决策有用的信息观

Topic5TheInformationApproachtoDecisionUsefulnessTopic5TheInformationApproachtoDecisionUsefulness1.Overview2.OutlineoftheResearchProblem3.FinancialinformationandMarketResponse4.TheBallandBrownStudy5.EarningsResponseCoefficients(ERC)6.ACaveatAboutthe“Best”AccountingPolicy7.TheInformationContentofOtherFinancialStatementInformation8.Conclusions19-Jan-2321.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.19-Jan-2331.OverviewIftheefficientmarketstheoryandthedecisiontheoriesunderlyingitarereasonabledescriptionstorealityonaverage,weshouldobservethemarketvaluesofsecuritiesrespondinginpredictablewaystonewinformation.Thedegreeofusefulnessforinvestorscanbemeasuredbytheextentofvolumeorpricechangefollowingreleaseoftheinformation.Theequatingofusefulnesstoinformationcontentiscalledtheinformationapproachtodecisionusefulnessoffinancialreporting,sinceBall&Brown(1968).19-Jan-2341.OverviewHowever,whataccountantscannotdoisclaimthatthebestaccountingpolicyistheonethatproducesthegreatestmarketresponse.Whynot?Theinformationapproachtodecisionusefulnessisanapproachtofinancialreportingthatrecognizesindividualsresponsibilityforpredictingfuturefirmperformanceandthatconcentratesonprovidingusefulinformationforthispurpose.Theapproachassumessecuritiesmarketefficiency,recognizingthatthemarketwillreacttousefulinformationfromanysource,includingfinancialstatements.19-Jan-2352.OutlineoftheResearchProblem2.1ReasonsforMarketResponse2.2FindingtheMarketResponse2.3SeparatingMarket-WideandFirm-SpecificFactors2.4ComparingReturnsandIncome19-Jan-2362.1ReasonsforMarketResponseConsiderthefollowingpredictionsaboutinvestorbehavior,inresponsetofinancialinformation:Investorshavepriorbeliefsaboutafirm’sfutureperformance,thatis,…….,whichaffecttheexpectedreturnandriskofafirm’sshares.Uponreleaseofcurrentyear’snetincome,certaininvestorswilldecidetobecomemoreinformed,byanalyzingtheincomenumber.Formostofthischapterwewillconfinefinancialstatementinformationtoreportednetincome.Why?Isthereanyotherchoice?19-Jan-2372.1ReasonsforMarketResponseConsiderthefollowingpredictionsaboutinvestorbehavior,inresponsetofinancialinformation:Investorswhohaverevisedtheirbeliefsaboutfuturefirmperformanceupwardwillbeinclinedtobuythefirm’ssharesattheircurrentmarketprice,andviceversa.Wewouldexpecttoobservethevolumeofsharestradedtoincreasewhenthefirmreportsitsnetincome(Beaver,1968).Iftheinvestorswhointerpretreportednetincomeasgoodnewsoutweighthosewhointerpretitasbadnew,wewouldexpecttoobserveanincreaseinthemarketpriceofthefirm’sshares,andviceversa.19-Jan-2382.2FindingtheMarketResponseWhencurrentyear’sreportednetincomefirstbecamepubliclyknown?Usingthedateof

thefirm’snetincomewasreportedinthefinancialmediasuchasTheWallStreetJournal,andinvestigatingthereactionsinanarrowwindowofafewdayssurroundingthisdate.Separatinggoodorbadnews:Thegoodorbadnewsinreportednetincomeisusuallyevaluatedrelativetowhatinvestorsexpected.Thismeansthatresearchersmustobtainaproxyforwhatinvestorsexpectednetincometobe.SeparatingMarket-wideandfirm-specificfactorsonsharereturns:Therearealwaysmanyeventstakingplacethataffectafirm’ssharevolumeandprice.Thus,itisdesirabletoseparatetheimpactsofmarket-wideandfirm-specificfactorsonsharereturns.19-Jan-2392.3SeparatingMarket-Wide

