03财务报告的决策有用性

22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting1Topic3TheDecisionUsefulnessApproachtoFinancialReportingTopic3TheDecisionUsefulnessApproachtoFinancialReporting1.Overview2.TheDecisionUsefulnessApproach3.Objectiveoffinancialreporting4.TheDecisionMaking5.Single-PersonDecisionTheory6.TheRational,Risk-AverseInvestor7.ThePrincipleofPortfolioDiversification8.TheOptimalInvestmentDecision22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting21.Overview22-Jan-2401OverviewofAccountingTheoryanditsresearch(QinggangWang)3Themostusefulmeasureofnetincometoinforminvestors(tocontroladverseselection)neednotbethesameasthebestmeasuretomotivatemanagerperformance(tocontrolmoralhazard).(Gjesdal,1981)InforminvestorsMotivatemanagersInformationthatenablesbetterinvestmentdecisions,currentvalueaccountingInformationthatishighlyinformativeabouttheirperformance,alessvolatileandmoreconservativeincomemeasure,suchasonebasedonhistoricalcostThefundamentalproblemoffinancialaccountingtheoryishowtodesignandimplementconceptsandstandardsthatbesttradeofftheinvestor-informingandmanagerperformance–evaluatingrolesforaccountinginformation.1.OverviewGiventhatthemixedmeasurementmodelretainshistoricalcostaccountingformajorclassesofassetsandliabilities:Thepresentvaluemodelfacessomesevereproblemsinpractices;Historicalcostaccountingproducesrelativelyreliableinformation,eventhoughhistoricalisnotasrelevantaspresentvalueormarket-basedapproachestocurrentvalue.Howcanfinancialstatementsbemademoreuseful?Thisleadstotheconceptofdecisionusefulness.Toproperlyunderstandthisconcept,weneedtoconsiderothertheoriesfromeconomicsandfinance.Decisiontheories;andCapitalmarkettheories.Themainpurposeofthischapteristointroduceyoutosomeofthesetheoriesandtodiscusstheirrelevancetoaccounting.2.TheDecisionUsefulnessApproachHistoricalPerspective1966,AAA:AStatementofBasicAccountingTheory1973,AICPATruebloodCommission:ObjectivesofFinancialstatementsContrastiveapproach:Stewardship(Chapter8)Inadoptingthedecisionusefulnessapproach,twomajorquestionsmustbeaddressed:Firs,whoaretheusersoffinancialstatements?ConstituenciesSecond,whatarethedecisionproblemsoffinancialstatementusers?22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting62.TheDecisionUsefulnessApproachItistheinvestor’sresponsibilitytomakeinvestmentdecisionsRoleoffinancialreportingistosupplyinformationthatisusefulforthispurposeInformationisevidencethathasthepotentialtoaffectanindividual’sdecisiontheGNorBNinthefinancialstatements22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting72.TheDecisionUsefulnessApproachToprepareusefulinformation,theaccountantmustknowhowinvestorsmakedecisionsRoleoftherationaldecisiontheorymodelinfinancialreportingHelpsusunderstandhowfinancialstatementinformationhelpsinvestorstomakeinvestmentdecisionsCapturesaverageinvestorbehaviour?22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting82.TheDecisionUsefulnessApproachPriorprobabilitiesaresubjectiveInvestorassessesthembasedonallinformationavailablepriortotheinvestmentdecisionIfpriorprobabilitiesaresubjective,soareposteriorprobabilitiesHowever,iffinancialstatementinformationisinformative,posteriorprobabilitiesarebetterpredictorsoffuturefirmperformancethanpriorprobabilitiesHowisfinancialstatementinformationuseful?ProcessofcommunicationCompany’sactivitiesFinancial

