会计研究方法和模型2010课件

,单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,*,会计实证研究基础框架和基础方法,杨丹,博士生导师、教授,西南财经大学工商管理学院 执行院长,财政部中国会计学术带头人,中国金融会计学会专家委员会委员,Email: yangd,会计实证研究基础框架和基础方法杨丹,1,内容,会计实证研究理论框架,会计实证研究方法分类,会计实证研究的基本模型,内容会计实证研究理论框架,2,内容,会计实证研究理论框架,会计实证研究方法分类,会计实证研究的基本模型,内容会计实证研究理论框架,3,引言：资本市场实证研究重要性,实证研究的重要性,经验哲学和先验哲学,波普尔的证伪主义：经验证伪原则。,他指出经验科学的特征在于它的方法,但这种方法并不是经验主义所主张的归纳法。波普尔认为从单称陈述中归纳出普遍陈述,这是不可能的。波普尔认为,科学的理论或命题不可能被经验证实,只能被经验证伪。没有提供证伪结构的理论就是伪科学。,引言：资本市场实证研究重要性实证研究的重要性,4,研究划分,层次划分：基础研究、应用研究、开发研究、政策研究,领域划分：自然科学研究、社会科学、人文/艺术研究(一般不叫科学，但并非较低)、哲学研究,研究方法：运用科学方法的研究、运用其他方法的研究,研究划分层次划分：基础研究、应用研究、开发研究、政策研究,5,资本市场实证研究的重要性,资本市场提供了最综合性的对企业成功的衡量标准：,利润管理,现金管理,价值管理,资本市场实证研究的重要性资本市场提供了最综合性的对企业成功的,6,上市公司,有形资产（亿元美金）,帐面价值,市场价值,美国在线 AOL 10 1200,可口可乐 COCA-COLA 160 1600,迪斯尼 WALT DISNEY 150 420,福特汽车 FORD MOTOR 2820 430,上市公司 有形资,7,管理思路即如何增加价值，局部的优化决策不一定增进价值。,会计信息观即考虑如何使会计信息有用。会计(社会责任)等信息和市场价值的关系就是资本市场实证研究的主要内容。-会计信息含量,投融资、股利和治理等对价值的影响就是财务管理（公司金融）实证研究,管理思路即如何增加价值，局部的优化决策不一定增进价值。,8,价值创造过程的三大问题,资源问题：资本流动,动机问题：代理关系,经理人和股东：Jensen & Meckling 1976，-公司治理,股东和债权人：Smith & Warner 1979，-最佳合同,大股东和小股东：LLSV 2000，-投资者保护,信息问题：信息不对称（Akerlof 1970）-会计信息含量,价值创造过程的三大问题资源问题：资本流动,9,资本市场基本框架：,Paul M. Healy Krishna G. Palepu,Journal of Accounting and Economics 31 (2001) 405440,资本市场基本框架：Paul M. Healy Krishn,10,Research implications,The information and agency frameworks raise a number of important questions for financial reporting and disclosure researchers.,(i) the role of disclosure and financial reporting regulation in mitigating information and agency problems,(ii) the effectiveness of auditors and information intermediaries as a means of increasing the credibility of management disclosures and uncovering new information,(iii) factors affecting decisions by managers on financial reporting and disclosure, and,(iv) the economic consequences of disclosure.,yangd,Research implicationsThe infor,11,会计研究方法和模型2010课件,12,会计信息链条,信息传递者,信息编码,噪音,信息解码,信息使用者,会计信息链条信息传递者,13,会计理论的功能,指导（Guide）会计实务,评估（Evaluate）会计实务,解释（Explain）会计实务,预测（Predict）会计实务,规范性（Normative,/Prescriptive）理论,实证性（Positive,/Descriptive）理论,会计理论的功能指导（Guide）会计实务规范性（Normat,14,会计理论的结构,会计目的,基本假设,广泛原则,详细方法,规范性（演绎法）,实证性（归纳法）,会计理论的结构会计目的基本假设广泛原则详细方法规范性（演绎法,15,1、实证会计研究的演进,早期研究：收益决定模型（1920s -1930s），研究已经存在的会计方法的理论原则，以及如何确定真实收益,决策有用性研究（1960年以后）：,（1）最初，描述现存的会计方法,（2）会计信息对经济决策的影响，即会计信息含量，主要基于CAPM和EMH,（3）解释会计管制：如政府对会计的管制及各种准则制定团体的出现,（4）会计对社会福利的影响，即会计准则的政治本质,（5）会计在契约中的应用（ Positive Accounting ）,1、实证会计研究的演进早期研究：收益决定模型（1920s -,16,会计信息的功用：当代观点,（1）信息观（Information perspective）,对经济收益观批判的产物，信息观认为，在市场不完全和充满不确定性的现实世界中，任何会计方法都不可能得到企业的“真实收益”，会计信息的功用是向投资者传递某种有助于判断和估计经济收益的“信号”而不是经济收益本身。投资者在接到该信号后，会产生信念的改变：a均值改变；b方差改变；c两者同时改变。