andFirm-SpecificFactorTheMarketmodeliswidelyusedtoexpostseparatedmarket-wideandfirm-specificfactorsthataffectsecurityreturns.已实现收益等于期初预期收益αj+βjRMt加上未期望或异常收益εjt。其中：αj=(1－βj)Rf，E(εjt)=0，εjt≠0Thisabnormalreturn(εjt)isalsointerpretedastherateofreturnonfirmj’ssharesfortimepointtafterremovingtheinfluenceofmarket-widefactors.19-Jan-2310SeparatingMarketWideandFirmSpecificfactorsIfincomeannouncementisgoodnewsthenwehaveapositiveabnormalsharereturn01-Jan-23122.3SeparatingMarket-Wide

andFirm-SpecificFactorFigure5.2:Actualreturn(0.0015)onfirmj’ssharesforday0(thedayofthefirm’’scurrentearningsannouncement)isseparatedintoexpectedreturn(0.0009)andabnormalreturn(0.0006).How?ObtainthepastRjtandRMt(proxied,forexample,bytheDowJonesIndustrialAverageindexortheS&P/TSXCompositeindex),anduseregressionanalysistoestimatethecoefficients(αjandβj)ofthemodel.So,wecanpredictthereturnonfirmj’’sshareswithαj,βjandRM0RM0=(Levelofindex,endday0+Dividendsindex,day0)/(Levelofindex,beginningday0)－1，Sometimes,thedividendsareomitted.Unusual,Non-recurringandExtraordinaryItemsTheextraordinaryitemsmustbefullydisclosed;otherwise,themarketmaygetanexaggeratedimpressionofearningspersistence.Thelastcharacteristicinthedefinitionwasassedinthe1989revision.Extraordinaryitemsareitemsthatresultfromtransactionsoreventsthathaveallofthefollowingcharacteristics:(a)theyarenotexpectedtooccurfrequentlyoverseveralyears;(b)theydonottypifythenormalbusinessactivitiesoftheentity;and(c)theydonotdependprimarilyondecisionordeterminationsbymanagementorowners.01-Jan-23141989revisionThisrevisionwasdesignedtoresolvetheissueofclassificatorysmoothing,wherebymanagementcouldsmooth(orotherwisemanageearningsfromcontinuingoperationsbychoosingtoclassifyunusualitemsaboveorbelowtheoperatingearningsline(Barnea,Ronen&Sadan,1976).However,thenatureoftheimprovementcanbequestioned……Tworelatedproblemsarisingfromthisrevision:First,ifunusualandnon-recurringitemsarenotfullydisclosed,investorsmayoverestimatethepersistenceofoperatingincome;Second,andofgreaterconcern,theamountsandtimingoftherecordingofunusualandnon-recurringitemsaresubjecttostrategicmanipulationbymanagement.Elliott&Hanna(1996)foundasignificantdeclineinthecoreearningsERCinquartersfollowingthereportingofalargeunusualitem.Furthermore,theERCdeclinedfurtherifthefirmreportednumerouslargespecialitemsovertime.Why?01-Jan-231501-Jan-2316Unusual,Non-Recurring

andExtraordinaryItemsHierarchyofincomenumbersNetincomebeforeunusualandnon-recurringitems,alsocalledcoreearningsxxUnusualandnon-recurringitemsxxIncomefromcontinuingoperations,alsocalledoperatingincomexxIncomefromDiscontinuingoperationsxxNetincomexx01-Jan-231701-Jan-2318OtherComprehensiveIncomePresentedwithIncomeStatementNetincomefromoperationsxxxExtraordinaryitemsxxxNetincomexxxOthercomprehensiveincomexxxComprehensiveincomexxxAlternativePresentationAspartofstatementofchangesinshareholders’equityLesstransparent,especiallyifsecuritiesmarketsnotfullyefficient19202.4ComparingReturnsandIncomeresearchercannowcomparetheabnormalsharereturn(marketprices)onday0ascalculatedabovewiththeunexpectedcomponentoffirm’’scurrentreportednetincome(accountinginformation).Ifthisunexpectednetincomeisgoodnews(thatis,apositiveone),givensecuritiesmarketefficiency,apositiveabnormalsharereturnconstitutesevidencethatinvestorsonaveragearereactingfavorablytotheexpectedgoodnewsinearnings.Toincreasethepoweroftheinvestigation,theresearchermaywishtosimilarlycompareafewdaysoneithersideofday0.2.4ComparingReturnsandIncomeIfpositiveandnegativeabnormalreturnssurroundinggoodorbadnewsarefoundtoholdacrossasampleoffirms,theresearchermayconcludethatpredictionsbasedonthedecisiontheoryandefficientsecuritiesmarkettheoryaresupported(thatis,accountinginformationisuseful).