ReportingUserperception3.ObjectiveofFinancialStatementEssentialcharacteristicsofaccountingare:theidentification,measurement,andcommunicationoffinancialinformationabouteconomicentitiestointerestedparties. IdentificationofUsersUserInformationNeedsAccountingSystemReportsEconomicDataandActivitiesUserDecisionsAccounting—AnInformationProcess1111113.ObjectiveoffinancialreportingPrimaryusers:existingandpotentialinvestors,lenders,andothercreditorsbuying,sellingorholdingequityanddebtinstrumentsdividends,principalandinterestpaymentsormarketpriceincreases.meettheneedsofthemaximumnumberofprimaryusers.Regulators?Management?1212123.Objectiveoffinancialreportingprovidefinancialinformationthatisusefultousersinmakingdecisionsaboutprovidingresourcestotheentityarenotdesignedtoshowthevalueofareportingentity;buttheyprovideinformationtohelpuserstoestimatethevalueofthereportingentity.assessmentoftheamount,timing,anduncertaintyoffuturenetcashinflowstotheentityHowtodefinetheconceptofassets,andliabilities?1313133.ObjectiveoffinancialreportingUsefulinformationtheresources,claims,andchangesinthoseresourcesandclaimsFinancialperformanceaccrualaccountingVScashflowsChangesinresourcesandclaimsnotresultingfromfinancialperformanceInformationabouttheefficiencyandeffectivenessoftheuseofresourcesdonotandcannotprovidealloftheinformationusersneedtoconsiderpertinentinformationfromothersources,eg,generaleconomicconditionsandexpectations,politicaleventsandpoliticalclimate,andindustryandcompanyoutlooks.Illustration2-2HierarchyofAccountingQualities4.TheDecisionMakingAccountantshavedecidedthatinvestorsareamajorconstituencyofusersandhaveturnedtovarioustheoriesofdecisionandinvestment:Single-persondecisiontheoryTounderstandhowindividualsmaymakerationaldecisionsunderuncertainty.TheoryofinvestmentAspecializationofdecisiontheorytomodelthedecisionprocessesofarationalinvestor;tounderstandthenatureofriskinportfolioinvestmentcontext.22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting164.1Decision-MakingEnvironmentsCertaintyreferstoadecisionenvironmentinwhichtheresultsofselectingeachalternativeareknownbeforethedecisionismade.UncertaintyreferstoadecisionenvironmentinwhichthedecisionmakerdoesnotknowwhatoutcomewilloccurwhenanalternativeisselectedThegoalofdecisionanalysisistofocusonmakinggooddecisions,whichinthelongrunshouldresultinanincreasednumberofgoodoutcomes4.2Decisionmakingprocess22-Jan-2401OverviewofAccountingTheoryanditsresearch(QinggangWang)17InformationPredictionDecisionOutcomeConfirmatoryrolePredictiveroleAccountingInformationSystemUserPredictionModelUserDecisionModel22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting184.2BasicDecisionProcessIdentifyGoalsIdentifyDecisionNeedIdentifyProblemSpecifyAlternativesSpecifyDecisionModelChooseActionExperienceConsequences22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting195.Single-PersonDecisionTheoryIttakestheviewpointofanindividualwhomustmakeadecisionunderconditionsofuncertainty.stateprobabilitiesarenolongerobjectivesetsoutaformalprocedurewherebytheindividualcanmakethebestdecision,byselectingfromasetofalternatives.Additionalinformationcanbeobtainedtorevisethedecision-maker’ssubjectiveassessmentoftheprobabilitiesofwhatmighthappenafterthedecisionismade.22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting205.Single-PersonDecisionTheoryTherationalinvestorOptimalforecasts(thebestguessofthefuture)usingallavailableinformation,but…..NeedsinformationaboutriskaswellasexpectedreturnCanexpressclearpreferencesamongcommoditiesPrefersmoretolessPreferencesarealwaystransitiveA>B,andB>C,thenA>CA<B,andB<C,thenA<CA=B,andB=C，thenA=C22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting215.Single-PersonDecisionTheorytheRationalInvestorMaximizesexpectedutilityMayberiskaverse,Then,willdiversifyPortfoliotheory22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting22RealPeoplePeoplecan’talwaysexpresspreferencesamongcommoditiesPeopledon’talwayspreferthecheaptotheexpensivePreferencesarenotalwaystransitiveEconomicagentsrarely,ifever,actonthebasisofcompleteinformationEconomicagentsdonot,ingeneral,maximizetheirpreferencesPreferencesarenotstableovertime22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting236.DecisionTheoryModelDecisiontheoryisimportantbecauseithelpsustounderstandwhyinformationissuchapowerfulcommodity-itcanaffecttheactionstakenbyinvestors.AmodelofrationaldecisionmakinginthefaceofuncertaintyAnotherexampleof“analyticalresearch〞MakessimplifyingassumptionsRational“economicman〞approachPerfectlyspecifieddecisionprocessConceptofan“InformationSystem〞canbeintroducedandmodeled一切买卖的本质都是信息的买卖22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting24ProbabilitiesPriorprobability先验概率：在实验或实验之前得到的概率，又称为数学概率Conditionalprobabilities条件概率P(A|B)：在事件B曾经发生的条件下，事件A发生的概率Posteriorstateprobabilities后验概率：在实验或实验之后得到的概率，又称为阅历概率Bayes’theorem22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting25Bayes’TheoremAdevicetorevisestateprobabilitiesuponreceiptofnewevidenceθisstateofnaturemismessagereceivedP(θ)ispriorprobabilityofθ(subjective)FormulaThomasBayesBorn:1702inLondonDied:17Apr.176122-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting26Bayes’TheoremAppliedto

