05决策有用的信息观和ASMS3000决策分析平台

Topic5TheInformationApproachtoDecisionUsefulnessTopic5TheInformationApproachtoDecisionUsefulness1.Overview2.OutlineoftheResearchProblem3.FinancialinformationandMarketResponse4.TheBallandBrownStudy5.EarningsResponseCoefficients(ERC)6.ACaveatAboutthe“Best”AccountingPolicy7.TheInformationContentofOtherFinancialStatementInformation8.Conclusions27-May-2305TheInformationApproachtoDecisionUsefulness21.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.27-May-2305TheInformationApproachtoDecisionUsefulness31.OverviewIftheefficientmarketstheoryandthedecisiontheoriesunderlyingitarereasonabledescriptionstorealityonaverage,weshouldobservethemarketvaluesofsecuritiesrespondinginpredictablewaystonewinformation.Thedegreeofusefulnessforinvestorscanbemeasuredbytheextentofvolumeorpricechangefollowingreleaseoftheinformation.Theequatingofusefulnesstoinformationcontentiscalledtheinformationapproachtodecisionusefulnessoffinancialreporting,sinceBall&Brown(1968).27-May-2305TheInformationApproachtoDecisionUsefulness41.OverviewHowever,whataccountantscannotdoisclaimthatthebestaccountingpolicyistheonethatproducesthegreatestmarketresponse.Whynot?Theinformationapproachtodecisionusefulnessisanapproachtofinancialreportingthatrecognizesindividualsresponsibilityforpredictingfuturefirmperformanceandthatconcentratesonprovidingusefulinformationforthispurpose.Theapproachassumessecuritiesmarketefficiency,recognizingthatthemarketwillreacttousefulinformationfromanysource,includingfinancialstatements.27-May-2305TheInformationApproachtoDecisionUsefulness52.OutlineoftheResearchProblem2.1ReasonsforMarketResponse2.2FindingtheMarketResponse2.3SeparatingMarket-WideandFirm-SpecificFactors2.4ComparingReturnsandIncome27-May-2305TheInformationApproachtoDecisionUsefulness62.1ReasonsforMarketResponseConsiderthefollowingpredictionsaboutinvestorbehavior,inresponsetofinancialinformation:Investorshavepriorbeliefsaboutafirm’sfutureperformance,thatis,…….,whichaffecttheexpectedreturnandriskofafirm’sshares.Uponreleaseofcurrentyear’snetincome,certaininvestorswilldecidetobecomemoreinformed,byanalyzingtheincomenumber.Formostofthischapterwewillconfinefinancialstatementinformationtoreportednetincome.Why?Isthereanyotherchoice?27-May-2305TheInformationApproachtoDecisionUsefulness72.2FindingtheMarketResponseWhencurrentyear’sreportednetincomefirstbecamepubliclyknown?Usingthedateof

thefirm’snetincomewasreportedinthefinancialmediasuchasTheWallStreetJournal,andinvestigatingthereactionsinanarrowwindowofafewdayssurroundingthisdate.Separatinggoodorbadnews:Thegoodorbadnewsinreportednetincomeisusuallyevaluatedrelativetowhatinvestorsexpected.Thismeansthatresearchersmustobtainaproxyforwhatinvestorsexpectednetincometobe.SeparatingMarket-wideandfirm-specificfactorsonsharereturns:Therearealwaysmanyeventstakingplacethataffectafirm’ssharevolumeandprice.Thus,itisdesirabletoseparatetheimpactsofmarket-wideandfirm-specificfactorsonsharereturns.27-May-2305TheInformationApproachtoDecisionUsefulness92.3SeparatingMarket-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.27-May-2305TheInformationApproachtoDecisionUsefulness10SeparatingMarketWideandFirmSpecificfactorsIfincomeannouncementisgoodnewsthenwehaveapositiveabnormalsharereturn27-May-2305TheInformationApproachtoDecisionUsefulness122.3SeparatingMarket-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.27-May-2305TheInformationApproachtoDecisionUsefulness1427-May-2305TheInformationApproachtoDecisionUsefulness16Unusual,Non-Recurring

