Inc.,4-8,Social Implications of Adverse Selection, Contd.,Analogy With Used Car MarketAkerloff (1970), lemonsIn Extreme Cases, Market Collapses, or Does Not Develop in the First Place, 2006 Pearson Education Canada Inc.,4-9,Role of Financial Reporting,Control Adverse Selection by Means of Full Disclosure,All Information,Inside Information, 2006 Pearson Education Canada Inc.,4-10,A Logical Inconsistency,Fully Informative Share PricesMarket prices collapseNo role for accounting informationPartly Informative Share Prices Concept of noise tradersExpected value of noise = 0Market efficient in expected value senseRole for accounting information, 2006 Pearson Education Canada Inc.,4-11,An Example of Full Disclosure,Management Discussion and AnalysisForward-looking orientationConcept of information system is im