03-会计信息价值相关性研究课件
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03-会计信息价值相关性研究
association study
• An association study tests for a positive correlation between an accounting performance measure (e.g., earnings or cash flow from operations) and stock returns, both measured over relatively long, contemporaneous time periods, e.g., one year.
• Kothari, S.P., 2001. Capital markets research in accounting. JAE 31, 105–231. • Kothari, S.P., Zimmerman, J., 1995. Price and return models. JAE 20, 155–192.
• Kothari(2001)
• Ball and Brown (1968) and Beaver (1968) are the pioneering studies in capital markets research in accounting.Both perform an event study and Ball and Brown also conduct an association study.
03-会计信息价值相关性研究
价值相关性与相关性、可靠性(BBL2001, P81)
• Value relevance tests generally joint tests of relevance and reliability.
• Finding value relevance indicates the accounting amount is relevant and reliable, at least to some degree,
• Holthausen, R.W., Watts, R.L., 2001. The relevance of the value relevance literature for financial accounting standard setting. JAE 31: 3-75. -------HW2001
• Collins, D., Maydew, E., Weiss, I., 1997. Changes in the value-relevance of earnings and book values over the past forty years. JAE 24, 39–67. -------CMW1997
03 会计信息价值相关性研究
03-会计信息价值相关性研究
有关文献
• Barth et al. 2001. The relevance of the value relevance literature for financial accounting standard setting: another view. JAE 31: 77-104. --------BBL2001
• Both types of studies are now common in the literature.
03-会计信息价值相关性研究
event study ( information content study)
• In an event study, one infers whether an event, such as an earnings announcement, conveys new information to market participants as reflected in changes in the level or variability of security prices or trading volume over a short time period around the event
03-会计信息价值相关性研究
为什么研究价值相关性
• 检验会计信息的相关性和可靠性
• 相关性和可靠性是SFAC No. 5明确提出的两个目标
• 背景
• 在20世纪60年代，一些（规范）会计理论家认为基于历史成本的财务会 计核算体系难以提供决策有用的信息
• Ball & Brown(1968)则证明即使是基于历史成本的会计信息仍然能够提供 决策有用的信息
• The first study that uses the term ‘‘value relevance’’ to describe this association is Amir et al. (1993).
• Academic researchers are the primary producers and intended consumers of value relevance research.
--------KZ1995
03-会计信息价值相关性研究
何谓价值相关性
• BBL(2001)
• In the extant literature, an accounting amount is defined as value relevant if it has a predicted association with equity market values
• It is difficult to attribute the cause of lack of value relevance to one or the other attribute.
03-会计信息价值相关性研究
association studies & information content studies
03-会计信息价值相关性研究
• Since market participants have access to many more timely sources of information about a firm’s cash flow generating ability, association studies do not presume that accounting reports are the only source of information to market participants.
association study
• An association study tests for a positive correlation between an accounting performance measure (e.g., earnings or cash flow from operations) and stock returns, both measured over relatively long, contemporaneous time periods, e.g., one year.
• Kothari, S.P., 2001. Capital markets research in accounting. JAE 31, 105–231. • Kothari, S.P., Zimmerman, J., 1995. Price and return models. JAE 20, 155–192.
• Kothari(2001)
• Ball and Brown (1968) and Beaver (1968) are the pioneering studies in capital markets research in accounting.Both perform an event study and Ball and Brown also conduct an association study.
03-会计信息价值相关性研究
价值相关性与相关性、可靠性(BBL2001, P81)
• Value relevance tests generally joint tests of relevance and reliability.
• Finding value relevance indicates the accounting amount is relevant and reliable, at least to some degree,
• Holthausen, R.W., Watts, R.L., 2001. The relevance of the value relevance literature for financial accounting standard setting. JAE 31: 3-75. -------HW2001
• Collins, D., Maydew, E., Weiss, I., 1997. Changes in the value-relevance of earnings and book values over the past forty years. JAE 24, 39–67. -------CMW1997
03 会计信息价值相关性研究
03-会计信息价值相关性研究
有关文献
• Barth et al. 2001. The relevance of the value relevance literature for financial accounting standard setting: another view. JAE 31: 77-104. --------BBL2001
• Both types of studies are now common in the literature.
03-会计信息价值相关性研究
event study ( information content study)
• In an event study, one infers whether an event, such as an earnings announcement, conveys new information to market participants as reflected in changes in the level or variability of security prices or trading volume over a short time period around the event
03-会计信息价值相关性研究
为什么研究价值相关性
• 检验会计信息的相关性和可靠性
• 相关性和可靠性是SFAC No. 5明确提出的两个目标
• 背景
• 在20世纪60年代，一些（规范）会计理论家认为基于历史成本的财务会 计核算体系难以提供决策有用的信息
• Ball & Brown(1968)则证明即使是基于历史成本的会计信息仍然能够提供 决策有用的信息
• The first study that uses the term ‘‘value relevance’’ to describe this association is Amir et al. (1993).
• Academic researchers are the primary producers and intended consumers of value relevance research.
--------KZ1995
03-会计信息价值相关性研究
何谓价值相关性
• BBL(2001)
• In the extant literature, an accounting amount is defined as value relevant if it has a predicted association with equity market values
• It is difficult to attribute the cause of lack of value relevance to one or the other attribute.
03-会计信息价值相关性研究
association studies & information content studies
03-会计信息价值相关性研究
• Since market participants have access to many more timely sources of information about a firm’s cash flow generating ability, association studies do not presume that accounting reports are the only source of information to market participants.