財(cái)務(wù)會計(jì)理論(司可脫)文件04_scott_im_ch04

1、Chapter 4Efficient Securities Markets1Efficient Securities MarketsDefinition (Semi-strong form)At all timesFully reflect.All publicly available informationA relative conceptEfficiency defined relative to a stock of publicly available information2Accounting Implications of Securities Market Efficienc

2、yW. Beaver, “What Should Be the FASBs Objectives, Journal of Accountancy (1973)Full disclosure, incl. acc. policiesAccounting policies do not matter (unless cash flow effects)“Naveinvestors price-protectedAccountants in competition 3Share Price on an Efficient MarketCAPME(Rjt) = Rf(1 - j) + jE(RMt)O

3、nly firm-specific component is jHow does accounting information affect share price? See Eqn (4.2) in text:4How Does Accounting Information Affect Share Price, Contd In Eqn (4.2), Accounting Information Affects E( Pjt + Djt)E(Rjt) Does Not Change, Since Only Firm Specific Component is BetaThus Pj,t-1

4、 (i.e., current share price) Must Change in Eqn 4.2 5Information AsymmetryThe Adverse Selection ProblemInside informationInsider trading6Social Implications of Adverse SelectionSecurity Prices Do Not Reflect Fundamental ValueMisallocation of scarce capitalAll Share Prices Suffer (cost of capital)Inv

5、estors cannot distinguish good from badthin markets, as investors withdraw7Social Implications of Adverse Selection, Contd.Analogy With Used Car MarketAkerloff (1970), lemonsIn Extreme Cases, Market Collapses, or Does Not Develop in the First Place8Role of Financial ReportingControl Adverse Selectio

6、n by Means of Full DisclosureAll InformationInside Information9A Logical InconsistencyFully Informative Share PricesMarket prices collapseNo role for accounting informationPartly Informative Share Prices Concept of noise tradersExpected value of noise = 0Market efficient in expected value senseRole for accounting information10An Example of Full DisclosureManagement Discussion and AnalysisForward-looking orientationConcept of information system is implicitMore relevant tha