决策有用的信息观

11三月2024决策有用的信息观Topic5TheInformationApproachtoDecisionUsefulness1.Overview2.OutlineoftheResearchProblem3.FinancialinformationandMarketResponse4.TheBallandBrownStudy5.EarningsResponseCoefficients(ERC)6.ACaveatAboutthe“Best”AccountingPolicy7.TheInformationContentofOtherFinancialStatementInformation8.Conclusions3/11/2024205TheInformationApproachtoDecisionUsefulness1.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.3/11/2024305TheInformationApproachtoDecisionUsefulness1.OverviewIftheefficientmarketstheoryandthedecisiontheoriesunderlyingitarereasonabledescriptionstorealityonaverage,weshouldobservethemarketvaluesofsecuritiesrespondinginpredictablewaystonewinformation.Thedegreeofusefulnessforinvestorscanbemeasuredbytheextentofvolumeorpricechangefollowingreleaseoftheinformation.Theequatingofusefulnesstoinformationcontentiscalledtheinformationapproachtodecisionusefulnessoffinancialreporting,sinceBall&Brown(1968).3/11/2024405TheInformationApproachtoDecisionUsefulness1.OverviewHowever,whataccountantscannotdoisclaimthatthebestaccountingpolicyistheonethatproducesthegreatestmarketresponse.Whynot?Theinformationapproachtodecisionusefulnessisanapproachtofinancialreportingthatrecognizesindividualsresponsibilityforpredictingfuturefirmperformanceandthatconcentratesonprovidingusefulinformationforthispurpose.Theapproachassumessecuritiesmarketefficiency,recognizingthatthemarketwillreacttousefulinformationfromanysource,includingfinancialstatements.3/11/2024505TheInformationApproachtoDecisionUsefulness2.OutlineoftheResearchProblem2.1ReasonsforMarketResponse2.2FindingtheMarketResponse2.3SeparatingMarket-WideandFirm-SpecificFactors2.4ComparingReturnsandIncome3/11/2024605TheInformationApproachtoDecisionUsefulness2.1ReasonsforMarketResponseConsiderthefollowingpredictionsaboutinvestorbehavior,inresponsetofinancialinformation:Investorshavepriorbeliefsaboutafirm’sfutureperformance,thatis,…….,whichaffecttheexpectedreturnandriskofafirm’sshares.Uponreleaseofcurrentyear’snetincome,certaininvestorswilldecidetobecomemoreinformed,byanalyzingtheincomenumber.Formostofthischapterwewillconfinefinancialstatementinformationtoreportednetincome.Why?Isthereanyotherchoice?3/11/2024705TheInformationApproachtoDecisionUsefulness2.1ReasonsforMarketResponseConsiderthefollowingpredictionsaboutinvestorbehavior,inresponsetofinancialinformation:Investorswhohaverevisedtheirbeliefsaboutfuturefirmperformanceupwardwillbeinclinedtobuythefirm’ssharesattheircurrentmarketprice,andviceversa.Wewouldexpecttoobservethevolumeofsharestradedtoincreasewhenthefirmreportsitsnetincome(Beaver,1968).Iftheinvestorswhointerpretreportednetincomeasgoodnewsoutweighthosewhointerpretitasbadnew,wewouldexpecttoobserveanincreaseinthemarketpriceofthefirm’sshares,andviceversa.3/11/2024805TheInformationApproachtoDecisionUsefulness2.2FindingtheMarketResponseWhencurrentyear’sreportednetincomefirstbecamepubliclyknown?Usingthedateofthefirm’snetincomewasreportedinthefinancialmediasuchasTheWallStreetJournal,andinvestigatingthereactionsinanarrowwindowofafewdayssurroundingthisdate.Separatinggoodorbadnews:Thegoodorbadnewsinreportednetincomeisusuallyevaluatedrelativetowhatinvestorsexpected.Thismeansthatresearchersmustobtainaproxyforwhatinvestorsexpectednetincometobe.SeparatingMarket-wideandfirm-specificfactorsonsharereturns:Therearealwaysmanyeventstakingplacethataffectafirm’ssharevolumeandprice.Thus,itisdesirabletoseparatetheimpactsofmarket-wideandfirm-specificfactorsonsharereturns.3/11/2024905TheInformationApproachtoDecisionUsefulness2.3SeparatingMarket-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.3/11/20241005TheInformationApproachtoDecisionUsefulnessSeparatingMarketWideandFirmSpecificfactorsIfincomeannouncementisgoodnewsthenwehaveapositiveabnormalsharereturn3/11/20241205TheInformationApproachtoDecisionUsefulness2.3SeparatingMarket-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.3/11/20241405TheInformationApproachtoDecisionUsefulness1989revisionThisrevisionwasdesignedtoresolvetheissueofclassificatorysmoothing,wherebymanagementcouldsmooth(orotherwisemanageearningsfromcontinuingoperationsbychoosingtoclassifyunusualitemsaboveorbelowtheoperatingearningsline(Barnea,Ronen&Sadan,1976).However,thenatureoftheimprovementcanbequestioned……Tworelatedproblemsarisingfromthisrevision:First,ifunusualandnon-recurringitemsarenotfullydisclosed,investorsmayoverestimatethepersistenceofoperatingincome;Second,andofgreaterconcern,theamountsandtimingoftherecordingofunusualandnon-recurringitemsaresubjecttostrategicmanipulationbymanagement.Elliott&Hanna(1996)foundasignificantdeclineinthecoreearningsERCinquartersfollowingthereportingofalargeunusualitem.Furthermore,theERCdeclinedfurtherifthefirmreportednumerouslargespecialitemsovertime.Why?3/11/20241505TheInformationApproachtoDecisionUsefulnessUnusual,Non-Recurring

andExtraordinaryItemsHierarchyofincomenumbersNetincomebeforeunusualandnon-recurringitems,alsocalledcoreearnings xxUnusualandnon-recurringitems xxIncomefromcontinuingoperations,alsocalledoperatingincome

xxIncomefromDiscontinuingoperationsxxNetincome xx3/11/20241605TheInformationApproachtoDecisionUsefulness3/11/20241705TheInformationApproachtoDecisionUsefulnessOtherComprehensiveIncomePresentedwithIncomeStatementNetincomefromoperations xxxExtraordinaryitems xxxNetincome xxxOthercomprehensiveincome xxxComprehensiveincome xxxAlternativePresentationAspartofstatementofchangesinshareholders’equityLesstransparent,especiallyifsecuritiesmarketsnotfullyefficient3/11/20241805TheInformationApproachtoDecisionUsefulness19202.4ComparingReturnsandIncomeresearchercannowcomparetheabnormalsharereturn(marketprices)onday0ascalculatedabovewiththeunexpectedcomponentoffirm’scurrentreportednetincome(accountinginformation).Ifthisunexpectednetincomeisgoodnews(thatis,apositiveone),givensecuritiesmarketefficiency,apositiveabnormalsharereturnconstitutesevidencethatinvestorsonaveragearereactingfavorablytotheexpectedgoodnewsinearnings.Toincreasethepoweroftheinvestigation,theresearchermaywishtosimilarlycompareafewdaysoneithersideofday0.2.4ComparingReturnsandIncomeIfpositiveandnegativeabnormalreturnssurroundinggoodorbadnewsarefoundtoholdacrossasampleoffirms,theresearchermayconcludethatpredictionsbasedonthedecisiontheoryandefficientsecuritiesmarkettheoryaresupported(thatis,accountinginformationisuseful).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β的估计……用盈余公告后一段期间的数据估计β，用其他方法估计β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，市场模型比其他可选方法表现得更合理。CurrentFinancialStatementEvidenceGNBNStateHigh0.800.20Low0.100.90（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.FinancialinformationandMarketResponse3/11/20242305TheInformationApproachtoDecisionUsefulnessPermanent:expectedtolastindefinitelyTransitory:affectingearringsinthecurrentyearonlyPriceIrrelevant:zeropersistencyTypesofEarningEvents3/11/20242405TheInformationApproachtoDecisionUsefulnessEventStudyItstudiesthesecuritiesmarketreactiontoaspecificevent.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，下次课提问自行设计一个与BB研究类似研究构想3/11/20242505TheInformationApproachtoDecisionUsefulness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3/11/20242605TheInformationApproachtoDecisionUsefulness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。3/11/20242705TheInformationApproachtoDecisionUsefulness4.TheBallandBrownStudyBall&Brown(BB,1968)beganatraditionofempiricalmarketsresearchinaccountingthatcontinuestothisday.Theywerethefirsttoprovideconvincingscientificevidencethatfirms’sharereturnsrespondtotheinformationcontentoffinancialstatements.4.1MethodologyandFindings4.2CausationVersusAssociation4.3OutcomesoftheBBStudy3/11/20242805TheInformationApproachtoDecisionUsefulness4.1MethodologyandFindingsBBexaminedasampleof261NYSEfirmsovernineyearsfrom1957to1965.BBconcentratedontheinformationcontentofearnings.BB’sfirsttaskwastomeasuretheinformationcontentofearnings,thatis,goodnews(GN)andbadnews(BN)…….Thus,firmswithearningshigherthanlastyear’swereclassifiedasGN,andviceversa.Thenexttaskwastoevaluatethemarketreturnonthesharesofthesamplefirmsnearthetimeofeachearningsannouncement.ThiswasdownaccordingtotheabnormalreturnsprocedureillustratedinFigure5.2.TheonlydifferencewasBBusedmonthlyreturns(dailyreturnswerenotavailableondatabasesin1968)BBrepeatedtheirabnormalsecuritymarketreturnscalculationforawidewindowconsistingofeachofthe11monthspriortoand6mothsfollowingthemonthofearningsrelease(month0).3/11/20242905TheInformationApproachtoDecisionUsefulness4.1MethodologyandFindingsAveragecumulativeones3/11/20243005TheInformationApproachtoDecisionUsefulness4.2CausationVersusAssociationIfasecuritymarketreactiontoaccountinginformationisobservedduringanarrowwindowofafewdayssurroundinganearningsannouncement,itcanbearguedthattheaccountinginformationisthecauseofthemarketreaction.Itcannotbeclaimedthatreportednetincomecausedtheabnormalreturnsduringthe11monthsleadinguptomonth0.Themostthatcanbearguedisthatnetincomeandreturnsareassociated.Wewillfindthattheassociationbetweensharereturnsandearningsincreasedasthewindowwidens(Easton,Harris&Ohlson,1992;Warfield&Wild,1992)3/11/20243105TheInformationApproachtoDecisionUsefulness4.3OutcomesoftheBBStudyItopenedupalargenumberofadditionalusefulnessissues:Whetherthemagnitudeofunexpectedearningsisrelatedtothemagnitudeofthesecuritymarketresponse(Beaver,Clarke&Wright,1979).Since1968,accountingresearchershavestudiedsecuritiesmarketresponsetonetincomeonotherstockexchanges,inothercountries,andforquarterlyearningsreports,withsimilarresults.Theapproachhasbeenappliedtostudymarketresponsetotheinformationcontainedinnewaccountingstandards,auditorchanges,etc.Earningsresponsecoefficients(ESC)asksadifferentquestion,namely,foragivenamountofunexpectedearnings,isthesecuritymarketresponsegreaterforsomefirmsthanothers?3/11/20243205TheInformationApproachtoDecisionUsefulness5.EarningsResponseCoefficients(ERC)5.1ReasonsforDifferentialMarketResponse5.2ImplicationsofERCResearch5.3MeasuringInvestors’EarningsExpectations5.4SummaryAnearningsresponsecoefficients(ERC)measurestheextentofasecurity’sabnormalmarketreturninresponsetotheunexpectedcomponentofreportedearningsofthefirmissuingthatsecurity.3/11/20243305TheInformationApproachtoDecisionUsefulness5.1ReasonsforDifferentialMarketResponseBetaEmpiricalevidenceofalowerERCforhigher-betasecuritieswasfoundbyCollins&Kothari(1989),andbyEaston&Zmijewski(1989).CapitalStructureEmpiricalevidenceofalowerERCformorehighlyleveredfirmswasreportedbyDhaliwal,Lee&Fargher(1991).EarningsQualityThehigherearningsquality,thehigherwewouldexpectedtheERCtobe.Measurementofearningsquality:EarningspersistenceAccrualsqualityOtherreasons3/11/20243405TheInformationApproachtoDecisionUsefulnessEarningsQualityDescriptionofeventActualeventWhat’smeaningofwindow-dressing?3/11/20243501OverviewofAccountingTheoryanditsresearch(QinggangWang)EarningspersistenceWewouldexpectthattheERCwillbehigherthemorethegoodorbadnewsincurrentearningsisexpectedtopersistintothefuturefirmperformance.Kormedi&Lipe(1987)Themeasureofpersistencewastheextenttowhichearningschangesofthelasttwoyearscontinuedintothecurrentyear.Ramakrishnan&Thomas(RT,1991)Differentcomponentsofnetincomemayhavedifferentpersistence.Thisimpliesthataccountantsshouldprovidelotsofclassificationanddetailontheincomestatement.Permanent,expectedtopersistindefinitely(ERC>1)Transitory,affectingearningsinthecurrentyearbutnotfutureyears(ERC=1)Price–irrelevant,persistenceofzero(ERC=0)成功引进新产品，处置产房和设备，资本化开办费，注销研究费……3/11/20243605TheInformationApproachtoDecisionUsefulnessHigherearningsqualityHighpersistenceofearningsandcashflowsHighpredictiveabilityofearningsandcashflowsHighearningsresponsecoefficientLowlevelofearningsmanagementMorevoluntarilydisclosureStrongcorporategovernance3/11/20243705TheInformationApproachtoDecisionUsefulnessWhatshouldtheusersbeawareof?Statementusersmust:Understandcurrentfinancialreportingsettingsandstandards.Differencesinaccountingmethods.Differencesinaccountingestimates.Differencesinstandardsimplementation.Recognizethatmanagementmaymanipulatethefinancialinformation.Distinguishbetweenreliablefinancialstatementinformationandpoorqualityinformation.383/11/20243805TheInformationApproachtoDecisionUsefulnessAccrualsqualityWewouldexpectthatahigherERCforhigheraccrualsquality.DeChow&Dichev(2002)Earningsqualitydependsprimarilyonthequalityofworkingcapitalaccruals.Totheextentcurrentperiodworkingcapitalaccrualsshowupascashflowsnetperiod,thoseaccrualsareofhighquality.Asimilarargumentappliestolastperiod’saccruals.Evidencethatfirm’sERCsandsharepricesrespondpositivelytoaccrualqualityasmeasuredbythisprocedureisreportedbyFrancisetal(2004,2005)andEckeretal(2006).3/11/20243905TheInformationApproachtoDecisionUsefulness5.2ImplicationsofERCResearchImprovedunderstandingofmarketresponsesuggestswaysthataccountantscanfurtherimprovethedecisionusefulnessoffinancialstatements:Lowerinformativenessofpriceforsmallerfirmsimpliesthatexpandeddisclosureforthesesfirmswouldbeusefulforinvestors,contrarytoacommonargumentthat…………toexpanddisclosureofthenatureandmagnitudeoffinancialinstruments,includingthosethatare“off-balance-sheet”.……thedesirabilityofdisclosureofsegmentinformation,since……Also,MD&Aenablesthefirmtocommunicateitsgrowthprospect.Disclosureofthecomponentsofnetincomeisusefulforinvestors.3/11/20244005TheInformationApproachtoDecisionUsefulness5.3MeasuringInvestors’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……)3/11/20244105TheInformationApproachtoDecisionUsefulness5.3MeasuringInvestors’EarningsExpectationsUndertheidealconditions,expectedearningsissimplyaccretionofdiscountonopeningfirmvalue.Whenconditionsarenotideal:Anothersourceofearningsexpectationsisanalysts’forecasts.Sincerationalinvestorswillpresumablyusethemostaccurateforecast.Analysts’forecastsaremoreaccuratethantimeseriesforecasts

(Brownetal,1987;O’Brien,1988);Thesinglemostrecentearningsforecastprovidedamoreaccurateearningspredictionthantheaverageforecastofallanalystsfollowingthefirm(O’Brien,1988);Analysts’forecastsareoptimistically,althoughthebiasmayhencedecreasedinrecentyears(Kothari,2001).3/11/20244205TheInformationApproachtoDecisionUsefulness5.4SummaryTheinformationcontentofnetincomecanbemeasuredbytheextentofsecuritypricechangeor,morespecifically,bythesizeofthesecurity’sabnormalmarketreturn,aroundthetimethemarketlearnsthecurrentnetincome.Foragivenamountofunexpectednetincome,theextentofsecuritypricechangeorabnormalreturnsdependsonfactorssuchas……Theempiricalresultsarereallyquiteremarkable.First,theyhaveovercomesubstantialstatisticalandexperimentaldesignpreambles;Second,theysupportsthetheoryofsecuritiesmarketefficiencyandthedecisiontheoriesthatunderlieit.Finally,theysupportthedecisionusefulnessapproachtofinancialreporting.3/11/20244305TheInformationApproachtoDecisionUsefulness6.ACaveatAboutthe“Best”AccountingPolicyHowever,whataccountantscannotdoisclaimthatthebestaccountingpolicyistheonethatproducesthegreatestmarketresponse.Whynot?Thereasonisthatinformationhascharacteristicsofapublicgood.Asaresult,investorsmayperceiveaccountinginformationasusefuleventhoughfromsociety’sstandpointthecostsofthisinformationoutweighthebenefitstoinvestors.Itisstilltruethataccountantscanbeguidedbymarketresponsetomaintainandimprovetheircompetitivepositionassupplierstothemarketplaceforinformation.Itisalsotruethatsecuritiesmarketswillworkbettertotheextentsecuritypricesprovidegoodindicationsofunderlyingrealinvestmentopportunities.However,thesesocialconsiderationsdosuggestthat,asageneralrule,accountingstandardsettingbodiesshouldbewaryofusingsecuritiesmarketresponsetoguidetheirdecisions.3/11/20244405TheInformationApproachtoDecisionUsefulness7.TheInformationContentof

OtherFinancialStatementInformationEvidenceofusefulnessismixed:Magliolo(1986)andDoran,Collins&Dhaliwal(1988)wereunabletofindmorethanaweakmarketreactiontoRRA.Boone(2002)reportedas