一种复杂情情况是在公公司公告盈盈余时，公司其他特特定信息也随之而至至……简单地把这这类公司从从样本中剔剔除出去；；另一种复杂杂情况为了了区分市场场回报和公公司特定回回报，对公公司β的估计……用盈余公告告后一段期期间的数据据估计β，用其他方方法估计β和公司特定定回报，不不区分市场场回报和公公司特定回回报（Easton&Harris,1991）。并不能保证证市场模型型充分描述述产生股票票收益的实实际过程……Brown&Warner(1980)得出结论：：对于月回回报窗口，，市场模型型比其他可可选方法表表现得更合合理。01-Jan-2323CurrentFinancialStatementEvidenceGNBNStateHigh0.800.20Low0.100.90（副对角线线概率）削削弱当期财财务报表信信息和未来来公司业绩绩之间的关关系，称为为财务报表表中的噪音音（noise）或低盈余余质量（lowearningsquality）。主对角角线概率越越高，系统统越有信息息含量（informative），称为透透明（transparent）或高质量量（highquality）信息系统的的信息含量量能够被实实证检验3.FinancialinformationandMarketResponsePermanent:expectedtolastindefinitelyTransitory:affectingearringsinthecurrentyearonlyPriceIrrelevant:zeropersistencyTypesofEarningEvents01-Jan-232401-Jan-2325EventStudyItstudiesthesecuritiesmarketreactiontoaspecificevent.事件研研究是是目前前检验验半强强式有有效市市场假假说的的主要要方法法，用用来了了解资资本市市场证证券价价格与与特定定事件件之间间相关关性的的实证证研究究若此事事件有有影响响，证证券价价格波波动状状况异异于无无此事事件时时的表表现，，产生生异常常回报报应用统统计方方法检检验异异常回回报状状况，，以说说明此此事件件是否否对证证券价价格有有影响响常用事件:公司盈余公公告、新股股发行、增增发和配股股、股票回回购或分割割、股利分分配、兼并并收购、盈盈利预测，，以及宏观观经济政策策变化公告告等Ball&Brown(BB,1968)study课后自学，，下次课提提问自行设计一一个与BB研究类似研研究构想想01-Jan-2326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选择没有固固定标准，，但数据的的可得性会会制约窗口口长短选择择。短窗口口从几分钟钟到几天，，长窗口可可能涉及几几个月到几几年短窗口容易易避免事件件窗内其他他事件对证证券价格的的影响，但但短窗口可可能错误估估计事件窗窗内预期收收益率，而而且有些事事件的滞后后影响可能能是短窗口口所不能捕捕获的。因因此，近年年来长窗口口比较流行行，但长窗窗口也存在在着诸如遗遗漏风险因因素并错误误计量风险险、幸存者者偏差和数数据挖掘偏偏差等数据据问题及统统计推断问问题正常收益，，假设不发发生此事件件的预期收收益，常用用计算模型型：市场模模型、均值值调整模型型、市场调调整模型异常收益，事事件期间内证证券实际收益益与同期正常常收益的差01-Jan-2327事件件研研究究法法是是指指运运用用股股票票收收益益率率数数据据来来测测定定某某一一特特定定经经济济事事件件对对公公司司价价值值的的影影响响。。事事件件研研究究法法先先利利用用估估计计期期,估计计出出事事件件日日的的期期望望收收益益,由事事件件期期的的实实际际收收益益扣扣除除期期望望收收益益得得到到非非正正常常收收益益,再检检验验样样本本平平均均非非正正常常收收益益是是否否显显著著区区别别于于原原假假设设。。事事件件日日的的期期望望收收益益可可以以由由均均值值调调整整模模型型、、市市场场调调整整模模型型和和市市场场模模型型来来估估计计。。4.TheBallandBrownStudyBall&Brown(BB,1968)beganatraditionofempiricalmarketsresearchinaccountingthatcontinuestothisday.Theywerethefirsttoprovideconvincingscientificevidencethatfirms’’sharereturnsrespondtotheinformationcontentoffinancialstatements.4.1MethodologyandFindings4.2CausationVersusAssociation4.3OutcomesoftheBBStudy01-Jan-23284.1MethodologyandFindingsBBexaminedasampleof261NYSEfirmsovernineyearsfrom1957to1965.BBconcentratedontheinformationcontentofearnings.BB’sfirsttaskwastomeasuretheinformationcontentofearnings,thatis,goodnews(GN)andbadnews(BN)……….Thus,firmswithearningshigherthanlastyear’’swereclassifiedasGN,andviceversa.Thenexttaskwastoevaluatethemarketreturnonthesharesofthesamplefirmsnearthetimeofeachearningsannouncement.ThiswasdownaccordingtotheabnormalreturnsprocedureillustratedinFigure5.2.TheonlydifferencewasBBusedmonthlyreturns(dailyreturnswerenotavailableondatabasesin1968)BBrepeatedtheirabnormalsecuritymarketreturnscalculationforawidewindowconsistingofeachofthe11monthspriortoand6mothsfollowingthemonthofearningsrelease(month0).01-Jan-23294.1MethodologyandFindingsAveragecumulativeones01-Jan-23304.2CausationVersusAssociationIfasecuritymarketreactiontoaccountinginformationisobservedduringanarrowwindowofafewdayssurroundinganearningsannouncement,itcanbearguedthattheaccountinginformationisthecauseofthemarketreaction.Itcannotbeclaimedthatreportednetincomecausedtheabnormalreturnsduringthe11monthsleadinguptomonth0.Themostthatcanbearguedisthatnetincomeandreturnsareassociated.Wewillfindthattheassociationbetweensharereturnsandearningsincreasedasthewindowwidens(Easton,Harris&Ohlson,1992;Warfield&Wild,1992)01-Jan-23314.3OutcomesoftheBBStudyItopenedupalargenumberofadditionalusefulnessissues:Whetherthemagnitudeofunexpectedearningsisrelatedtothemagnitudeofthesecuritymarketresponse(Beaver,Clarke&Wright,1979).Since1968,accountingresearchershavestudiedsecuritiesmarketresponsetonetincomeonotherstockexchanges,inothercountries,andforquarterlyearningsreports,withsimilarresults.Theapproachhasbeenappliedtostudymarketresponsetotheinformationcontainedinnewaccountingstandards,auditorchanges,etc.Earningsresponsecoefficients(ESC)asksadifferentquestion,namely,foragivenamountofunexpectedearnings,isthesecuritymarketresponsegreaterforsomefirmsthanothers?01-Jan-23325.EarningsResponseCoefficients(ERC)5.1ReasonsforDifferentialMarketResponse5.2ImplicationsofERCResearch5.3MeasuringInvestors’EarningsExpectations5.4SummaryAnearningsresponsecoefficients(ERC)measurestheextentofasecurity’sabnormalmarketreturninresponsetotheunexpectedcomponentofreportedearningsofthefirmissuingthatsecurity.01-Jan-23335.1ReasonsforDifferentialMarketResponseBetaEmpiricalevidenceofalowerERCforhigher-betasecuritieswasfoundbyCollins&Kothari(1989),andbyEaston&Zmijewski(1989).CapitalStructureEmpiricalevidenceofalowerERCformorehighlyleveredfirmswasreportedbyDhaliwal,Lee&Fargher(1991).EarningsQualityThehigherearningsquality,thehigherwewouldexpectedtheERCtobe.Measurementofearningsquality:EarningspersistenceAccrualsqualityOtherreasons01-Jan-2334EarningsQualityDescriptionofeventActualevent01-Jan-2335What’’smeaningofwindow-dressing?EarningspersistenceWewouldexpectthattheERCwillbehigherthemorethegoodorbadnewsincurrentearningsisexpectedtopersistintothefuturefirmperformance.Kormedi&Lipe(1987)Themeasureofpersistencewastheextenttowhichearningschangesofthelasttwoyearscontinuedintothecurrentyear.Ramakrishnan&Thomas(RT,1991)Differentcomponentsofnetincomemayhavedifferentpersistence.Thisimpliesthataccountantsshouldprovidelotsofclassificationanddetailontheincomestatement.Permanent,expectedtopersistindefinitely(ERC>1)Transitory,affectingearningsinthecurrentyearbutnotfutureyears(ERC=1)Price––irrelevant,persistenceofzero(ERC=0)成功功引引进进新新产产品品，，处处置置产产房房和和设设备备，，资资本本化化开开办办费费，，注注销销研研究究费费………01-Jan-2336HigherearningsqualityHighpersistenceofearningsandcashflowsHighpredictiveabilityofearningsandcashflowsHighearningsresponsecoefficientLowlevelofearningsmanagementMorevoluntarilydisclosureStrongcorporategovernance01-Jan-2337Whatshouldtheusersbeawareof?Statementusersmust:Understandcurrentfinancialreportingsettingsandstandards.Differencesinaccountingmethods.Differencesinaccountingestimates.Differencesinstandardsimplementation.Recognizethatmanagementmaymanipulatethefinancialinformation.Distinguishbetweenreliablefinancialstatementinformationandpoorqualityinformation.3801-Jan-2338AccrualsqualityWewouldexpectthatahigherERCforhigheraccrualsquality.DeChow&Dichev(2002)Earningsqualitydependsprimarilyonthequalityofworkingcapitalaccruals.Totheextentcurrentperiodworkingcapitalaccrualsshowupascashflowsnetperiod,thoseaccrualsareofhighquality.Asimilarargumentappliestolastperiod’’saccruals.Evidencethatfirm’’sERCsandsharepricesrespondpositivelytoaccrualqualityasmeasuredbythisprocedureisreportedbyFrancisetal(2004,2005)andEckeretal(2006).01-Jan-23395.2ImplicationsofERCResearchImprovedunderstandingofmarketresponsesuggestswaysthataccountantscanfurtherimprovethedecisionusefulnessoffinancialstatements:Lowerinformativenessofpriceforsmallerfirmsimpliesthatexpandeddisclosureforthesesfirmswouldbeusefulforinvestors,contrarytoacommonargumentthat…………toexpanddisclosureofthenatureandmagnitudeoffinancialinstruments,includingthosethatare““off-balance-sheet””.