【正文】 eturn (market prices) on day 0 as calculated above with the unexpected ponent of firm’s current reported ine (accounting information). ? If this unexpected ine is good news (that is, a positive one), given securities market efficiency, a positive abnormal share return constitutes evidence that investors on average are reacting favorably to the expected good news in earnings. ? To increase the power of the investigation, the researcher may wish to similarly pare a few days on either side of day 0. Comparing Returns and Ine ? If positive and negative abnormal returns surrounding good or bad news are found to hold across a sample of firms, the researcher may conclude that predictions based on the decision theory and efficient securities market theory are supported (that is, accounting information is useful). ? 一種復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） 。Topic5 The Information Approach to Decision Usefulness Topic5 The Information Approach to Decision Usefulness ? ? of the Research Problem ? information and Market Response ? Ball and Brown Study ? Response Coefficients (ERC) ? Caveat About the “Best” Accounting Policy ? Information Content of Other Financial Statement Information ? 29Jan23 05The Information Approach to Decision Usefulness 2 1. Overview ? 霍桑實驗 —— 車間照明實驗 ? 實驗目的 ：弄清照明強度 （ 自變量 ） 對生產(chǎn)效率 （ 因變量 ） 所產(chǎn)生的影響 。 and (c) they do not depend primarily on decision or determinations by management or owners. 29Jan23 05The Information Approach to Decision Usefulness 14 1989 revision ? This revision was designed to resolve the issue of classificatory smoothing, whereby management could smooth (or otherwise manage earnings from continuing operations by choosing to classify unusual items above or below the operating earnings line (Barnea, Ronen Sadan, 1976). ? However, the nature of the improvement can be questioned…… ? Two related problems arising from this revision: ? First, if unusual and nonrecurring items are not fully disclosed, investors may overestimate the persistence of operating ine。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。 ? Second, they supports the theory of securities market efficiency and the decision theories that underlie it. ? Finally, they support the decision usefulness approach to financial reporting. 29Jan23 05The Information Approach to Decision Usefulness 43 Caveat About the “Best” Accounting Policy ? However, what accountants cannot do is claim that the best accounting policy is the one that produces the greatest market response. Why not? ? The reason is that information has characteristics of a public good. As a result, investors may perceive accounting information as useful even though from society’s standpoint the costs of this information outweigh the benefits to investors. ? It is still true that accountants can be guided by market response to maintain and improve their petitive position as suppliers to the marketplace for information. It is also true that securities markets will work better to the extent security prices provide good indications of underlying real investment opportunities. ? However, these social considerations do suggest that, as a general rule, accounting standard setting bodies should be wary of using securities market response to guide their decisions. 29Jan23 05The Information Approach to Decision Usefulness 44 Information Content of Other Financial Statement Information ? Evidence of usefulness is mixed: ? Magliolo (1986) and Doran, Collins Dhaliwal (1988) were unable to find more than a weak market reaction to RRA. ? Boone (2023) reported a stronger market reaction to RRA information than to historical costbased information, and argued that the relatively weak reaction reported by earlier researchers is due to statistical problems in their methodology. ? Possible explanation: ? Low reliability。 ? Easton Harris (1991) found both changes in and levels of ine are ponents of the market’s earnings expectation. ? (To be continued…… ) 29Jan23 05The Information Approach to Decision Usefulness 41 Measuring Investors’ Earnings Expectations ? Under the ideal conditions, expected earnings is simply accretion of discount on opening firm value. ? When conditions are not ideal: ? Another source of earnings expectations is analysts’ forecasts. Since rational investors will presumably use the most accurate forecast. ? Analysts’ forecasts are more accurate than time series forecasts (Brown et al, 1987。 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 （ high quality） 信息系統(tǒng)的信息含量能夠被實證檢驗 information and Market Response Permanent: expected to last indefinitely Transitory: affecting earrings in the current year only Price Irrelevant: zero persistency Types of Earning Events 29Jan23 05The Information Approach to Decision Usefulne