05决策有用的信息观dcf.pptx

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1、Topic5 The Information Approach to Decision UsefulnessTopic5 The Information Approach to Decision Usefulnessv1.Overviewv2.Outline of the Research Problemv3.Financial information and Market Responsev4.The Ball and Brown Studyv5.Earnings Response Coefficients(ERC)v6.A Caveat About the“Best”Accounting

2、Policyv7.The Information Content of Other Financial Statement Informationv8.Conclusions16-May-2305The Information Approach to Decision Usefulness21.Overviewv霍桑实验霍桑实验车间照明实验车间照明实验v实验目的实验目的：弄清照明强度（：弄清照明强度（自变量自变量）对生产效率（）对生产效率（因变量因变量）所产生的影响。）所产生的影响。v实实验验程程序序：实实验验是是在在被被挑挑选选的的两两组组绕绕线线工工人人中中进进行行的的，一一组组是是实实验

3、验组组，一一组组是是控控制制组组；在在实实验验过过程程中中，实实验验组组不不断断增增加加照照明明强强度度，而而控控制制组组照照明明强强度度始始终保持不变。终保持不变。v实实验验结结果果：两两组组的的产产量量均均大大大大增增加加（前前测测和和后后测测）了了，但但增增加加量量几几乎乎相相等等；无法确定改善照明对生产效率有什么积极影响。无法确定改善照明对生产效率有什么积极影响。vDespite the difficulties of designing experiments to test the implications of decision usefulness,accounting res

4、earch has established that security market prices do respond to accounting information,that is an examination of empirical research in accounting.16-May-2305The Information Approach to Decision Usefulness31.OverviewvIf the efficient markets theory and the decision theories underlying it are reasonab

5、le descriptions to reality on average,we should observe the market values of securities responding in predictable ways to new information.vThe degree of usefulness for investors can be measured by the extent of volume or price change following release of the information.vThe equating of usefulness t

6、o information content is called the information approach to decision usefulness of financial reporting,since Ball&Brown(1968).16-May-2305The Information Approach to Decision Usefulness41.OverviewvHowever,what accountants cannot do is claim that the best accounting policy is the one that produces the

7、 greatest market response.Why not?The information approach to decision usefulness is an approach to financial reporting that recognizes individuals responsibility for predicting future firm performance and that concentrates on providing useful information for this purpose.The approach assumes securi

8、ties market efficiency,recognizing that the market will react to useful information from any source,including financial statements.16-May-2305The Information Approach to Decision Usefulness52.Outline of the Research Problemv2.1 Reasons for Market Responsev2.2 Finding the Market Responsev2.3 Separati

9、ng Market-Wide and Firm-Specific Factors v2.4 Comparing Returns and Income16-May-2305The Information Approach to Decision Usefulness62.1 Reasons for Market ResponsevConsider the following predictions about investor behavior,in response to financial information:Investors have prior beliefs about a fi

10、rms future performance,that is,.,which affect the expected return and risk of a firms shares.Upon release of current years net income,certain investors will decide to become more informed,by analyzing the income number.vFor most of this chapter we will confine financial statement information to repo

11、rted net income.Why?Is there any other choice?16-May-2305The Information Approach to Decision Usefulness72.1 Reasons for Market ResponsevConsider the following predictions about investor behavior,in response to financial information:Investors who have revised their beliefs about future firm performa

12、nce upward will be inclined to buy the firms shares at their current market price,and vice versa.We would expect to observe the volume of shares traded to increase when the firm reports its net income(Beaver,1968).If the investors who interpret reported net income as good news outweigh those who int

13、erpret it as bad new,we would expect to observe an increase in the market price of the firms shares,and vice versa.16-May-2305The Information Approach to Decision Usefulness82.2 Finding the Market Response1.When current years reported net income first became publicly known?Using the date of the firm

14、s net income was reported in the financial media such as The Wall Street Journal,and investigating the reactions in a narrow window of a few days surrounding this date.2.Separating good or bad news:The good or bad news in reported net income is usually evaluated relative to what investors expected.T

15、his means that researchers must obtain a proxy for what investors expected net income to be.3.Separating Market-wide and firm-specific factors on share returns:There are always many events taking place that affect a firms share volume and price.Thus,it is desirable to separate the impacts of market-

16、wide and firm-specific factors on share returns.16-May-2305The Information Approach to Decision Usefulness92.3 Separating Market-Wide and Firm-Specific FactorvThe Market model is widely used to ex post separated market-wide and firm-specific factors that affect security returns.v已已实实现现收收益益等等于于期期初初预预

17、期期收收益益j+jRMt加加上上未未期期望望或异常收益或异常收益jt。其中：。其中：j=(1j)Rf，E(jt)=0，jt0vThis abnormal return(jt)is also interpreted as the rate of return on firm js shares for time point t after removing the influence of market-wide factors.16-May-2305The Information Approach to Decision Usefulness10Separating Market Wide a

