【文章內(nèi)容簡(jiǎn)介】 財(cái)務(wù)報(bào)表中的噪音 （ noise） 或低盈余質(zhì)量 （ low earnings quality） 。 主對(duì)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(shí)證檢驗(yàn) 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 Usefulness 24 29Jan23 05The Information Approach to Decision Usefulness 25 Event Study ? It studies the securities market reaction to a specific event. ? 事件研究是目前檢驗(yàn)半強(qiáng)式有效市場(chǎng)假說(shuō)的主要方法 ， 用來(lái)了解資本市場(chǎng)證券價(jià)格與特定事件之間相關(guān)性的實(shí)證研究 ? 若此事件有影響 ， 證券價(jià)格波動(dòng)狀況異于無(wú)此事件時(shí)的表現(xiàn) ， 產(chǎn)生異常回報(bào) ? 應(yīng)用統(tǒng)計(jì)方法檢驗(yàn)異?；貓?bào)狀況 ， 以說(shuō)明此事件是否對(duì)證券價(jià)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(gòu)或分割 、 股利分配 、 兼并收購(gòu) 、 盈利預(yù)測(cè) ， 以及宏觀經(jīng)濟(jì)政策變化公告等 ? Ball Brown (BB, 1968) study ? 課后自學(xué) ， 下次課提問(wèn) ? 自行設(shè)計(jì)一個(gè)與 BB研究類似 研究構(gòu)想 29Jan23 05The Information Approach to Decision Usefulness 26 1. 事件及窗口 估計(jì)期窗口 事件期窗口 2. 樣本 （ 分組并歸納樣本特征 ） 3. 估計(jì)正常和異常收益 4. 統(tǒng)計(jì)檢驗(yàn) 2T ? 1T?0T1T?窗口長(zhǎng)短選擇沒(méi)有固定標(biāo)準(zhǔn) ， 但數(shù)據(jù)的可得性會(huì)制約窗口長(zhǎng)短選擇 。 短窗口從幾分鐘到幾天 ， 長(zhǎng)窗口可能涉及幾個(gè)月到幾年 短窗口容易避免事件窗內(nèi)其他事件對(duì)證券價(jià)格的影響 ， 但短窗口可能錯(cuò)誤估計(jì)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(lái)長(zhǎng)窗口比較流行 ， 但長(zhǎng)窗口也存在著諸如遺漏風(fēng)險(xiǎn)因素并錯(cuò)誤計(jì)量風(fēng)險(xiǎn) 、 幸存者偏差和數(shù)據(jù)挖掘偏差等數(shù)據(jù)問(wèn)題及統(tǒng)計(jì)推斷問(wèn)題 ?正常收益，假設(shè)不發(fā)生此事件的預(yù)期收益，常用計(jì)算模型：市場(chǎng)模型、均值調(diào)整模型、市場(chǎng)調(diào)整模型 ?異常收益，事件期間內(nèi)證券實(shí)際收益與同期正常收益的差 29Jan23 05The Information Approach to Decision Usefulness 27 事件研究法是指運(yùn)用股票收益率數(shù)據(jù)來(lái)測(cè)定某一特定經(jīng)濟(jì)事件對(duì)公司價(jià)值的影響。 事件研究法先利用估計(jì)期 ,估計(jì)出事件日的期望收益 , 由事件期的實(shí)際收益扣除期望收益得到非正常收益 ,再檢驗(yàn)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(chǎng)調(diào)整模型和市場(chǎng)模型來(lái)估計(jì)。 4. The Ball and Brown Study ? Ball Brown (BB, 1968) began a tradition of empirical markets research in accounting that continues to this day. ? They were the first to provide convincing scientific evidence that firms’ share returns respond to the information content of financial statements. ? Methodology and Findings ? Causation Versus Association ? Outes of the BB Study 29Jan23 05The Information Approach to Decision Usefulness 28 Methodology and Findings ? BB examined a sample of 261 NYSE firms over nine years from 1957 to 1965. ? BB concentrated on the information content of earnings. ? BB’s first task was to measure the information content of earnings, that is, good news (GN) and bad news (BN)…… . Thus, firms with earnings higher than last year’s were classified as GN, and vice versa. ? The next task was to evaluate the market return on the shares of the sample firms near the time of each earnings announcement. This was down according to the abnormal returns procedure illustrated in Figure . The only difference was BB used monthly returns (daily returns were not available on databases in 1968) ? BB repeated their abnormal security market returns calculation for a wide window consisting of each of the 11 months prior to and 6 moths following the month of earnings release (month 0). 29Jan23 05The Information Approach to Decision Usefulness 29 Methodology and Findings Average cumulative ones 29Jan23 05The Information Approach to Decision Usefulness 30 Causation Versus Association ? If a security market reaction to accounting information is observed during a narrow window of a few days surrounding an earnings announcement, it can be argued that the accounting information is the cause of the market reaction. ? It cannot be claimed that reported ine caused the abnormal returns during the 11 months leading up to month 0. The most that can be argued is that ine and returns are associated. ? We will find that the association between share returns and earnings increased as the window widens (Easton, Harris Ohlson, 1992。 Warfield Wild, 1992) 29Jan23 05The Information Approach to Decision Usefulness 31 Outes of the BB Study ? It opened up a large number of additional usefulness issues: ? Whether the magnitude of unexpected earnings is related to the magnitude of the security market response (Beaver, Clarke Wright, 1979). ? Since 1968, accounting researchers have studied securities market response to ine on other stock exchanges, in other countries, and for quarterly earnings reports, with similar results. ? The approach has been applied to study market response to the information contained in new accounting standards, auditor changes, etc. ? Earnings response coefficients (ESC) asks a different question, namely, for a given amount of unexpected earnings, is the security market response greater for some firms than others? 29Jan23 05The Information Approach to Decision Usefulness 32 Response Coefficients(ERC) ? Reasons for Differential Market Response ? Implications of ERC Research ? Measuring Investors’ Earnings Expectations ? Summary An earnings response coefficients (ERC) measures the extent of a security’s abnormal market return in response to the unexpected ponent of reported earnings of the firm issuing that security. 29Jan23 05The Information Approach to Decision Usefulness 33 Reasons