andExtraordinaryItemsHierarchyofincomenumbersNetincomebeforeunusualandnon-recurringitems,alsocalledcoreearnings xxUnusualandnon-recurringitems xxIncomefromcontinuingoperations,alsocalledoperatingincome

xxIncomefromDiscontinuingoperationsxxNetincome xx27-May-2305TheInformationApproachtoDecisionUsefulness1727-May-2305TheInformationApproachtoDecisionUsefulness18OtherComprehensiveIncomePresentedwithIncomeStatementNetincomefromoperations xxxExtraordinaryitems xxxNetincome xxxOthercomprehensiveincome xxxComprehensiveincome xxxAlternativePresentationAspartofstatementofchangesinshareholders’equityLesstransparent,especiallyifsecuritiesmarketsnotfullyefficient19202.4ComparingReturnsandIncomeresearchercannowcomparetheabnormalsharereturn(marketprices)onday0ascalculatedabovewiththeunexpectedcomponentoffirm’scurrentreportednetincome(accountinginformation).Ifthisunexpectednetincomeisgoodnews(thatis,apositiveone),givensecuritiesmarketefficiency,apositiveabnormalsharereturnconstitutesevidencethatinvestorsonaveragearereactingfavorablytotheexpectedgoodnewsinearnings.Toincreasethepoweroftheinvestigation,theresearchermaywishtosimilarlycompareafewdaysoneithersideofday0.27-May-2305TheInformationApproachtoDecisionUsefulness23CurrentFinancialStatementEvidenceGNBNStateHigh0.800.20Low0.100.90（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（lowearningsquality）。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（highquality）信息系统的信息含量能够被实证检验3.FinancialinformationandMarketResponsePermanent:expectedtolastindefinitelyTransitory:affectingearringsinthecurrentyearonlyPriceIrrelevant:zeropersistencyTypesofEarningEvents27-May-2305TheInformationApproachtoDecisionUsefulness2427-May-2305TheInformationApproachtoDecisionUsefulness26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27-May-2305TheInformationApproachtoDecisionUsefulness27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。4.1MethodologyandFindingsBBexaminedasampleof261NYSEfirmsovernineyearsfrom1957to1965.BBconcentratedontheinformationcontentofearnings.BB’sfirsttaskwastomeasuretheinformationcontentofearnings,thatis,goodnews(GN)andbadnews(BN)…….Thus,firmswithearningshigherthanlastyear’swereclassifiedasGN,andviceversa.Thenexttaskwastoevaluatethemarketreturnonthesharesofthesamplefirmsnearthetimeofeachearningsannouncement.ThiswasdownaccordingtotheabnormalreturnsprocedureillustratedinFigure5.2.TheonlydifferencewasBBusedmonthlyreturns(dailyreturnswerenotavailableondatabasesin1968)BBrepeatedtheirabnormalsecuritymarketreturnscalculationforawidewindowconsistingofeachofthe11monthspriortoand6mothsfollowingthemonthofearningsrelease(month0).27-May-2305TheInformationApproachtoDecisionUsefulness294.1MethodologyandFindingsAveragecumulativeones27-May-2305TheInformationApproachtoDecisionUsefulness305.EarningsResponseCoefficients(ERC)5.1ReasonsforDifferentialMarketResponse5.2ImplicationsofERCResearch5.3MeasuringInvestors’EarningsExpectations5.4SummaryAnearningsresponsecoefficients(ERC)measurestheextentofasecurity’sabnormalmarketreturninresponsetotheunexpectedcomponentofreportedearningsofthefirmissuingthatsecurity.27-May-2305TheInformationApproachtoDecisionUsefulness33EarningsQualityDescriptionofeventActualevent27-May-2301OverviewofAccountingTheoryanditsresearch(QinggangWang)35What’smeaningofwindow-dressing?HigherearningsqualityHighpersistenceofearningsandcashflowsHighpredictiveabilityofearningsandcashflowsHighearningsresponsecoefficientLowlevelofearningsmanagementMorevoluntarilydisclosureStrongcorporategovernance27-May-2305TheInformationApproachtoDecisionUsefulness37Whatshouldtheusersbeawareof?Statementusersmust:Understandcurrentfinancialreportingsettingsandstandards.Differencesinaccountingmethods.Differencesinaccountingestimates.Differencesinstandardsimplementation.Recognizethatmanagementmaymanipulatethefinancialinformation.Distinguishbetweenreliablefinancialstatementinformationandpoorqualityinformation.3827-May-2305TheInformationApproachtoDecisionUsefulness385.2ImplicationsofERCResearchImprovedunderstandingofmarketresponsesuggestswaysthataccountantscanfurtherimprovethedecisionusefulnessoffinancialstatements:Lowerinformativenessofpriceforsmallerfirmsimpliesthatexpandeddisclosureforthesesfirmswouldbeusefulforinvestors,contrarytoacommonargumentthat…………toexpanddisclosureofthenatureandmagnitudeoffinancialinstruments,includingthosethatare“off-balance-sheet”.……thedesirabilityofdisclosureofsegmentinformation,since……Also,MD&Aenablesthefirmtocommunicateitsgrowthprospect.Disclosureofthecomponentsofnetincomeisusefulforinvestors.27-May-2305TheInformationApproachtoDecisionUsefulness405.3MeasuringInvestors’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……)27-May-2305TheInformationApproachtoDecisionUsefulness415.3MeasuringInvestors’EarningsExpectationsUndertheidealconditions,expectedearningsissimplyaccretionofdiscountonopeningfirmvalue.Whenconditionsarenotideal:Anothersourceofearningsexpectationsisanalysts’forecasts.Sincerationalinvestorswillpresumablyusethemostaccurateforecast.Analysts’forecastsaremoreaccuratethantimeseriesforecasts

