财务会计理论(司可脱)ppt文件06_scott_im_ch06

2006 Pearson Education Canada Inc.,6-1,Chapter 6The Measurement Perspective on Decision Usefulness,Fair Value Accounting, 2006 Pearson Education Canada Inc.,6-2,What is the Measurement Perspective?,Greater Use of Fair Values in the Financial Statements Proper, 2006 Pearson Education Canada Inc.,6-3,Why are Accountants Moving Towards a Measurement Perspective?,Are Securities Markets Efficient?If not, a measurement perspective may helpOhlsons Clean Surplus TheoryA theoretical framework supportive of measurement perspective, 2006 Pearson Education Canada Inc.,6-4,Why are Accountants Moving Towards a Measurement Perspective? Contd.,Low R2More measurement may increase accounting “market share” in explaining share price changesAuditor LiabilityMore measurement may reduce auditor liability when firms become financially distressed, 2006 Pearson Education Canada Inc.,6-5,Relevance v. Reliability Again,Fair Value Accounting Results in More Relevance but Less ReliabilityResult is to increase earnings volatilityReducing Effect of Earnings VolatilityExclude unrealized gains and losses from net incomeOther comprehensive income, 2006 Pearson Education Canada Inc.,6-6,Relevance v. Reliability, Contd,Has the Tradeoff Changed?Concern over low R2 and auditor liability may cause accountants to accept less reliability to gain greater relevance, 2006 Pearson Education Canada Inc.,6-7,Are Securities Markets Efficient?,Behavioural Finance, 2006 Pearson Education Canada Inc.,6-8,Why Accountants Care,To Extent Markets Not Efficient, the Information Perspective is Less UsefulReporting on Risk: is No Longer the Only Relevant Risk MeasureMuch Empirical Evidence on Usefulness of Financial Statement Information Relies on Efficient Securities Markets, 2006 Pearson Education Canada Inc.,6-9,Prospect Theory,An Alternative to the Theory of the Optimal Investment DecisionSeparate evaluation of gains and lossesOverconfidence, weighting of probabilitiesRare events overweightedLikely events underweightedProspect theory utility functionSee Figure 6.2, 2006 Pearson Education Canada Inc.,6-10,Figure 6.2 Prospect Theory Utility Function,u(x),z gain,loss, 2006 Pearson Education Canada Inc.,6-11,Is Beta Dead?,CAPM Implies Beta is Sole Risk Measure to Explain Share ReturnHigher higher return, & vice versaEmpirical Results Weak, MixedWeak Empirical Results Threaten CAPM and the Efficient Securities Market Theory on Which it is Based, 2006 Pearson Education Canada Inc.,6-12,Is Beta Dead? Contd,Ans. 1: No. A Way to “Rescue” Beta:Non-stationarityAns. 2: Partially. Behavioural Financeoverconfidence overreactionTo Extent Beta not Dead, Role of Reporting on Risk Expands, 2006 Pearson Education Canada Inc.,6-13,Excess Market Volatility and Bubbles,Shiller (1981)Evidence of excess market volatilityAckert and Smith (1993)Contradicts Shillers argumentBubblesExtreme case of momentumHerd behaviour may contribute, 2006 Pearson Education Canada Inc.,6-14,Efficient Securities Markets Anomalies,Post-announcement Drift (PAD)Occurs when abnormal share returns drift upwards or downwards for some time following GN or BN in quarterly earningsEfficient securities market theory predicts immediate response to GN or BN Bernard & Thomas (1989)Found strong statistical evidence of PAD, 2006 Pearson Education Canada Inc.,6-15,Efficient Securities Markets Anomalies, Contd,Accruals (Sloan (1996) Net income = OCF net accrualsInvestment strategyBuy if net accruals/OCF is “low”Sell short if net accruals/OCF is “high”Sloan found this strategy earned 10.4% more than market return over 1 yearShould not happen if markets are efficient, 2006 Pearson Education Canada Inc.,6-16,Efficient Securities Markets Anomalies, Contd,Possible Explanations for Anomalies that are Consistent with Securities Market EfficiencyRiskTransactions costs, 2006 Pearson Education Canada Inc.,6-17,Conclusions re Securities Market Efficiency,Efficiency a Matter of DegreeConclude Actual