AccountingInformationθisstateoffirmθ1=H=highfuturefirmperformanceθ2=L=lowfuturefirmperformancemisevidencereceivedfromthefinancialstatementsm1=GN=netincomeshowsgoodnewsm2=BN=netincomeshowsbadnewsSupposeGNisreceived:InformationhaspredictivevalueGN:Actualearnings>ExpectedearningsBG:Actualearnings<Expectedearnings22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting27ShowsEvidenceProbabilities,Conditional

onEachState,forInputintoBayes’Theorem

CurrentFinancialStatementEvidenceTotalGNBNStateofNature

HP(GN/H)P(BN/H)1LP(GN/L)P(BN/L)122-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting28Consideraninvestorwith$10,000toinvestinoneofthefollowingmutuallyexclusiveacts: a1:buysharesofxLtd.For$10,000 a2:buyCanadaSavingsBonds(CSB)for$10,000Lettherebe3“statesofnature〞: θ1:sharesfall10%inmarketvalue θ2:sharesholdsteady θ3:sharesrise80%Example22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting29Example,con’tPayoffTable PriorProbabilitiesOutcomeθ1θ2θ3a1-100008000a2100010001000P(θ1)=.05P(θ2)=.70P(θ3)=.25 1.0022-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting30Example,con’tAssumetheinvestorusesexpectedmonetaryvalueasadecisioncriterion(EMV) EMV(a1):(.05)(-1000)+0+.25(8000)=1950 EMV(a2):(.05)(1000)+.70(1000)+.25(1000)=1000Therefore,ifinvestoractsnow,shouldtakea1.But:Maybeworthwhiletosecureadditionalinformation.22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting31DecisionProblemThinkofthefinancialstatementsofXLtd.asaninformationsystemconveyinginformationaboutprobabilitiesofθ.Assumethefinancialstatementswillgiveoneofthefollowing3mutuallyexclusivemessages:

