財務報告的決策有用性

21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,1,Topic3TheDecisionUsefulnessApproachtoFinancialReporting,Topic3TheDecisionUsefulnessApproachtoFinancialReporting,1.Overview2.TheDecisionUsefulnessApproach3.Objectiveoffinancialreporting4.TheDecisionMaking5.Single-PersonDecisionTheory6.TheRational,Risk-AverseInvestor7.ThePrincipleofPortfolioDiversification8.TheOptimalInvestmentDecision,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,2,1.Overview,21-Nov-19,01OverviewofAccountingTheoryanditsresearch(QinggangWang),3,Themostusefulmeasureofnetincometoinforminvestors(tocontroladverseselection)neednotbethesameasthebestmeasuretomotivatemanagerperformance(tocontrolmoralhazard).(Gjesdal,1981),Informinvestors,Motivatemanagers,Informationthatenablesbetterinvestmentdecisions,currentvalueaccounting,Informationthatishighlyinformativeabouttheirperformance,alessvolatileandmoreconservativeincomemeasure,suchasonebasedonhistoricalcost,Thefundamentalproblemoffinancialaccountingtheoryishowtodesignandimplementconceptsandstandardsthatbesttradeofftheinvestor-informingandmanagerperformanceevaluatingrolesforaccountinginformation.,1.Overview,Giventhatthemixedmeasurementmodelretainshistoricalcostaccountingformajorclassesofassetsandliabilities:Thepresentvaluemodelfacessomesevereproblemsinpractices;Historicalcostaccountingproducesrelativelyreliableinformation,eventhoughhistoricalisnotasrelevantaspresentvalueormarket-basedapproachestocurrentvalue.Howcanfinancialstatementsbemademoreuseful?Thisleadstotheconceptofdecisionusefulness.Toproperlyunderstandthisconcept,weneedtoconsiderothertheoriesfromeconomicsandfinance.Decisiontheories;andCapitalmarkettheories.Themainpurposeofthischapteristointroduceyoutosomeofthesetheoriesandtodiscusstheirrelevancetoaccounting.,2.TheDecisionUsefulnessApproach,HistoricalPerspective1966,AAA:AStatementofBasicAccountingTheory1973,AICPATruebloodCommission:ObjectivesofFinancialstatementsContrastiveapproach:Stewardship(Chapter8)Inadoptingthedecisionusefulnessapproach,twomajorquestionsmustbeaddressed:Firs,whoaretheusersoffinancialstatements?ConstituenciesSecond,whatarethedecisionproblemsoffinancialstatementusers?,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,6,2.TheDecisionUsefulnessApproach,ItistheinvestorsresponsibilitytomakeinvestmentdecisionsRoleoffinancialreportingistosupplyinformationthatisusefulforthispurposeInformationisevidencethathasthepotentialtoaffectanindividualsdecisiontheGNorBNinthefinancialstatements,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,7,2.TheDecisionUsefulnessApproach,Toprepareusefulinformation,theaccountantmustknowhowinvestorsmakedecisionsRoleoftherationaldecisiontheorymodelinfinancialreportingHelpsusunderstandhowfinancialstatementinformationhelpsinvestorstomakeinvestmentdecisionsCapturesaverageinvestorbehaviour?,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,8,2.TheDecisionUsefulnessApproach,PriorprobabilitiesaresubjectiveInvestorassessesthembasedonallinformationavailablepriortotheinvestmentdecisionIfpriorprobabilitiesaresubjective,soareposteriorprobabilitiesHowever,iffinancialstatementinformationisinformative,posteriorprobabilitiesarebetterpredictorsoffuturefirmperformancethanpriorprobabilitiesHowisfinancialstatementinformationuseful?,Processofcommunication,Companysactivities,FinancialReporting,Userperception,3.ObjectiveofFinancialStatement,Essentialcharacteristicsofaccountingare:theidentification,measurement,andcommunicationoffinancialinformationabouteconomicentitiestointerestedparties.,IdentificationofUsers,UserInformationNeeds,AccountingSystem,Reports,EconomicDataandActivities,AccountingAnInformationProcess,11,11,11,3.Objectiveoffinancialreporting,Primaryusers:existingandpotentialinvestors,lenders,andothercreditorsbuying,sellingorholdingequityanddebtinstrumentsdividends,principalandinterestpaymentsormarketpriceincreases.meettheneedsofthemaximumnumberofprimaryusers.Regulators?Management?,12,12,12,3.Objectiveoffinancialreporting,providefinancialinformationthatisusefultousersinmakingdecisionsaboutprovidingresourcestotheentityarenotdesignedtoshowthevalueofareportingentity;buttheyprovideinformationtohelpuserstoestimatethevalueofthereportingentity.assessmentoftheamount,timing,anduncertaintyoffuturenetcashinflowstotheentityHowtodefinetheconceptofassets,andliabilities?,13,13,13,3.Objectiveoffinancialreporting,Usefulinformationtheresources,claims,andchangesinthoseresourcesandclaimsFinancialperformanceaccrualaccountingVScashflowsChangesinresourcesandclaimsnotresultingfromfinancialperformanceInformationabouttheefficiencyandeffectivenessoftheuseofresourcesdonotandcannotprovidealloftheinformationusersneedtoconsiderpertinentinformationfromothersources,eg,generaleconomicconditionsandexpectations,politicaleventsandpoliticalclimate,andindustryandcompanyoutlooks.,Illustration2-2HierarchyofAccountingQualities,4.TheDecisionMaking,Accountantshavedecidedthatinvestorsareamajorconstituencyofusersandhaveturnedtovarioustheoriesofdecisionandinvestment:Single-persondecisiontheoryTounderstandhowindividualsmaymakerationaldecisionsunderuncertainty.TheoryofinvestmentAspecializationofdecisiontheorytomodelthedecisionprocessesofarationalinvestor;tounderstandthenatureofriskinportfolioinvestmentcontext.,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,16,4.1Decision-MakingEnvironments,Certaintyreferstoadecisionenvironmentinwhichtheresultsofselectingeachalternativeareknownbeforethedecisionismade.UncertaintyreferstoadecisionenvironmentinwhichthedecisionmakerdoesnotknowwhatoutcomewilloccurwhenanalternativeisselectedThegoalofdecisionanalysisistofocusonmakinggooddecisions,whichinthelongrunshouldresultinanincreasednumberofgoodoutcomes,4.2Decisionmakingprocess,21-Nov-19,01OverviewofAccountingTheoryanditsresearch(QinggangWang),17,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,18,4.2BasicDecisionProcess,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,19,5.Single-PersonDecisionTheory,Ittakestheviewpointofanindividualwhomustmakeadecisionunderconditionsofuncertainty.stateprobabilitiesarenolongerobjectivesetsoutaformalprocedurewherebytheindividualcanmakethebestdecision,byselectingfromasetofalternatives.Additionalinformationcanbeobtainedtorevisethedecision-makerssubjectiveassessmentoftheprobabilitiesofwhatmighthappenafterthedecisionismade.,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,20,5.Single-PersonDecisionTheory,TherationalinvestorOptimalforecasts(thebestguessofthefuture)usingallavailableinformation,but.NeedsinformationaboutriskaswellasexpectedreturnCanexpressclearpreferencesamongcommoditiesPrefersmoretolessPreferencesarealwaystransitive,AB,andBC,thenACAB,andBC,thenAExpectedearningsBG:ActualearningsExpectedearnings,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,27,ShowsEvidenceProbabilities,ConditionalonEachState,forInputintoBayesTheorem,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,28,Consideraninvestorwith$10,000toinvestinoneofthefollowingmutuallyexclusiveacts:a1:buysharesofxLtd.For$10,000a2:buyCanadaSavingsBonds(CSB)for$10,000Lettherebe3“statesofnature”:1:sharesfall10%inmarketvalue2:sharesholdsteady3:sharesrise80%,Example,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,29,Example,cont,PayoffTablePriorProbabilities,P(1)=.05P(2)=.70P(3)=.251.00,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,30,Example,cont,Assumetheinvestorusesexpectedmonetaryvalueasadecisioncriterion(EMV)EMV(a1):(.05)(-1000)+0+.25(8000)=1950EMV(a2):(.05)(1000)+.70(1000)+.25(1000)=1000Therefore,ifinvestoractsnow,shouldtakea1.But:Maybeworthwhiletosecureadditionalinformation.,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,31,DecisionProblem,ThinkofthefinancialstatementsofXLtd.asaninformationsystemconveyinginformationaboutprobabilitiesof.Assumethefinancialstatementswillgiveoneofthefollowing3mutuallyexclusivemessages:,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,32,BayesTheorem(Rule),ThebasicprincipleofBayesTheoremisthatadditionalinformationcanchangeadecisionmakerspriorbeliefsabouttheoccurrenceofanevent,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,33,DecisionProblem,Cont.,Theinformationsystemcanbecharacterizedbythefollowingtable:,Theseconditionalprobabilities,orlikelihoods,aretheprobabilitiesofreceivingthevariousmessagesconditionaloneachstatebeingtrue.,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,34,DecisionProblem,Cont.,Now,foranymessage,thedecisionmakercanrevisehis/herpriorprobabilitiesusingBayesTheorem.Supposethatm1wasreceivedfromthefinancialstatements