Markets are “Close Enough” that Efficient Securities Market Model Still Most Useful to Guide Accountants About Investor Decision NeedsLack of unified theory (Fama (1998) ?Methodology subject to criticism?, 2006 Pearson Education Canada Inc.,6-18,Conclusions re Securities Market Efficiency, Contd,But, Theory and Evidence of Behavioural Finance has Progressed to Point Where it Supports a Measurement PerspectiveInvestors may need more “help” to evaluate financial statements than information perspective assumesSecurities market efficiency is a “worst case scenario” for usefulness of financial statement information, 2006 Pearson Education Canada Inc.,6-19,Ohlsons Clean Surplus Theory,What is it?Expresses value of firm in terms of accounting variables, 2006 Pearson Education Canada Inc.,6-20,So What?,Value of firm traditionally expressed in terms of “finance” variables:Firm value = PV of expected future dividendsFirm value = PV of expected future cash flows, 2006 Pearson Education Canada Inc.,6-21,So What? Contd,Feltham & Ohlson Demonstrate That Firm Value can Equivalently be Expressed in Terms of Accounting VariablesFirm value = Net assets PV of expected future abnormal earnings Abnormal earnings are the difference between actual earnings and accretion of discount (cost of capital opening book value), also called normal earningsAbnormal earnings are same concept as goodwill, 2006 Pearson Education Canada Inc.,6-22,Assumptions of Clean Surplus Theory,No Arbitrage, Dividend IrrelevancyUnbiased (i.e., fair value) Accounting (Can Be Relaxed)Infinite Time HorizonAll Gains and Losses Go Through Net Income (i.e., “Clean” Surplus), 2006 Pearson Education Canada Inc.,6-23,Using The Theory To Estimate Firm Value,Assume Unbiased AccountingThenBalance sheet net assets = Expected PV of future normal earnings, discounted at cost of capital, 2006 Pearson Education Canada Inc.,6-24,Estimating Cost of Capital,Use CAPME(Rjt) = Rf(1 - j) + jE(RMt)Note E(Rjt) = Cost of CapitalRequires Estimate of j, Rf and E(RMt), 2006 Pearson Education Canada Inc.,6-25,Predicting Abnormal Earnings,Choose a Time Horizon (e.g., 7 years) Over Which Abnormal Earnings Will PersistCalculate ROECalculate Dividend Payout Ratio (k)Year-by-Year Over Time HorizonPredict book valueEnd-of-year BV = Opening BV + (1-k)NI, 2006 Pearson Education Canada Inc.,6-26,Predicting Abnormal Earnings, Contd,Predict actual earningspredicted actual earnings = ROE x opening BVPredict normal earnings (accretion of discount)Cost of capital x opening BVPredicted abnormal earnings = predicted actual earnings predicted normal earnings, 2006 Pearson Education Canada Inc.,6-27,Estimating Firm Value, Concl.,Calculate PV of abnormal earnings at cost of capital over time horizonEstimated firm value = net assets present value of abnormal earningsNB: assumption here that firm earns only normal return beyond chosen time horizon (i.e., ROE = E(Rj) beyond horizon)Reasonable?, 2006 Pearson Education Canada Inc.,6-28,Impact of Clean Surplus Theory on Financial Accounting Research,Information PerspectiveEvaluate usefulness of financial statement information by market responseHigher response more usefulMakes No Attempt to Value the FirmThis is investors responsibilityThen, clean surplus theory not applicable to accountants, 2006 Pearson Education Canada Inc.,6-29,Impact of Clean Surplus Theory on Financial Accounting Research, Contd.,Measurement PerspectiveUsefulness evaluated in terms of predicting firm valueBetter prediction more useful Predicting firm value requires estimating goodwill, hence future earningsMain focus of accounting research is to predict future earnings, and how long they will persist, 2006 Pearson Education Canada Inc.,6-30,Clean Surplus Theory Supports the Measurement Perspective,Why?Fair value accounting moves more of firm value onto the balance sheetManagement has better estimates than investors of the fair value of assets and liabilitiesThis improves estimates of firm va