22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting32BayesTheorem(Rule)ThebasicprincipleofBayes'Theoremisthatadditionalinformationcanchangeadecisionmaker’spriorbeliefsabouttheoccurrenceofanevent22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting33DecisionProblem,Cont.Theinformationsystemcanbecharacterizedbythefollowingtable:P(θ)P(m1/θ)P(m2/θ)P(m3/θ)θ1P(θ1)=.05.75.20.05θ2P(θ2)=.70.50.30.20θ3P(θ3)=.25.10.20.70Theseconditionalprobabilities,orlikelihoods,aretheprobabilitiesofreceivingthevariousmessagesconditionaloneachstatebeingtrue.22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting34DecisionProblem,Cont.Now,foranymessage,thedecisionmakercanrevisehis/herpriorprobabilitiesusingBayes’Theorem.Supposethatm1wasreceivedfromthefinancialstatements.=P(m1)=.05×.75+.70×.5+.25×.10=.4125=.85=.061.00Then:Similarly:22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting35DecisionProblem,Cont.NotetheEMVofeachactisSoifm1werereceivedacta2wouldbechosen.22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting36DecisionProblem,Cont.Youshouldverifythatifm2wasreceived:whereAndtheoptionalactisthena1withEMVof$1444.60.0370×(-1000)+0.7778×0+0.1852×8000=1444.622-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting37DecisionProblem,Cont.Similarly,ifm3wasreceived:whereAndtheoptionalactisthena1withEMVof$4401.70.0079×(-1000)+0.4409×0+0.5512×8000=4401.77.TheRational,Risk-AverseInvestorRiskUtilityFunctionTomodelriskaversion,decisiontheoristsusethedeviceofautilityfunction,whichrelatespayoffamountstothedecision-maker’sutility确定性决策：能获得确定结果的决策不确定性决策：不能获得确定结果的决策确定性等价：具有与某项决策的成效期望值相等成效确实定性决策22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting39RiskPreferenceAttitudes$0$2,000$4,000$6,000$8,000$10,00000.250.500.751-$2,000Risk-NeutralPreferenceFunction确定性等价的成效等于确定性决策的成效成效线是直线不要求风险补偿，预期收益率等于无风险利率22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting40RiskPreferenceAttitudes$0$2,000$4,000$6,000$8,000$10,00000.250.500.751-$2,000Risk-AversePreferenceFunction确定性等价的成效小于确定性决策的成效在其它条件一样的情况下，投资者将选择规范差较小的组合22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting41RiskPreferenceAttitudes$0$2,000$4,000$6,000$8,000$10,00000.250.500.751-$2,000Risk-SeekingPreferenceFunction确定性等价的成效大于确定性决策的成效22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting42AreSecuritiesMarketsFullyEfficient?BehaviouralfinanceBehaviouralcharacteristicsthatquestionmarketefficiencyLimitedattentionOverconfidenceRepresentativenessSelf-attributionbiasLeadingtomomentum胜利归于本身才干失败归于外在要素22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting43ProspectTheoryAnAlternativeTheoryofDecisionMakingSeparateevaluationofgainsandlossesWeightingofprobabilitiesOverconfidence:rareeventsunderweightedRepresentativeness:likelyeventsoverweightedLeadstoadispositioneffectImplicationsforfinancialaccountingLeadstoearningsmanagementtoavoidreportingsmalllosses?Prudenceconcept出赢保亏：卖出赚钱的股票、持有赔钱的股票22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting44ProspectTheoryUtilityFunctionu(x)Gainxloss两种选择：A一定赢100万元，B50%能够性赢200万元，50%能够性什么也得不到？大部分人会选A，这阐明人们是风险躲避的两种选择：A一定损失100万元，B50%能够性损失200万元，50%能够性损失为零大部分人选B，这阐明人们是风险偏好的在盈利和亏损两种形状下，人们的风险态度不仅不一致，且不对称收益和风险分开评价22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting458.ThePrincipleofPortfolioDiversificationsystematicrisk(generalmarketrisk)VSnon-systemrisk(Uniquerisk)Triestomaximizeportfolioexpectedreturnforagivenamountofportfoliorisk,orequivalentlyminimizeriskforagivenlevelofexpectedreturn,bycarefullychoosingtheproportionsofvariousassetsCollectionofinvestmentassetsthathascollectivelylowerriskthananyindividualasset.differenttypesofassetsoftenchangeinvalueinoppositeways.Fourbasicstepsinvolvedinportfolioconstruction

-Securityvaluation

-Assetallocation

-Portfoliooptimization

-Performancemeasurement22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting46PreferenceforRiskTheconceptofriskaversionisimportanttoaccountants,becauseitmeansthatinvestorsneedinformationconcerningtherisk,aswellastheexpectedvalue,offuturereturns.Suchinvestorsneedinformationtohelpthemassesssecurities’expectedreturnsandriskinessofthesereturns.Betaisanimportantriskmeasure.22-Jan-2403TheDecisionUsefulnessApproachtoFinancialReporting47BetaDefinitionStandardizedcovariancebetweenreturnonshareandreturnonmarketOnlyrelevantriskmeasureforareasonablydiversifiedinvestorWhy?BecausefirmspecificriskdiversifiesawayImplication=investorsdon’tneedaccountinginfo?22-Jan-2406TheMeasurementApproachtoDecisionUsefulness(QinggangWang)48EstimatingBeta(continued)UsuallyavailableonafinancialwebsiteGooglefinance:google/financeReuters:reuters/Estimateityourself,usingabout30recentobservationsonRjtandRMt8.ThePrincipleofPortfolioDiversificationSummaryRisk-averseinvestorscantakeadvantageoftheprincipleofportfoliodiversificationtoreducetheirrisk,byinvestinginaportfolioofsecurities.Thisisbecauserealizationsoffirm-specificstatesofnaturetendtocanceloutacrosssecurities,leavingeconomy-widefactorsasthemaincontributorstoportfoliorisk.Regardlessofthedegreeofriskaversion,weknowthatutilityincreasesinexpectedrateofreturnanddecreasesinvarianceoftheportfolio.22-Jan-2403TheDecisionUsefulnessApproachtoFina