An-Empirical-Evaluation-of-Accounting-Income-Numbe

AnEmpiricalEvaluationofAccountingIncomeNumbersRayBall;PhilipBrownJournalofAccountingResearch,Vol.6,No.2(Autumn,1968),159-178.StructureQuestionDataAnalysisAnEmpiricalTestResultsQuestionNormativeapproach(accountingpractices)•Theignoresofknowledgefromtheworld•Theassumptionofthosemodelcouldbeexparte,unverifiableandinconflictQuestionAcompletelyanalyticalapproach(demand)•Limitation:Incomenumberslack“meaning”Accountinglacksanall-embracingtheoreticalframeworkNotunlikethedifferencebetweentwenty-seventablesandeightchairsQuestionResearchquestion•Doesaccountinginformationhasusefulness?•Howtotestifyit?Agreementastowhatreal-worldoutcomeconstitutesanappropriatetestofusefulnessNetincomeisanumberofinteresttoinvestorsContextofinvestmentdecisionDostockpricesrespondtothereleaseofearninginformationAnEmpiricalTestBasictheoryEMH(Fama1965,1967.Jensen1968.)•Themarketquicklyandcorrectlyadjusttonewinformation•Newinformation:thecontentandthetimingAnEmpiricalTestResearchdesign(Regressionmodel——EPS/NetIncome)•EPScouldbeassociatedwitheconomy-wideeffect•PastrelationandTheincomeofotherfirms•ExpectedincomeanActualincome•Newinformation:TheunexpectedincomechangeorforecasterrorExpectedandUnexpectedIncomeChangesAnEmpiricalTest.12.,ˆˆˆ1,2,,1jtjtjtjtjtIaaMut.12.,ˆˆˆ1,2,,1jtjtjtjtjtIaaMutThechangeinfirmj’sincomeCoefficients(截距项，回归系数)A“marketindex”ofincome(市平均盈余变化)AnEmpiricalTestTheexpectedincomechangeforfirmjinyeartisthengivenbyregressionpredictionusingthechangeintheaverageincomeforthemarketintheyeart.Theforecasterroristheactualincomechangeminusexpected.AnEmpiricalTestTheMarket’sReaction•Stockpricesareassociatedwithmarket-wideeffect•PR:Themonthlypricerelativeofsecurity(股票月价格比)•(Lm-1):Amarketindexofreturns.(市场报酬率)AnEmpiricalTestDividends（红利）Openingprice（开盘价）Closingprice(收盘价)AnEmpiricalTest股票月报酬率市场报酬率Residual(残值)mustrepresenttheimpactofnewinformationAnEmpiricalTestSomeeconometricissues(计量问题)Assumptionofregressionmodel:Mjandujareuncorrelated.Naivemodel(幼稚模型)：计量方式EPSRegressionmodel:计量方式EPS/NetIncomeVariable1,Variable2Variable3AnEmpiricalTestsummaryGoodnews:unexpectedearning0Badnews:unexpectedearning0DataanalysisInclusionCriteria(选择标准)Firmsincludedinthestudymetthefollowingcriteria:EarningsdataavailableonCompustattapes(数据库)foreachoftheyears1946-1966Fiscalyear（财政年度）endingDecember31PricedataavailableontheCRSPtapes（数据库）foratleast100monthsWallStreetJournal（华尔街日报）announcementdatesavailableDataanalysisDataThecontentsofincomereportsThedatesofthereportannouncementsThemovementsofsecuritypricesaroundtheannouncementdatesDataanalysisIncomeNumbersAboutone-fourthofthevariabilityinthechangesinthemedianfirm’sincomecanbeassociatedwithChangesinthemarketindex.DataanalysisAnnualReportannouncementDatesThetimelagbetweentheendofthefiscalyearandthereleaseoftheannualreporthasbeendecliningsteadilythroughoutthesampleperiodDataanalysisStockPricesResultsTrendDefinemonth0asthemonthoftheannualreportannouncementAPIM:Theabnormalperformanceindexatmonthm(非正常业绩指数)股票报酬率的残差ResultsGoodNewsBadNewsResultsChi-squarestatistic(卡方统计)incomeforecasterrorsignofthestockreturnresidualResultsOverviewTheannualincomenumberisuseful.Anticipatebeforetheannualreportisdone.•IncomenumberdoesnotappeartocauseanyunusualjumpsintheAbnormalPerformanceIndexintheannouncementmonth.ResultsConcludingRemarksTheadequacyofmarket’ssourcedeterminedtheefficiencyofthecapitalmarket.Amechanismhasbeenprovidedforanempiricalapproach.