18、nd Firm Specific factors If income announcement is good news then we have a positive abnormal share return16-May-2305The Information Approach to Decision Usefulness122.3 Separating Market-Wideand Firm-Specific FactorvFigure 5.2:Actual return(0.0015)on firm js shares for day 0(the day of the firms cu

19、rrent earnings announcement)is separated into expected return(0.0009)and abnormal return(0.0006).How?Obtain the past Rjt and RMt(proxied,for example,by the Dow Jones Industrial Average index or the S&P/TSX Composite index),and use regression analysis to estimate the coefficients(j and j)of the model

20、.So,we can predict the return on firm js shares with j,j and RM0 RM0=(Level of index,end day 0+Dividends index,day 0)/(Level of index,beginning day 0)1，Sometimes,the dividends are omitted.Unusual,Non-recurring and Extraordinary ItemsvThe extraordinary items must be fully disclosed;otherwise,the mark

21、et may get an exaggerated impression of earnings persistence.vThe last characteristic in the definition was assed in the 1989 revision.Extraordinary items are items that result from transactions or events that have all of the following characteristics:(a)they are not expected to occur frequently ove

22、r several years;(b)they do not typify the normal business activities of the entity;and(c)they do not depend primarily on decision or determinations by management or owners.16-May-2305The Information Approach to Decision Usefulness141989 revisionvThis revision was designed to resolve the issue of cla

23、ssificatory smoothing,whereby management could smooth(or otherwise manage earnings from continuing operations by choosing to classify unusual items above or below the operating earnings line(Barnea,Ronen&Sadan,1976).vHowever,the nature of the improvement can be questionedvTwo related problems arisin

24、g from this revision:First,if unusual and non-recurring items are not fully disclosed,investors may overestimate the persistence of operating income;Second,and of greater concern,the amounts and timing of the recording of unusual and non-recurring items are subject to strategic manipulation by manag

25、ement.vElliott&Hanna(1996)found a significant decline in the core earnings ERC in quarters following the reporting of a large unusual item.Furthermore,the ERC declined further if the firm reported numerous large special items over time.Why?16-May-2305The Information Approach to Decision Usefulness15

26、16-May-2305The Information Approach to Decision Usefulness16Unusual,Non-Recurringand Extraordinary ItemsvHierarchy of income numbersNet income before unusual and non-recurring items,also called core earnings x xUnusual and non-recurring items x xIncome from continuing operations,also called operatin

27、g income x xIncome from Discontinuing operations x xNet income x x16-May-2305The Information Approach to Decision Usefulness1716-May-2305The Information Approach to Decision Usefulness18Other Comprehensive IncomevPresented with Income StatementNet income from operations xxxExtraordinary itemsxxxNet

28、incomexxxOther comprehensive incomexxxComprehensive incomexxxvAlternative PresentationAs part of statement of changes in shareholders equityvLess transparent,especially if securities markets not fully efficient19202.4 Comparing Returns and Incomevresearcher can now compare the abnormal share return(

29、market prices)on day 0 as calculated above with the unexpected component of firms current reported net income(accounting information).vIf this unexpected net income is good news(that is,a positive one),given securities market efficiency,a positive abnormal share return constitutes evidence that inve

30、stors on average are reacting favorably to the expected good news in earnings.vTo increase the power of the investigation,the researcher may wish to similarly compare a few days on either side of day 0.2.4 Comparing Returns and IncomevIf positive and negative abnormal returns surrounding good or bad

31、 news are found to hold across a sample of firms,the researcher may conclude that predictions based on the decision theory and efficient securities market theory are supported(that is,accounting information is useful).v一一种种复复杂杂情情况况是是在在公公司司公公告告盈盈余余时时，公公司司其其他他特特定定信信息息也也随随之之而而至至简简单地把这类公司从样本中剔除出去；单地把这类公

32、司从样本中剔除出去；v另另一一种种复复杂杂情情况况为为了了区区分分市市场场回回报报和和公公司司特特定定回回报报，对对公公司司的的估估计计用用盈盈余余公公告告后后一一段段期期间间的的数数据据估估计计，用用其其他他方方法法估估计计和和公公司司特特定定回回报报，不不区分市场回报和公司特定回报（区分市场回报和公司特定回报（Easton&Harris,1991）。）。v并并不不能能保保证证市市场场模模型型充充分分描描述述产产生生股股票票收收益益的的实实际际过过程程Brown&Warner(1980)得得出出结结论论：对对于于月月回回报报窗窗口口，市市场场模模型型比比其其他他可可选选方方法法表表现现得更合

