05決策有用的信息觀和ASMS3000決策分析平臺

Topic5TheInformationApproachtoDecisionUsefulnessTopic5TheInformationApproachtoDecisionUsefulness1.Overview2.OutlineoftheResearchProblem3.FinancialinformationandMarketResponse4.TheBallandBrownStudy5.EarningsResponseCoefficients(ERC)6.ACaveatAboutthe“Best”AccountingPolicy7.TheInformationContentofOtherFinancialStatementInformation8.Conclusions27-May-2305TheInformationApproachtoDecisionUsefulness21.Overview霍桑實驗——車間照明實驗實驗?zāi)康模号逭彰鲝姸龋ㄗ宰兞浚ιa(chǎn)效率（因變量）所產(chǎn)生的影響。實驗程序：實驗是在被挑選的兩組繞線工人中進行的，一組是實驗組，一組是控制組；在實驗過程中，實驗組不斷增加照明強度，而控制組照明強度始終保持不變。實驗結(jié)果：兩組的產(chǎn)量均大大增加（前測和后測）了，但增加量幾乎相等；無法確定改善照明對生產(chǎn)效率有什么積極影響。Despitethedifficultiesofdesigningexperimentstotesttheimplicationsofdecisionusefulness,accountingresearchhasestablishedthatsecuritymarketpricesdorespondtoaccountinginformation,thatisanexaminationofempiricalresearchinaccounting.27-May-2305TheInformationApproachtoDecisionUsefulness31.OverviewIftheefficientmarketstheoryandthedecisiontheoriesunderlyingitarereasonabledescriptionstorealityonaverage,weshouldobservethemarketvaluesofsecuritiesrespondinginpredictablewaystonewinformation.Thedegreeofusefulnessforinvestorscanbemeasuredbytheextentofvolumeorpricechangefollowingreleaseoftheinformation.Theequatingofusefulnesstoinformationcontentiscalledtheinformationapproachtodecisionusefulnessoffinancialreporting,sinceBall&Brown(1968).27-May-2305TheInformationApproachtoDecisionUsefulness41.OverviewHowever,whataccountantscannotdoisclaimthatthebestaccountingpolicyistheonethatproducesthegreatestmarketresponse.Whynot?Theinformationapproachtodecisionusefulnessisanapproachtofinancialreportingthatrecognizesindividualsresponsibilityforpredictingfuturefirmperformanceandthatconcentratesonprovidingusefulinformationforthispurpose.Theapproachassumessecuritiesmarketefficiency,recognizingthatthemarketwillreacttousefulinformationfromanysource,includingfinancialstatements.27-May-2305TheInformationApproachtoDecisionUsefulness52.OutlineoftheResearchProblem2.1ReasonsforMarketResponse2.2FindingtheMarketResponse2.3SeparatingMarket-WideandFirm-SpecificFactors2.4ComparingReturnsandIncome27-May-2305TheInformationApproachtoDecisionUsefulness62.1ReasonsforMarketResponseConsiderthefollowingpredictionsaboutinvestorbehavior,inresponsetofinancialinformation:Investorshavepriorbeliefsaboutafirm’sfutureperformance,thatis,…….,whichaffecttheexpectedreturnandriskofafirm’sshares.Uponreleaseofcurrentyear’snetincome,certaininvestorswilldecidetobecomemoreinformed,byanalyzingtheincomenumber.Formostofthischapterwewillconfinefinancialstatementinformationtoreportednetincome.Why?Isthereanyotherchoice?27-May-2305TheInformationApproachtoDecisionUsefulness72.2FindingtheMarketResponseWhencurrentyear’sreportednetincomefirstbecamepubliclyknown?Usingthedateof