,实证模型：AR=a+bUE+,代表人物：BEAVER等,会计信息的功用：当代观点（1）信息观（Information,17,（2）计价观（valuation perspective）,历史上有两次：一次是古典计价观；一次是当代计价观。,区别：a、强调的内容不同；,b、假设不同,c、实质不同：完全作用、作用程度,当代计价观与信息观的区别：前者指出会计盈余数字虽然不等于经济收益，但它赋予会计数字与股票价格之间的直接联系；后者会计盈余只是一种信号，这种信号必须通过某种更具资产价值属性的变量（股利）才能与股票价格相关联。,（2）计价观（valuation perspective）历,18,实证方面：一般不做严格的区分，但是前者往往用股价作为因变量，而后者却用股价的变动作为因变量。换句话说，计价观研究中心在资产负债表；信息观则在损益表。,P=a+bE+ b的大小成为关注重点,代表人物：OHLSON、PENMAN等,实证方面：一般不做严格的区分，但是前者往往用股价作为因变量，,19,（3）契约观（contract perspective）,认为一切会计理论都是利益集团为推行符合自身利益的会计政策而制造的借口，因而是不科学的，只有研究利益集团之间对会计政策的主张和选择、旨在解释和预测会计实务而不是规范会计实务的会计理论才是客观和可行的。为此提出了positive accounting。,不仅分析了传统会计理论体系的缺陷，而且及时地在新的会计理论体系中引入企业代理理论，以契约成本为核心理念，建立了实证会计理论框架。,企业是一组契约的集合，最难解决的是委托代理关系（逆向选择、道德风险）,契约理论是信息观和计价观的一个非常必要的补充。,代表人物：WATTS 、ZIMMERMAN,（3）契约观（contract perspective）认为,20,会计信息：现金,应计利润,信息含量,（增量信息）,价格模型,（存量信息）,有效率的经济,审计师：作为Y或X审计意见、审计收费、审计师选择,概念：,可靠、相关、一致、重要、,可比、谨慎,度量：,资产、负债、盈余、应计利润、公允价值,GAAP,会计师：,盈余管理和会计政策,行为会计,投资者：,个人和机构行为研究,公司投融资行为：,公司治理,盈余预测,资本结构,股利政策,非会计信息：环保、社会责任,有效率的经济,会计信息加工使用过程的研究,会计信息：现金信息含量有效率的经济审计师：作为Y或X审计意见,21,资本市场实证研究,财务会计,审计,管理会计,财务管理（公司金融）,资本市场实证研究财务会计,22,资本市场实证研究,财务会计,Acctg standards research,Research on info. Content of listed companies,Fin. analysts forecast research,Acctg. info. disclosure research,Decision-making usefulness research,资本市场实证研究财务会计,23,财务管理,Market Efficiency,IPO and financing research,Capital structure research,Capital cost research,Investment strategy and corporate performance research,Corporate governance research,Dividend policy research,Risk management,财务管理,24,管理会计,绩效评价,内部控制,成本会计,管理会计绩效评价,25,审计,Auditing quality research,Auditors change research,Auditing pricing research,Auditing opining research,Auditing function research (related to earnings management , corporate governance and the improvement of performance and info. quality, etc.),Info. contents of auditing report research,Auditing standards research,审计,26,公司治理,Corporate governance with accounting,Corporate governance with finance,Corporate governance with auditing,公司治理,27,内容,会计实证研究理论框架,会计实证研究方法分类,会计实证研究的基本模型,内容会计实证研究理论框架,28,会计实证研究方法分类,会计实证研究方法分类,29,规范研究与实证研究,规范研究(Normative Research)：世界应该怎样,实证研究(Positive Research)：世界是怎样,面对不同的情况，选择不同的研究范式,区分规范研究和实证研究的好坏，就象比较苹果和橘子哪个好吃一样,规范研究与实证研究规范研究(Normative Resear,30,Positive Research,Analytical research,Modeling,Deduction,Archival research,Surveys (e.g., mail questionnaire),Field tests,Case Study,Experiments,Positive ResearchAnalytical re,31,研究方法的三维度特性,Scientist as,Observer,Naturalistic Observation,Laboratory Research,Scientist as Participant,True Experiment,Field Research,研究方法的三维度特性Scientist as Natural,32,学术论文范式,1 演绎范式,：逻辑演绎或思辨的方法阐明思想（管理理论和管理哲学）,罗珉，刘永俊.企业动态能力理论架构与构成要素J.