……thedesirabilityofdisclosureofsegmentinformation,since………Also,MD&Aenablesthefirmtocommunicateitsgrowthprospect.Disclosureofthecomponentsofnetincomeisusefulforinvestors.01-Jan-23405.3MeasuringInvestors’EarningsExpectationsUndertheidealconditions,expectedearningsissimplyaccretionofdiscountonopeningfirmvalue.Whenconditionsarenotideal:Oneapproachistoprojectthetimeseriesformedbythefirm’spastreportednetincomes,thatis,tobasefutureexpectationsonpastperformance.However,dependsonearningspersistence.Ifearningsare100%persistent,expectedearningsarejustlastyear’sactualearnings,thenunexpectedearningsarethechange(Ball&Brown,1968);Ifearningsare0persistent,unexpectedearningsareequaltothelevelofcurrentyear’’searnings(BillCautions,Example3.1);Easton&Harris(1991)foundbothchangesinandlevelsofnetincomearecomponentsofthemarket’searningsexpectation.(Tobecontinued……)01-Jan-23415.3MeasuringInvestors’EarningsExpectationsUndertheidealconditions,expectedearningsissimplyaccretionofdiscountonopeningfirmvalue.Whenconditionsarenotideal:Anothersourceofearningsexpectationsisanalysts’forecasts.Sincerationalinvestorswillpresumablyusethemostaccurateforecast.Analysts’forecastsaremoreaccuratethantimeseriesforecasts(Brownetal,1987;O’Brien,1988);Thesinglemostrecentearningsforecastprovidedamoreaccurateearningspredictionthantheaverageforecastofallanalystsfollowingthefirm(O’’Brien,1988);Analysts’forecastsareoptimistically,althoughthebiasmayhencedecreasedinrecentyears(Kothari,2001).01-Jan-23425.4SummaryTheinformationcontentofnetincomecanbemeasuredbytheextentofsecuritypricechangeor,morespecifically,bythesizeofthesecurity’’sabnormalmarketreturn,aroundthetimethemarketlearnsthecurrentnetincome.Foragivenamountofunexpectednetincome,theextentofsecuritypricechangeorabnormalreturnsdependsonfactorssuchas…………Theempiricalresultsarereallyquiteremarkable.First,theyhaveovercomesubstantialstatisticalandexperimentaldesignpreambles;Second,theysupportsthetheoryofsecuritiesmarketefficiencyandthedecisiontheoriesthatunderlieit.Finally,theysupportthedecisionusefulnessapproachtofinancialreporting.01-Jan-23436.ACaveatAboutthe““Best””AccountingPolicyHowever,whataccountantscannotdoisclaimthatthebestaccountingpolicyistheonethatproducesthegreatestmarketresponse.Whynot?Thereasonisthatinformationhascharacteristicsofapublicgood.Asaresult,investorsmayperceiveaccountinginformationasusefuleventhoughfromsociety’’sstandpointthecostsofthisinformationoutweighthebenefitstoinvestors.Itisstilltruethataccountantscanbeguidedbymarketresponsetomaintainandimprovetheircompetitivepositionassupplierstothemarketplaceforinformation.Itisalsotruethatsecuritiesmarketswillworkbettertotheextentsecuritypricesprovidegoodindicationsofunderlyingrealinvestmentopportunities.However,thesesocialconsiderationsdosuggestthat,asageneralrule,accountingstandardsettingbodiesshouldbewaryofusingsecuritiesmarketresponsetoguidetheirdecisions.01-Jan-23447.TheInformationContentofOtherFinancialStatementInformationEvidenceofusefulnessismixed:Magliolo(1