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55.1(BallandBrown)19683-119683.84.85.25.2.15.86821.2.3.4.19688CAPM4.3345.2.21.2.200(MD&A)2003005831987(Brown,Griffin,HagermanandZmijewski)51.21001203.5.2.34.35-1tj15-1j()5-184RMt=tRjt=t0.00150.0009jt()=0.0006j=0.800.00015855-14.3Rjt=j+jRMt+jt4.3RjtRMtj=0.0001j=0.805-1[1]j000.001[2]j5-10.0009[3]j00.00150.0006jt=0.00060.0006j[4]0j3-35.2.40000j5-15.786[5](BrowandWarner1980)5.2.319685.35.3.11968195719659NYSE2615.2.216119571957j[6]751957+100[7]1957j587+7519581957jj195821957+901957jGN19571965GNBN5-119685-1195820.00120.0009j195820.001520.0006j1957195820.00065-2313212123111090116185-25-2123125-25.3.2079[8]R&D199219921088185.3.35.2.23-1GNGN3-12-1P.V.t=1P.V.17.361991tt=1Rf=0.10Dt02-1P.V.1190.91Pt5-1589Pt=1+RfRfNIt-Dt=1.100.10×17.36-0=190.96(5-1)Rf=Pt-DtPt-1-1=190.96173.55-1=0.10Pt=10.101.10-23.97-0()+50[]=10.10-26.37+50()=10.10×23.63=236.30Pt=1Rf1+Rf()NIt-Dt()-at[](5-2)at2-2P.V.P.V.1150PtNIt5-2t=11991196919865.3.4(Beaver,ClarkeandWright)1979276196519741012314.35.2.34.3196890Rf=Pt-DtPt-1-1=236.30260.33-1=-0.091987(Wilson)19811982BernardandStober198911.5115.4GNBN(ERC)[9]5.4.13.73-2GN[10]GN59192ERCERCCollinsandKothari,1989EastonandZmijewski,1989ERCDhaliwal,LeeandFargher1991ERCERC,GN,,,ERC1ERC0ERC1KormendiandLipe1987ERCRamakrishnanandThomas19910ERC1+Rf/RfRf10ERCERCERCERCERC1+1/Rf$1$11/RfERC$100$1002-12-2$100$9.09$9.09$9.09[11]ERC1GN$100ERC1.10/0.1011Rf=0.10GN$9.09$100SFAS2ERC3-2ERCLevandThiagarajans199312121010ERCERCERCERC59394GNBNERCERC$9.095105$11/0.100.05=20,$11/0.10=10ERC21111989ERCERC1989ERCERC(1989)ERCERC5.4.2ERCERCERC5.53-2ERCFASB5.51991APB301973abAPB30APB30APB30APB30Barnea,RonenandSadan1976APB30APB30595ERC1APB30APB30APB30APB30ERC5.6196GonedesandDopuch19741213SFAS331986(BeaverandLandsman1983[12]5.73.73.75-14.35.2.3Rjt=j+jRMt+jtRjttjRMtt2jt0RMtRjtRMtRRMjtRM3.7597RRM(Beaver,KettlerandScholes)1970307NYSE194719561195719652125.261555361516155-11219705-151219471956195719650.790.500.410.4898219471956195719650.900.820.680.46WilliamH.Beaver,PaulKettler,andMyronScholes,TheAssociationBetweenMarket-DeterminedandAccounting-DeterminedRiskMeasures,TheAccountingReview(October1970),pp.654-682.Table5.Reprintedwithpermission.5.8RRA2.4SFAS694.6RRAMagliolo198619791983RRARRARRARRARRA2-5RRARRARRADoran,CollinsandDhaliwal19881731979198461979198119821984[13]1231125-112RRA5.25.3599RRARRA19791981RRARRA1982198419791981198219845.35.419821984[14]RRARRAHarrisandOhlson1987RRA[15]RRA273197919835[16]RRASFAS6910,11RRARRARRA12RRARRARRARRARRARRA(GhicasandPastena1989)RRARRARRARRARRARRARRA19862.4RRARRA100RRA1990RRAERC19915.4.112ERC5.9RRARRARRA51011968[1]4.3j(1j)Rf,Rfj=0.0001Rf=0.0005[2]0[3]E(Rj0)j+jRM0=0.0001+0.800.001=0.0009[4]2-2P.V[5]5.3.31991[6]5.3.3[7]19681957[8][9]5.3.2ERCERCERCERC[10]3.7[11]$100MD&A[12]RM0=0+0101021983BernardandRuland1987[13]SFAS691982SEC19791981RRA[14]5-15-1[15][16]1.2.5-13.5-24.105.6.127.XYZ19951231500199512311995700199512311995(1)19951231XYZ(2)19951231(3)XYZXYZ5103a.19951231XYZb.(i)200700~500(ii)XYZ6200XYZ8.(1968)1431961196550601717175065-3175-3W.BeaverTheInformationContentofAnnualEarningsAnnouncements,JournalofAccountingResearch,Supplement(1968),pp.67-92.Reprintedwithpermission.5-300a.0b.0104=1.12Vt×103c.d.5-19.ERC10.XYXYa.XYERCb.YXa11.FASBSFAC13.812.APB13.a.b.c.b14.N1995N1995$2386a.N1995b.Nac.N19951231$11684907326111346176161538107316552217129058451051061995123159643647$647N1995123119941231$693$2107346450681041061993671447940520315321632$5608$6314$$12913984972823483647631886622282519082268226880803895327511751307741869302635252447834406$5608$631415.16.JERC0.38KJ5107JKKERC0.5717.1991AICPA1994AICPA1)2)a.MD&Ab.c.18.19921992101/10a.2-1P.V.12P.V.b.2-2a12