中国工业经济，2009年1月,2 数理范式,：数学公式推导证明思想、数学要求相对较高（营销、物流、产业经济学）,Yang Shilei, Charles L. Munson, Bintong Chen. Using MSRP to enhance the ability of rebates to control distribution channels. European Journal of Operational Research，205 (2010) 127135,学术论文范式1 演绎范式：逻辑演绎或思辨的方法阐明思想（管理,33,3 档案类研究,：二手数据+计量方法或统计方法、计量要求相对较高（财务、金融、产业经济学 ）,杨丹，魏韫新，叶建明.股权分置对中国资本市场实证研究的影响及模型修正J.经济研究，2008年第三期,4 调研类,：问卷调查+统计方法或计量方法（营销、人力资源、财务、金融）,唐小飞，贾建民，周庭锐.关系投资和价格促销的价值比较研究J.管理世界，2007年第五期,3 档案类研究：二手数据+计量方法或统计方法、计量要求相对较,34,5 实验研究,：实验室实验+统计方法或计量方法（营销、人力资源、财务、金融、经济学）,杜建刚,范秀成.服务消费中多次情绪感染对消费者负面情绪的动态影响机制J.心理学报,2009年第4期.,1、2一般称为理论研究；3、4和5一般称为经验研究,5 实验研究：实验室实验+统计方法或计量方法（营销、人力资源,35,Advantages of Experimental Method,Clear manipulation and control - make a strong case of causality and increase internal validity,E.g., studies on Earnings Management,Study the process of decision-making,E.g., stock market reactions to accounting information,Allows for “what if” scenario,E.g., study the effect of a newly proposed accounting standard,Advantages of Experimental Met,36,Challenges in Using Experimental Method,Limited External Validity,Difficulty in designing experiments,Issues about participants,Issues about materials,Challenges in Using Experiment,37,Advantages of Survey Method,Representative sample can be collected from the desired population in a variety of locations at low cost,;,Can keep the richness of the real business world.,Advantages of Survey MethodRep,38,Challenges in Using Survey Method,Limited internal validity,Hard to conclude causality,Demand or response bias,Self-report bias,Hypothesis guessing,Challenges in Using Survey Met,39,资本市场试验方法Vs档案式研究：优势,档案试验主要看X和Y是否关联，试验研究可以深入解决“为什么”的问题，提供解释的视角,试验研究可以进行过程研究，回答“How”的问题,在没有档案数据的时候，比如新准则刚使用、报告调整的时候仍可以研究,可以有效控制其他变量。,资本市场试验方法Vs档案式研究：优势档案试验主要看X和Y是否,40,试验方法Vs档案式研究：劣势,需要寻找样本,设计试验和执行成本高,风险较大,内部有效性和外部有效性的权衡，外部有效性较少。,试验方法Vs档案式研究：劣势需要寻找样本,41,近期财务会计文章理论基础和研究方法,Economic Theory,Psychology Theory,Total,Archival Method,580 articles (98%),13 articles (2%),593 articles,Experimental Method,10 articles (29%),25 articles (71%),35 articles,Total,590 articles,38 articles,Lisa Koonce & Molly Mercer (2004):Using Psychology Theories in Archival Financial Accounting Research.,近期财务会计文章理论基础和研究方法Economic Theo,42,内容,会计实证研究理论框架,会计实证研究方法分类,会计实证研究的基本模型,内容会计实证研究理论框架,43,基本模型一：ERC和实证会计的开始,基本模型一：ERC和实证会计的开始,44,Perspective,Information,Measurement,Whose point of view,u,sers,preparers and standard setters,Objective,u,se accounting information to determine stock prices,use stock prices as benchmark to determine the relevance of accounting information,Research focus,markets response to announcement of accounting information,the association between stock price (or return) and accounting information,Timing of information,Important,Not important,Information vs.,Measurement,Perspective,PerspectiveInformationMeasurem,45,Earnings,-,returns