05决策有用的信息观

1、Topic5 The Information Approach to Decision UsefulnessTopic5 The Information Approach to Decision Usefulness1.Overview2.Outline of the Research Problem3.Financial information and Market Response4.The Ball and Brown Study5.Earnings Response Coefficients (ERC)6.A Caveat About the “Best” Accounting Pol

2、icy7.The Information Content of Other Financial Statement Information8.Conclusions09-Sep-2205The Information Approach to Decision Usefulness21. 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；

3、无法确定改善照明对生产效率有什么积极影响。Despite the difficulties of designing experiments to test the implications of decision usefulness, accounting research has established that security market prices do respond to accounting information, that is an examination of empirical research in accounting. 09-Sep-2205The Inf

4、ormation Approach to Decision Usefulness31.OverviewIf the efficient markets theory and the decision theories underlying it are reasonable descriptions to reality on average, we should observe the market values of securities responding in predictable ways to new information.The degree of usefulness f

5、or investors can be measured by the extent of volume or price change following release of the information.The equating of usefulness to information content is called the information approach to decision usefulness of financial reporting, since Ball & Brown (1968).09-Sep-2205The Information Approach

6、to Decision Usefulness41.OverviewHowever, what accountants cannot do is claim that the best accounting policy is the one that produces the greatest market response. Why not?The information approach to decision usefulness is an approach to financial reporting that recognizes individuals responsibilit

7、y for predicting future firm performance and that concentrates on providing useful information for this purpose. The approach assumes securities market efficiency, recognizing that the market will react to useful information from any source, including financial statements.09-Sep-2205The Information

8、Approach to Decision Usefulness52. Outline of the Research Problem2.1 Reasons for Market Response2.2 Finding the Market Response2.3 Separating Market-Wide and Firm-Specific Factors 2.4 Comparing Returns and Income09-Sep-2205The Information Approach to Decision Usefulness62.1 Reasons for Market Respo

9、nseConsider the following predictions about investor behavior, in response to financial information:Investors have prior beliefs about a firms 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

10、decide to become more informed, by analyzing the income number.For most of this chapter we will confine financial statement information to reported net income. Why? Is there any other choice?09-Sep-2205The Information Approach to Decision Usefulness72.1 Reasons for Market ResponseConsider the follow

11、ing predictions about investor behavior, in response to financial information:Investors who have revised their beliefs about future firm performance 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

12、 increase when the firm reports its net income (Beaver, 1968). If the investors who interpret reported net income as good news outweigh those who interpret it as bad new, we would expect to observe an increase in the market price of the firms shares, and vice versa.09-Sep-2205The Information Approac

13、h to Decision Usefulness82.2 Finding the Market ResponseWhen current years reported net income first became publicly known?Using the date of the firms 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 surr

14、ounding this date.Separating good or bad news:The good or bad news in reported net income is usually evaluated relative to what investors expected. This means that researchers must obtain a proxy for what investors expected net income to be.Separating Market-wide and firm-specific factors on share r

15、eturns: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-wide and firm-specific factors on share returns.09-Sep-2205The Information Approach to Decision Usefulness92.3 Separating Market-Wide and Firm-Specific

16、 FactorThe Market model is widely used to ex post separated market-wide and firm-specific factors that affect security returns.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=(1j)Rf，E(jt)=0，jt0This abnormal return (jt) is also interpreted as the rate of return on firm js shares for time point t after removing

17、the influence of market-wide factors.09-Sep-2205The Information Approach to Decision Usefulness10Separating Market Wide and Firm Specific factors If income announcement is good news then we have a positive abnormal share return09-Sep-2205The Information Approach to Decision Usefulness122.3 Separatin

18、g Market-Wideand Firm-Specific FactorFigure 5.2:Actual return (0.0015) on firm js shares for day 0 (the day of the firms current 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 Ind

19、ustrial Average index or the S&P/TSX Composite index), and use regression analysis to estimate the coefficients (j and j) of the model. 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，Some

20、times, the dividends are omitted.Unusual, Non-recurring and Extraordinary ItemsThe extraordinary items must be fully disclosed; otherwise, the market may get an exaggerated impression of earnings persistence.The last characteristic in the definition was assed in the 1989 revision.Extraordinary items

21、 are items that result from transactions or events that have all of the following characteristics: (a) they are not expected to occur frequently over 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

