財(cái)務(wù)會(huì)計(jì)理論sccot第四章有效證券市場(更新版)
【正文】 tected ?Accountants in petition Accounting Implications of Securities Market Efficiency ? 只要會(huì)計(jì)政策沒有導(dǎo)致現(xiàn)金流量產(chǎn)生差別的后果，或?qū)λ捎玫奶囟〞?huì)計(jì)政策所形成的差別予以披露，以及投資者能獲得足夠的信息以致能夠在不同的會(huì)計(jì)政策之間做出抉擇的話，公司所采取的會(huì)計(jì)政策便不會(huì)影響證券的市價(jià) ? 只要會(huì)計(jì)政策沒有導(dǎo)致現(xiàn)金流量產(chǎn)生差別的后果，或?qū)λ捎玫奶囟〞?huì)計(jì)政策所形成的差別予以披露，以及投資者能獲得足夠的信息以致能夠在不同的會(huì)計(jì)政策之間做出抉擇的話，公司所采取的會(huì)計(jì)政策便不會(huì)影響證券的市價(jià) Accounting Implications of Securities Market Efficiency ? 市場的有效性意味著公司不必過分考慮無知的投資者，即財(cái)務(wù)報(bào)表信息不必用過于簡單的方式表達(dá)，以致任何人都能理解。s stock based on an examination of the firm39。 αj+βj*RMt為預(yù)期部分， εjt為未予期部分 ? 收集某一證券 N期的歷史 Rjt ， N期的 RMt，就可以估計(jì)該證券的 β值，并計(jì)算出所謂的 αj CAPM： 主要用途 ? 計(jì)算出某一股票歷史的 αj和 βj有什么用？ ?假定公司長期的 βj值不變，可以用來計(jì)算在新的市場條件下（ E(RMt）），未來該股票的預(yù)期收益。s stock based on historical price performance and overall stock market trends. Efficient Securities Markets ? Definition (Semistrong form) ?At all times… ?Fully reflect... ?All publicly available information… ?A relative concept ? Efficiency defined relative to a stock of publicly available information Accounting Implications of Securities Market Efficiency ? W. Beaver, “What Should Be the FASB’s Objectives,” Journal of Accountancy (1973) ?Full disclosure, incl. acc. policies ?Accounting policies do not matter (unless cash flow effects) ?“Na239。s financial statements. ? Technical analysis ?Attempts to predict the market price of a pany39。 ?未來真正實(shí)現(xiàn)的收益，與上述預(yù)期收益之差額，即為 εjt， 稱之為非正常收益（ Abnormal Return） Information Asymmetry and Role of Financial Reporting ? The Adverse Selection Problem ?Inside information ? Insider trading ? Security Prices Do Not Reflect Fundamental Value ?Misallocation of scarce capital ? All Share Prices Suffer (cost of capital) ?Investors cannot distinguish good from bad ?thin markets, as investors withdraw An Example of Full Disclosure ? Management Discussion and Analysis ?Forwardlooking orientation ?Concept of information system is implicit ?More relevant than historical costbased financial statements. Less reliable? ?Reasonably consistent with decision theory THE END !
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