05决策有用的信息观

Topic5TheInformationApproachtoDecisionUsefulnessTopic5TheInformationApproachtoDecisionUsefulness1.Overview2.OutlineoftheResearchProblem3.FinancialinformationandMarketResponse4.TheBallandBrownStudy5.EarningsResponseCoefficients(ERC)6.ACaveatAboutthe“Best”AccountingPolicy7.TheInformationContentofOtherFinancialStatementInformation8.Conclusions28-Aug-1905TheInformationApproachtoDecisionUsefulness21.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.28-Aug-1905TheInformationApproachtoDecisionUsefulness31.OverviewIftheefficientmarketstheoryandthedecisiontheoriesunderlyingitarereasonabledescriptionstorealityonaverage,weshouldobservethemarketvaluesofsecuritiesrespondinginpredictablewaystonewinformation.Thedegreeofusefulnessforinvestorscanbemeasuredbytheextentofvolumeorpricechangefollowingreleaseoftheinformation.Theequatingofusefulnesstoinformationcontentiscalledtheinformationapproachtodecisionusefulnessoffinancialreporting,sinceBall&Brown(1968).28-Aug-1905TheInformationApproachtoDecisionUsefulness41.OverviewHowever,whataccountantscannotdoisclaimthatthebestaccountingpolicyistheonethatproducesthegreatestmarketresponse.Whynot?Theinformationapproachtodecisionusefulnessisanapproachtofinancialreportingthatrecognizesindividualsresponsibilityforpredictingfuturefirmperformanceandthatconcentratesonprovidingusefulinformationforthispurpose.Theapproachassumessecuritiesmarketefficiency,recognizingthatthemarketwillreacttousefulinformationfromanysource,includingfinancialstatements.28-Aug-1905TheInformationApproachtoDecisionUsefulness52.OutlineoftheResearchProblem2.1ReasonsforMarketResponse2.2FindingtheMarketResponse2.3SeparatingMarket-WideandFirm-SpecificFactors2.4ComparingReturnsandIncome28-Aug-1905TheInformationApproachtoDecisionUsefulness62.1ReasonsforMarketResponseConsiderthefollowingpredictionsaboutinvestorbehavior,inresponsetofinancialinformation:Investorshavepriorbeliefsaboutafirm’sfutureperformance,thatis,…….,whichaffecttheexpectedreturnandriskofafirm’sshares.Uponreleaseofcurrentyear’snetincome,certaininvestorswilldecidetobecomemoreinformed,byanalyzingtheincomenumber.Formostofthischapterwewillconfinefinancialstatementinformationtoreportednetincome.Why?Isthereanyotherchoice?28-Aug-1905TheInformationApproachtoDecisionUsefulness72.1ReasonsforMarketResponseConsiderthefollowingpredictionsaboutinvestorbehavior,inresponsetofinancialinformation:Investorswhohaverevisedtheirbeliefsaboutfuturefirmperformanceupwardwillbeinclinedtobuythefirm’ssharesattheircurrentmarketprice,andviceversa.Wewouldexpecttoobservethevolumeofsharestradedtoincreasewhenthefirmreportsitsnetincome(Beaver,1968).Iftheinvestorswhointerpretreportednetincomeasgoodnewsoutweighthosewhointerpretitasbadnew,wewouldexpecttoobserveanincreaseinthemarketpriceofthefirm’sshares,andviceversa.28-Aug-1905TheInformationApproachtoDecisionUsefulness82.2FindingtheMarketResponse1.Whencurrentyear’sreportednetincomefirstbecamepubliclyknown?Usingthedateofthefirm’snetincomewasreportedinthefinancialmediasuchasTheWallStreetJournal,andinvestigatingthereactionsinanarrowwindowofafewdayssurroundingthisdate.2.Separatinggoodorbadnews:Thegoodorbadnewsinreportednetincomeisusuallyevaluatedrelativetowhatinvestorsexpected.Thismeansthatresearchersmustobtainaproxyforwhatinvestorsexpectednetincometobe.3.SeparatingMarket-wideandfirm-specificfactorsonsharereturns:Therearealwaysmanyeventstakingplacethataffectafirm’ssharevolumeandprice.Thus,itisdesirabletoseparatetheimpactsofmarket-wideandfirm-specificfactorsonsharereturns.28-Aug-1905TheInformationApproachtoDecisionUsefulness92.3SeparatingMarket-WideandFirm-SpecificFactorTheMarketmodeliswidelyusedtoexpostseparatedmarket-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≠0Thisabnormalreturn(εjt)isalsointerpretedastherateofreturnonfirmj’ssharesfortimepointtafterremovingtheinfluenceofmarket-widefactors.28-Aug-1905TheInformationApproachtoDecisionUsefulness10SeparatingMarketWideandFirmSpecificfactorsIfincomeannouncementisgoodnewsthenwehaveapositiveabnormalsharereturn28-Aug-1905TheInformationApproachtoDecisionUsefulness122.3SeparatingMarket-WideandFirm-SpecificFactorFigure5.2: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,βjandRM0RM0=(Levelofindex,endday0+Dividendsindex,day0)/(Levelofindex,begin