thefirm’snetincomewasreportedinthefinancialmediasuchasTheWallStreetJournal,andinvestigatingthereactionsinanarrowwindowofafewdayssurroundingthisdate.Separatinggoodorbadnews:Thegoodorbadnewsinreportednetincomeisusuallyevaluatedrelativetowhatinvestorsexpected.Thismeansthatresearchersmustobtainaproxyforwhatinvestorsexpectednetincometobe.SeparatingMarket-wideandfirm-specificfactorsonsharereturns:Therearealwaysmanyeventstakingplacethataffectafirm’ssharevolumeandprice.Thus,itisdesirabletoseparatetheimpactsofmarket-wideandfirm-specificfactorsonsharereturns.27-May-2305TheInformationApproachtoDecisionUsefulness92.3SeparatingMarket-Wide

andFirm-SpecificFactorTheMarketmodeliswidelyusedtoexpostseparatedmarket-wideandfirm-specificfactorsthataffectsecurityreturns.已實現(xiàn)收益等于期初預(yù)期收益αj+βjRMt加上未期望或異常收益εjt。其中：αj=(1－βj)Rf，E(εjt)=0，εjt≠0Thisabnormalreturn(εjt)isalsointerpretedastherateofreturnonfirmj’ssharesfortimepointtafterremovingtheinfluenceofmarket-widefactors.27-May-2305TheInformationApproachtoDecisionUsefulness10SeparatingMarketWideandFirmSpecificfactorsIfincomeannouncementisgoodnewsthenwehaveapositiveabnormalsharereturn27-May-2305TheInformationApproachtoDecisionUsefulness122.3SeparatingMarket-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.27-May-2305TheInformationApproachtoDecisionUsefulness1427-May-2305TheInformationApproachtoDecisionUsefulness16Unusual,Non-Recurring

andExtraordinaryItemsHierarchyofincomenumbersNetincomebeforeunusualandnon-recurringitems,alsocalledcoreearnings xxUnusualandnon-recurringitems xxIncomefromcontinuingoperations,alsocalledoperatingincome

xxIncomefromDiscontinuingoperationsxxNetincome xx27-May-2305TheInformationApproachtoDecisionUsefulness1727-May-2305TheInformationApproachtoDecisionUsefulness18OtherComprehensiveIncomePresentedwithIncomeStatementNetincomefromoperations xxxExtraordinaryitems xxxNetincome xxxOthercomprehensiveincome xxxComprehensiveincome xxxAlternativePresentationAspartofstatementofchangesinshareholders’equityLesstransparent,especiallyifsecuritiesmarketsnotfullyefficient19202.4ComparingReturnsandIncomeresearchercannowcomparetheabnormalsharereturn(marketprices)onday0ascalculatedabovewiththeunexpectedcomponentoffirm’scurrentreportednetincome(accountinginformation).Ifthisunexpectednetincomeisgoodnews(thatis,apositiveone),givensecuritiesmarketefficiency,apositiveabnormalsharereturnconstitutesevidencethatinvestorsonaveragearereactingfavorablytotheexpectedgoodnewsinearnings.Toincreasethepoweroftheinvestigation,theresearchermaywishtosimilarlycompareafewdaysoneithersideofday0.27-May-2305TheInformationApproachtoDecisionUsefulness23CurrentFinancialStatementEvidenceGNBNStateHigh0.800.20Low0.100.90（副對角線概率）削弱當期財務(wù)報表信息和未來公司業(yè)績之間的關(guān)系，稱為財務(wù)報表中的噪音（noise）或低盈余質(zhì)量（lowearningsquality）。主對角線概率越高，系統(tǒng)越有信息含量（informative），稱為透明（transparent）或高質(zhì)量（highquality）信息系統(tǒng)的信息含量能夠被實證檢驗3.FinancialinformationandMarketResponsePermanent:expectedtolastindefinitelyTransitory:affectingearringsinthecurrentyearonlyPriceIrrelevant:zeropersistencyTypesofEarningEvents27-May-2305TheInformationApproachtoDecisionUsefulness2427-May-2305TheInformationApproachtoDecisionUsefulness26事件及窗口估計期窗口事件期窗口樣本（分組并歸納樣本特征）估計正常和異常收益統(tǒng)計檢驗窗口長短選擇沒有固定標準，但數(shù)據(jù)的可得性會制約窗口長短選擇。短窗口從幾分鐘到幾天，長窗口可能涉及幾個月到幾年短窗口容易避免事件窗內(nèi)其他事件對證券價格的影響，但短窗口可能錯誤估計事件窗內(nèi)預(yù)期收益率，而且有些事件的滯后影響可能是短窗口所不能捕獲的。因此，近年來長窗口比較流行，但長窗口也存在著諸如遺漏風(fēng)險因素并錯誤計量風(fēng)險、幸存者偏差和數(shù)據(jù)挖掘偏差等數(shù)據(jù)問題及統(tǒng)計推斷問題正常收益，假設(shè)不發(fā)生此事件的預(yù)期收益，常用計算模型：市場模型、均值調(diào)整模型、市場調(diào)整模型異常收益，事件期間內(nèi)證券實際收益與同期正常收益的差27-May-2305TheInformationApproachtoDecisionUsefulness27事件研究法是指運用股票收益率數(shù)據(jù)來測定某一特定經(jīng)濟事件對公司價值的影響。