33、理。得更合理。16-May-2305The Information Approach to Decision Usefulness23Current Financial Statement EvidenceGNBNStateHigh0.800.20Low0.100.90（副副对对角角线线概概率率）削削弱弱当当期期财财务务报报表表信信息息和和未未来来公公司司业业绩绩之之间间的的关关系系，称称为为财财务务报报表表中中的的噪噪音音（noise）或或低低盈盈余余质质量量（low earnings quality）。主主对对角角线线概概率率越越高高，系系统统越越有有信信息息含含量量（informativ

34、e），称称为为透透明明（transparent）或高质量（或高质量（high quality）信息系统的信息含量能够被实证检验信息系统的信息含量能够被实证检验3.Financial information and Market ResponsePermanent:expected to last indefinitelyTransitory:affecting earrings in the current year onlyPrice Irrelevant:zero persistencyTypes of Earning Events16-May-2305The Information Ap

35、proach to Decision Usefulness2416-May-2305The Information Approach to Decision Usefulness25Event StudyvIt studies the securities market reaction to a specific event.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

36、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vBall&Brown(BB,1968)study 课课后自学，下次后自学，下次课课提提问问自行自行设计设计一个与一个与BB研究研究类类似似 研究构想研究构想16-May-2305The Information Approach to Decision Usefulness261.事件及窗口事件及窗口 估计期窗口估计期窗口 事件期窗口事件期窗口2.样本（分组并归纳样本特征）样本（分组并归纳样本特征）3.估计正常和异常收益估计正常和异常收益4.统计检验统计检验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。

37、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16-May-2305The Information Approach to Decision Usefulness27事件研究法是指运用股票收益率数据来

38、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.The Ball and Brown StudyvBall&Brown(BB,1968)began a tradition of empirical markets research in accounting that continues to this day.vThey were the first to provide convincing

39、scientific evidence that firms share returns respond to the information content of financial statements.v4.1 Methodology and Findingsv4.2 Causation Versus Associationv4.3 Outcomes of the BB Study16-May-2305The Information Approach to Decision Usefulness284.1 Methodology and FindingsvBB examined a sa

40、mple of 261 NYSE firms over nine years from 1957 to 1965.vBB concentrated on the information content of earnings.vBBs first task was to measure the information content of earnings,that is,good news(GN)and bad news(BN).Thus,firms with earnings higher than last years were classified as GN,and vice ver

41、sa.vThe next task was to evaluate the market return on the shares of the sample firms near the time of each earnings announcement.This was down according to the abnormal returns procedure illustrated in Figure 5.2.The only difference was BB used monthly returns(daily returns were not available on da

42、tabases in 1968)vBB repeated their abnormal security market returns calculation for a wide window consisting of each of the 11 months prior to and 6 moths following the month of earnings release(month 0).16-May-2305The Information Approach to Decision Usefulness294.1 Methodology and FindingsAverage

43、cumulative ones16-May-2305The Information Approach to Decision Usefulness304.2 Causation Versus AssociationvIf a security market reaction to accounting information is observed during a narrow window of a few days surrounding an earnings announcement,it can be argued that the accounting information i

44、s the cause of the market reaction.vIt cannot be claimed that reported net income caused the abnormal returns during the 11 months leading up to month 0.The most that can be argued is that net income and returns are associated.v We will find that the association between share returns and earnings in

45、creased as the window widens(Easton,Harris&Ohlson,1992;Warfield&Wild,1992)16-May-2305The Information Approach to Decision Usefulness314.3 Outcomes of the BB StudyvIt opened up a large number of additional usefulness issues:Whether the magnitude of unexpected earnings is related to the magnitude of t

46、he security market response(Beaver,Clarke&Wright,1979).Since 1968,accounting researchers have studied securities market response to net income on other stock exchanges,in other countries,and for quarterly earnings reports,with similar results.The approach has been applied to study market response to

47、 the information contained in new accounting standards,auditor changes,etc.Earnings response coefficients(ESC)asks a different question,namely,for a given amount of unexpected earnings,is the security market response greater for some firms than others?16-May-2305The Information Approach to Decision

48、Usefulness325.Earnings Response Coefficients(ERC)v5.1 Reasons for Differential Market Responsev5.2 Implications of ERC Researchv5.3 Measuring Investors Earnings Expectationsv5.4 SummaryAn earnings response coefficients(ERC)measures the extent of a securitys abnormal market return in response to the

49、unexpected component of reported earnings of the firm issuing that security.16-May-2305The Information Approach to Decision Usefulness335.1 Reasons for Differential Market ResponsevBetaEmpirical evidence of a lower ERC for higher-beta securities was found by Collins&Kothari(1989),and by Easton&Zmije

50、wski(1989).vCapital StructureEmpirical evidence of a lower ERC for more highly levered firms was reported by Dhaliwal,Lee&Fargher(1991).vEarnings QualityThe higher earnings quality,the higher we would expected the ERC to be.Measurement of earnings quality:vEarnings persistencevAccruals qualityvOther