22、 by management or owners. 09-Sep-2205The Information Approach to Decision Usefulness141989 revisionThis revision was designed to resolve the issue of classificatory smoothing, whereby management could smooth (or otherwise manage earnings from continuing operations by choosing to classify unusual ite

23、ms above or below the operating earnings line (Barnea, Ronen & Sadan, 1976).However, the nature of the improvement can be questionedTwo related problems arising from this revision:First, if unusual and non-recurring items are not fully disclosed, investors may overestimate the persistence of operati

24、ng 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 management.Elliott & Hanna (1996) found a significant decline in the core earnings ERC in quarters following the reporting of a large unusual

25、item. Furthermore , the ERC declined further if the firm reported numerous large special items over time. Why?09-Sep-2205The Information Approach to Decision Usefulness1509-Sep-2205The Information Approach to Decision Usefulness16Unusual, Non-Recurringand Extraordinary ItemsHierarchy of income numbe

26、rsNet income before unusual and non-recurring items, also called core earnings x xUnusual and non-recurring items x xIncome from continuing operations, also called operating income x xIncome from Discontinuing operations x xNet income x x09-Sep-2205The Information Approach to Decision Usefulness1709

27、-Sep-2205The Information Approach to Decision Usefulness18Other Comprehensive IncomePresented with Income StatementNet income from operations xxxExtraordinary itemsxxxNet incomexxxOther comprehensive incomexxxComprehensive incomexxxAlternative PresentationAs part of statement of changes in sharehold

28、ers equityLess transparent, especially if securities markets not fully efficient19202.4 Comparing Returns and Incomeresearcher can now compare the abnormal share return (market prices) on day 0 as calculated above with the unexpected component of firms current reported net income (accounting informa

29、tion).If this unexpected net income is good news (that is, a positive one), given securities market efficiency, a positive abnormal share return constitutes evidence that investors on average are reacting favorably to the expected good news in earnings.To increase the power of the investigation, the

30、 researcher may wish to similarly compare a few days on either side of day 0.2.4 Comparing Returns and IncomeIf positive and negative abnormal returns surrounding good or bad news are found to hold across a sample of firms, the researcher may conclude that predictions based on the decision theory an

31、d efficient securities market theory are supported (that is, accounting information is useful).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

32、模型比其他可选方法表现得更合理。09-Sep-2205The Information Approach to Decision Usefulness23Current Financial Statement EvidenceGNBNStateHigh0.800.20Low0.100.90（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（low earnings quality）。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（high quality）信息系统的信息含量能够被实

33、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 Events09-Sep-2205The Information Approach to Decision Usefulness2409-Sep-2205The Information Approach to Dec

34、ision Usefulness25Event StudyIt 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

35、，下次课提问自行设计一个与BB研究类似 研究构想09-Sep-2205The Information Approach to Decision Usefulness26事件及窗口 估计期窗口 事件期窗口样本（分组并归纳样本特征）估计正常和异常收益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。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

36、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09-Sep-2205The Information Approach to Decision Usefulness27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. The Ball and Brow

37、n StudyBall & Brown (BB, 1968) began a tradition of empirical markets research in accounting that continues to this day.They were the first to provide convincing scientific evidence that firms share returns respond to the information content of financial statements.4.1 Methodology and Findings4.2 Ca

38、usation Versus Association4.3 Outcomes of the BB Study09-Sep-2205The Information Approach to Decision Usefulness284.1 Methodology and FindingsBB examined a sample of 261 NYSE firms over nine years from 1957 to 1965.BB concentrated on the information content of earnings.BBs first task was to measure

39、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 versa.The next task was to evaluate the market return on the shares of the sample firms near the time of each earnings announcement. This w

40、as 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 databases in 1968)BB repeated their abnormal security market returns calculation for a wide window consisting of each of the 11 months p

41、rior to and 6 moths following the month of earnings release (month 0).09-Sep-2205The Information Approach to Decision Usefulness294.1 Methodology and FindingsAverage cumulative ones09-Sep-2205The Information Approach to Decision Usefulness304.2 Causation Versus AssociationIf a security market reacti

42、on 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 is the cause of the market reaction. It cannot be claimed that reported net income caused the abnormal returns during the 11 months lea

43、ding up to month 0. The most that can be argued is that net income and returns are associated. We will find that the association between share returns and earnings increased as the window widens (Easton, Harris & Ohlson, 1992; Warfield & Wild, 1992)09-Sep-2205The Information Approach to Decision Use