事件研究法先利用估計期,估計出事件日的期望收益,由事件期的實際收益扣除期望收益得到非正常收益,再檢驗樣本平均非正常收益是否顯著區(qū)別于原假設(shè)。事件日的期望收益可以由均值調(diào)整模型、市場調(diào)整模型和市場模型來估計。4.1MethodologyandFindingsBBexaminedasampleof261NYSEfirmsovernineyearsfrom1957to1965.BBconcentratedontheinformationcontentofearnings.BB’sfirsttaskwastomeasuretheinformationcontentofearnings,thatis,goodnews(GN)andbadnews(BN)…….Thus,firmswithearningshigherthanlastyear’swereclassifiedasGN,andviceversa.Thenexttaskwastoevaluatethemarketreturnonthesharesofthesamplefirmsnearthetimeofeachearningsannouncement.ThiswasdownaccordingtotheabnormalreturnsprocedureillustratedinFigure5.2.TheonlydifferencewasBBusedmonthlyreturns(dailyreturnswerenotavailableondatabasesin1968)BBrepeatedtheirabnormalsecuritymarketreturnscalculationforawidewindowconsistingofeachofthe11monthspriortoand6mothsfollowingthemonthofearningsrelease(month0).27-May-2305TheInformationApproachtoDecisionUsefulness294.1MethodologyandFindingsAveragecumulativeones27-May-2305TheInformationApproachtoDecisionUsefulness305.EarningsResponseCoefficients(ERC)5.1ReasonsforDifferentialMarketResponse5.2ImplicationsofERCResearch5.3MeasuringInvestors’EarningsExpectations5.4SummaryAnearningsresponsecoefficients(ERC)measurestheextentofasecurity’sabnormalmarketreturninresponsetotheunexpectedcomponentofreportedearningsofthefirmissuingthatsecurity.27-May-2305TheInformationApproachtoDecisionUsefulness33EarningsQualityDescriptionofeventActualevent27-May-2301OverviewofAccountingTheoryanditsresearch(QinggangWang)35What’smeaningofwindow-dressing?HigherearningsqualityHighpersistenceofearningsandcashflowsHighpredictiveabilityofearningsandcashflowsHighearningsresponsecoefficientLowlevelofearningsmanagementMorevoluntarilydisclosureStrongcorporategovernance27-May-2305TheInformationApproachtoDecisionUsefulness37Whatshouldtheusersbeawareof?Statementusersmust:Understandcurrentfinancialreportingsettingsandstandards.Differencesinaccountingmethods.Differencesinaccountingestimates.Differencesinstandardsimplementation.Recognizethatmanagementmaymanipulatethefinancialinformation.Distinguishbetweenreliablefinancialstatementinformationandpoorqualityinformation.3827-May-2305TheInformationApproachtoDecisionUsefulness385.2ImplicationsofERCResearchImprovedunderstandingofmarketresponsesuggestswaysthataccountantscanfurtherimprovethedecisionusefulnessoffinancialstatements:Lowerinformativenessofpriceforsmallerfirmsimpliesthatexpandeddisclosureforthesesfirmswouldbeusefulforinvestors,contrarytoacommonargumentthat…………toexpanddisclosureofthenatureandmagnitudeoffinancialinstruments,includingthosethatare“off-balance-sheet”.……thedesirabilityofdisclosureofsegmentinformation,since……Also,MD&Aenablesthefirmtocommunicateitsgrowthprospect.Disclosureofthecomponentsofnetincomeisusefulforinvestors.27-May-2305TheInformationApproachtoDecisionUsefulness405.3MeasuringInvestors’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……)27-May-2305TheInformationApproachtoDecisionUsefulness415.3MeasuringInvestors’EarningsExpectationsUndertheidealconditions,expectedearningsissimplyaccretionofdiscountonopeningfirmvalue.Whenconditionsarenotideal:Anothersourceofearningsexpectationsisanalysts’forecasts.Sincerationalinvestorswillpresumablyusethemostaccurateforecast.Analysts’forecastsaremoreaccuratethantimeseriesforecasts