.,=P(m1)=.05.75+.70.5+.25.10=.4125,=.85=.061.00,Then:,Similarly:,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,35,DecisionProblem,Cont.,NotetheEMVofeachactis,Soifm1werereceivedacta2wouldbechosen.,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,36,DecisionProblem,Cont.,Youshouldverifythatifm2wasreceived:,where,Andtheoptionalactisthena1withEMVof$1444.60.0370(-1000)+0.77780+0.18528000=1444.6,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,37,DecisionProblem,Cont.,Similarly,ifm3wasreceived:,where,Andtheoptionalactisthena1withEMVof$4401.70.0079(-1000)+0.44090+0.55128000=4401.7,7.TheRational,Risk-AverseInvestor,RiskUtilityFunctionTomodelriskaversion,decisiontheoristsusethedeviceofautilityfunction,whichrelatespayoffamountstothedecision-makersutility,確定性決策：能取得確定結果的決策不確定性決策：不能取得確定結果的決策確定性等價：具有與某項決策的效用期望值相等效用的確定性決策,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,39,RiskPreferenceAttitudes,確定性等價的效用等于確定性決策的效用效用線是直線不要求風險補償，預期收益率等于無風險利率,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,40,RiskPreferenceAttitudes,$0,$2,000,$4,000,$6,000,$8,000,$10,000,0,0.25,0.50,0.75,1,-$2,000,Risk-AversePreferenceFunction,確定性等價的效用小于確定性決策的效用在其它條件相同的情況下，投資者將選擇標準差較小的組合,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,41,RiskPreferenceAttitudes,確定性等價的效用大于確定性決策的效用,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,42,AreSecuritiesMarketsFullyEfficient?,BehaviouralfinanceBehaviouralcharacteristicsthatquestionmarketefficiencyLimitedattentionOverconfidenceRepresentativenessSelf-attributionbiasLeadingtomomentum,成功歸于自身能力失敗歸于外在因素,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,43,ProspectTheory,AnAlternativeTheoryofDecisionMakingSeparateevaluationofgainsandlossesWeightingofprobabilitiesOverconfidence:rareeventsunderweightedRepresentativeness:likelyeventsoverweightedLeadstoadispositioneffectImplicationsforfinancialaccountingLeadstoearningsmanagementtoavoidreportingsmalllosses?Prudenceconcept,出贏保虧：賣出賺錢的股票、持有賠錢的股票,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,44,ProspectTheoryUtilityFunction,u(x),Gainx,loss,兩種選擇：A肯定贏100萬元，B50%可能性贏200萬元，50%可能性什么也得不到？大部分人會選A，這說明人們是風險規(guī)避的,兩種選擇：A肯定損失100萬元，B50%可能性損失200萬元，50%可能性損失為零大部分人選B，這說明人們是風險偏好的,在盈利和虧損兩種狀態(tài)下，人們的風險態(tài)度不僅不一致，且不對稱,收益和風險分開評估,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,45,8.ThePrincipleofPortfolioDiversification,systematicrisk(generalmarketrisk)VSnon-systemrisk(Uniquerisk)Triestomaximizeportfolioexpectedreturnforagivenamountofportfoliorisk,orequivalentlyminimizeriskforagivenlevelofexpectedreturn,bycarefullychoosingtheproportionsofvariousassetsCollectionofinvestmentassetsthathascollectivelylowerriskthananyindividualasset.differenttypesofassetsoftenchangeinvalueinoppositeways.Fourbasicstepsinvolvedinportfolioconstruction-Securityvaluation-Assetallocation-Portfoliooptimization-Performancemeasurement,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,46,PreferenceforRisk,Theconceptofriskaversionisimportanttoaccountants,becauseitmeansthatinvestorsneedinformationconcerningtherisk,aswellastheexpectedvalue,offuturereturns.Suchinvestorsneedinformationtohelpthemassesssecuritiesexpectedreturnsandriskinessofthesereturns.Betaisanimportantriskmeasure.,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,47,Beta,DefinitionStandardizedcovariancebetweenreturnonshareandreturnonmarketOnlyrelevantriskmeasureforareasonablydiversifiedinvestorWhy?BecausefirmspecificriskdiversifiesawayImplication=investorsdontneedaccountinginfo?,21-Nov-19,06TheMeasurementApproachtoDecisionUsefulness(QinggangWang),48,EstimatingBeta(continued),UsuallyavailableonafinancialwebsiteGooglefinance:,8.ThePrincipleofPortfolioDiversification,SummaryRisk-averseinvestorscantakeadvantageoftheprincipleofportfoliodiversificationtoreducetheirrisk,byinvestinginaportfolioofsecurities.Thisisbecauserealizationsoffirm-specificstatesofnaturetendtocanceloutacrosssecurities,leavingeconomy-widefactorsasthemaincontributorstoportfoliorisk.Regardlessofthedegreeofriskaversion,weknowthatutilityincreasesinexpectedrateofreturnanddecreasesinvarianceoftheportfolio.,21-Nov-19,03TheDecisionUsefulnessApproachtoFinancialReporting,49,TheOptimalInvestmentDecision,HoldingthemarketportfolioThefirm-specificriskstendtocancelout;Suchnon-diversifiableriskiscalledsystematicr