44、fulness314.3 Outcomes of the BB StudyIt opened up a large number of additional usefulness issues:Whether the magnitude of unexpected earnings is related to the magnitude of the security market response (Beaver, Clarke & Wright, 1979).Since 1968, accounting researchers have studied securities market

45、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 the information contained in new accounting standards, auditor changes, etc.Earnings response coefficients (ESC) ask

46、s a different question, namely, for a given amount of unexpected earnings, is the security market response greater for some firms than others?09-Sep-2205The Information Approach to Decision Usefulness325.Earnings Response Coefficients(ERC)5.1 Reasons for Differential Market Response5.2 Implications

47、of ERC Research5.3 Measuring Investors Earnings Expectations5.4 SummaryAn earnings response coefficients (ERC) measures the extent of a securitys abnormal market return in response to the unexpected component of reported earnings of the firm issuing that security.09-Sep-2205The Information Approach

48、to Decision Usefulness335.1 Reasons for Differential Market ResponseBetaEmpirical evidence of a lower ERC for higher-beta securities was found by Collins & Kothari (1989), and by Easton & Zmijewski (1989).Capital StructureEmpirical evidence of a lower ERC for more highly levered firms was reported b

49、y Dhaliwal, Lee & Fargher (1991).Earnings QualityThe higher earnings quality, the higher we would expected the ERC to be.Measurement of earnings quality:Earnings persistenceAccruals qualityOther reasons09-Sep-2205The Information Approach to Decision Usefulness34Earnings QualityDescription of event A

50、ctual event09-Sep-2201 Overview of Accounting Theory and its research (Qinggang Wang)35Whats meaning of window-dressing?Earnings persistenceWe would expect that the ERC will be higher the more the good or bad news in current earnings is expected to persist in to the future firm performance.Kormedi &

51、 Lipe (1987)The measure of persistence was the extent to which earnings changes of the last two years continued into the current year.Ramakrishnan & Thomas (RT, 1991)Different components of net income may have different persistence. This implies that accountants should provide lots of classification

52、 and detail on the income statement.Permanent, expected to persist indefinitely (ERC1)Transitory, affecting earnings in the current year but not future years (ERC=1)Price irrelevant, persistence of zero (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09-Sep-2205The Information Approach to Decision Usefulness36H

53、igher earnings quality High persistence of earnings and cash flowsHigh predictive ability of earnings and cash flowsHigh earnings response coefficientLow level of earnings managementMore voluntarily disclosureStrong corporate governance09-Sep-2205The Information Approach to Decision Usefulness37What

54、 should the users be aware of ? Statement users must:Understand current financial reporting settings and standards.Differences in accounting methods.Differences in accounting estimates.Differences in standards implementation.Recognize that management may manipulate the financial information.Distingu

55、ish between reliable financial statement information and poor quality information.3809-Sep-2205The Information Approach to Decision Usefulness38Accruals qualityWe would expect that a higher ERC for higher accruals quality.DeChow & Dichev (2002)Earnings quality depends primarily on the quality of wor

56、king capital accruals.To the extent current period working capital accruals show up as cash flows net period, those accruals are of high quality. A similar argument applies to last periods accruals.Evidence that firms ERCs and share prices respond positively to accrual quality as measured by this pr

57、ocedure is reported by Francis et al (2004, 2005) and Ecker et al (2006).09-Sep-2205The Information Approach to Decision Usefulness395.2 Implications of ERC ResearchImproved understanding of market response suggests ways that accountants can further improve the decision usefulness of financial state

58、ments:Lower informativeness of price for smaller firms implies that expanded disclosure for theses firms would be useful for investors, contrary to a common argument thatto expand disclosure of the nature and magnitude of financial instruments, including those that are “off-balance-sheet”.the desira

59、bility of disclosure of segment information, sinceAlso, MD&A enables the firm to communicate its growth prospect.Disclosure of the components of net income is useful for investors.09-Sep-2205The Information Approach to Decision Usefulness405.3 Measuring Investors Earnings ExpectationsUnder the ideal

60、 conditions, expected earnings is simply accretion of discount on opening firm value.When conditions are not ideal:One approach is to project the time series formed by the firms past reported net incomes, that is, to base future expectations on past performance. However, depends on earnings persiste