【正文】 ? 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。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(jì)。 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(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)式有效市場假說的主要方法 ， 用來了解資本市場證券價(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)狀況異于無此事件時(shí)的表現(xiàn) ， 產(chǎn)生異?；貓?bào) ? 應(yīng)用統(tǒng)計(jì)方法檢驗(yàn)異?；貓?bào)狀況 ， 以說明此事件是否對證券價(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 、 股票回購或分割 、 股利分配 、 兼并收購 、 盈利預(yù)測 ， 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 ? 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?窗口長短選擇沒有固定標(biāo)準(zhǔn) ， 但數(shù)據(jù)的可得性會(huì)制約窗口長短選擇 。 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。 ? Despite the difficulties of designing experiments to test the implications of decision usefulness, accounting research has established that security market prices do respond to accounting information, that is an examination of empirical research in accounting. 29Jan23 05The Information Approach to Decision Usefulness 3 ? If the efficient markets theory and the decision theories underlying it are reasonable descriptions to reality on average, we should observe the market values of securities responding in predictable ways to new information. ? The degree of usefulness for investors can be measured by the extent of volume or price change following release of the information. ? The equating of usefulness to information content is called the information approach to decision usefulness of financial