(Brownetal,1987;O’Brien,1988);Thesinglemostrecentearningsforecastprovidedamoreaccurateearningspredictionthantheaverageforecastofallanalystsfollowingthefirm(O’Brien,1988);Analysts’forecastsareoptimistically,althoughthebiasmayhencedecreasedinrecentyears(Kothari,2023).27-May-2305TheInformationApproachtoDecisionUsefulness425.4SummaryTheinformationcontentofnetincomecanbemeasuredbytheextentofsecuritypricechangeor,morespecifically,bythesizeofthesecurity’sabnormalmarketreturn,aroundthetimethemarketlearnsthecurrentnetincome.Foragivenamountofunexpectednetincome,theextentofsecuritypricechangeorabnormalreturnsdependsonfactorssuchas……Theempiricalresultsarereallyquiteremarkable.First,theyhaveovercomesubstantialstatisticalandexperimentaldesignpreambles;Second,theysupportsthetheoryofsecuritiesmarketefficiencyandthedecisiontheoriesthatunderlieit.Finally,theysupportthedecisionusefulnessapproachtofinancialreporting.27-May-2305TheInformationApproachtoDecisionUsefulness436.ACaveatAboutthe“Best”AccountingPolicyHowever,whataccountantscannotdoisclaimthatthebestaccountingpolicyistheonethatproducesthegreatestmarketresponse.Whynot?Thereasonisthatinformationhascharacteristicsofapublicgood.Asaresult,investorsmayperceiveaccountinginformationasusefuleventhoughfromsociety’sstandpointthecostsofthisinformationoutweighthebenefitstoinvestors.Itisstilltruethataccountantscanbeguidedbymarketresponsetomaintainandimprovetheircompetitivepositionassupplierstothemarketplaceforinformation.Itisalsotruethatsecuritiesmarketswillworkbettertotheextentsecuritypricesprovidegoodindicationsofunderlyingrealinvestmentopportunities.However,thesesocialconsiderationsdosuggestthat,asageneralrule,accountingstandardsettingbodiesshouldbewaryofusingsecuritiesmarketresponsetoguidetheirdecisions.27-May-2305TheInformationApproachtoDecisionUsefulness448.ConclusionsThesecuritiesmarketresponsetoreportednetincomeisimpressiveintermsofitssophistication.ResultsofempiricalresearchinthisareasupportstheEMStheoryandunderlyingdecisiontheories.Themarketdoesnotseemtorespondtootherfinancialstatementinformationasstronglyasitdoestoearningsinformation.Theessenceofinformationapproachisthatinvestorsareviewedasattemptingtopredictfuturereturnsfromtheirinvestments.Theyseekallrelevantinformationinthisregard,notjustaccountinginformation.27-May-2305TheInforma