決策有用的信息觀

11三月2024決策有用的信息觀Topic5TheInformationApproachtoDecisionUsefulness1.Overview2.OutlineoftheResearchProblem3.FinancialinformationandMarketResponse4.TheBallandBrownStudy5.EarningsResponseCoefficients(ERC)6.ACaveatAboutthe“Best”AccountingPolicy7.TheInformationContentofOtherFinancialStatementInformation8.Conclusions3/11/2024205TheInformationApproachtoDecisionUsefulness1.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.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.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).一種復(fù)雜情況是在公司公告盈余時，公司其他特定信息也隨之而至……簡單地把這類公司從樣本中剔除出去；另一種復(fù)雜情況為了區(qū)分市場回報和公司特定回報，對公司β的估計……用盈余公告后一段期間的數(shù)據(jù)估計β，用其他方法估計β和公司特定回報，不區(qū)分市場回報和公司特定回報（Easton&Harris,1991）。并不能保證市場模型充分描述產(chǎn)生股票收益的實際過程……Brown&Warner(1980)得出結(jié)論：對于月回報窗口，市場模型比其他可選方法表現(xiàn)得更合理。CurrentFinancialStatementEvidenceGNBNStateHigh0.800.20Low0.100.90（副對角線概率）削弱當(dāng)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.FinancialinformationandMarketResponse3/11/20242305TheInformationApproachtoDecisionUsefulnessPermanent:expectedtolastindefinitelyTransitory:affectingearringsinthecurrentyearonlyPriceIrrelevant:zeropersistencyTypesofEarningEvents3/11/20242405TheInformationApproachtoDecisionUsefulnessEventStudyItstudiesthesecuritiesmarketreactiontoaspecificevent.事件研究是目前檢驗半強式有效市場假說的主要方法，用來了解資本市場證券價格與特定事件之間相關(guān)性的實證研究若此事件有影響，證券價格波動狀況異于無此事件時的表現(xiàn)，產(chǎn)生異常回報應(yīng)用統(tǒng)計方法檢驗異?；貓鬆顩r，以說明此事件是否對證券價格有影響常用事件:公司盈余公告、新股發(fā)行、增發(fā)和配股、股票回購或分割、股利分配、兼并收購、盈利預(yù)測，以及宏觀經(jīng)濟政策變化公告等Ball&Brown(BB,1968)study課后自學(xué)，下次課提問自行設(shè)計一個與BB研究類似研究構(gòu)想3/11/20242505TheInformationApproachtoDecisionUsefulness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(biāo)準(zhǔn)，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3/11/20242605TheInformationApproachtoDecisionUsefulness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。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)成功引進新產(chǎn)品，處置產(chǎn)房和設(shè)備，資本化開辦費，注銷研究費……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