(Brownetal,1987;O’Brien,1988);Thesinglemostrecentearningsforecastprovidedamoreaccurateearningspredictionthantheaverageforecastofallanalystsfollowingthefirm(O’Brien,1988);Analysts’forecastsareoptimistically,althoughthebiasmayhencedecreasedinrecentyears(Kothari,2023).27-May-2305TheInformationApproachtoDecisionUsefulness425.4SummaryTheinformationcontentofnetincomecanbemeasuredbytheextentofsecuritypricechangeor,morespecifically,bythesizeofthesecurity’sabnormalmarketreturn,aroundthetimethemarketlearnsthecurrentnetincome.Foragivenamountofunexpectednetincome,theextentofsecuritypricechangeorabnormalreturnsdependsonfactorssuchas……Theempiricalresultsarereallyquiteremarkable.First,theyhaveovercomesubstantialstatisticalandexperimentaldesignpreambles;Second,theysupportsthetheoryofsecuritiesmarketefficiencyandthedecisiontheoriesthatunderlieit.Finally,theysupportthedecisionusefulnessapproachtofinancialreporting.27-May-2305TheInformationApproachtoDecisionUsefulness436.ACaveatAboutthe“Best”AccountingPolicyHowever,whataccountantscannotdoisclaimthatthebestaccountingpolicyistheonethatproducesthegreatestmarketresponse.Whynot?Thereasonisthatinformationhascharacteristicsofapublicgood.Asaresult,investorsmayperceiveaccountinginformationasusefuleventhoughfromsociety’sstandpointthecostsofthisinformationoutweighthebenefitstoinvestors.Itisstilltruethataccountantscanbeguidedbymarketresponsetomaintainandimprovetheircompetitivepositionassupplierstothemarketplaceforinformation.Itisalsotruethatsecuritiesmarketswillworkbettertotheextentsecuritypricesprovidegoodindicationsofunderlyingrealinvestmentopportunities.However,thesesocialconsiderationsdosuggestthat,asageneralrule,accountingstandardsettingbodiesshouldbewaryofusingsecuritiesmarketresponsetoguidetheirdecisions.27-May-2305TheInformationApproachtoDecisionUsefulness448.ConclusionsThesecuritiesmarketresponsetoreportednetincomeisimpressiveintermsofitssophistication.ResultsofempiricalresearchinthisareasupportstheEMStheoryandunderlyingdecisiontheories.Themarketdoesnotseemtorespondtootherfinancialstatementinformationasstronglyasitdoestoearningsinformation.Theessenceofinformationapproachisthatinvestorsareviewedasattemptingtopredictfuturereturnsfromtheirinvestments.Theyseekallrelevantinformationinthisregard,notjustaccountinginformation.27-May-2305TheInforma