relationship and the two perspectives,Return: measured by CAR, how long?,Short-window: earnings response coefficient (,ERC,),information perspective,Long-window: earnings association coefficient, measurement perspective,If measured as annual return,change in price between two time points, validation test in,measurement perspective,Sometimes both are called (ERC),ERC becomes a major part of information perspective research,Earnings-returns relationship,46,How to measure “unexpected earnings” (UE),Time series model,Analyst forecasts,UE =,E if E follows random walk,How to measure “unexpected ear,47,Evolution of ERC Research,Ball and Brown (1968):,+ and -,Beaver, Clarke, and Wright (1979): rank correlation between R and,E,Beaver, Lambert and Morse (1980): overall ERC (not firm-specific),Determinants of firm-specific ERCs:,Kormendi and Lipe (1987) and,Easton and Zmijewski (1989),Earnings persistence,Risk (beta),Size,Capital structure,etc.,48,Evolution of ERC ResearchBall,Why ERC is small? (in Kathoris survey),Prices lead earnings (Beaver, Lambert and Morse, 1980),Only part of earnings change is unexpected,Deficient GAAP (Lev 1989),Accounting system too slow in reflecting economic realities,Noise in earnings,Earnings = “true earnings” + noise,Q: accounting system is counterproductive?,Why ERC is small? (in Kathori,49,Transitory earnings,Asymmetry between positive and negative transitory earnings,Make earnings-return relationship nonlinear (Freeman and Tse 1992): high |UE| is less persistent than low |UE|, so ERC is “S” shape,Market inefficient,Problem of cross-sectional models,Example: Teets and Wasley (JAE, 1996),Transitory earnings,50,Application of ERC in research (examples),Incremental information content of current cost earnings data,Corporate governance structure vs. information asymmetry,Reporting of transitory gains and losses,Foreign GAAP, IAS, or US GAAP in cross-listing in US,Capitalization of R&D,Application of ERC in research,51,Ball and Brown (1968),First empirical (“archival”) accounting research,Why it was revolutionary:,In the 1960s,Normative approach was hitting a dead-end,Pessimistic view on the usefulness of accounting information,Ball and Brown (1968)First emp,52,Research Questions,Do stock prices respond to the release of earnings information?,Dependent variable:,Market-model abnormal returns cumulated by means of an Abnormal Performance Index (API),Presentation of results: graph of API over months -12 to +6 relative to the annual report announcement month,Research QuestionsDo stock pri,53,Independent Variable:,Unexpected Earnings,3 measures of unexpected earnings:,1),Market index,model, based on NI:,Firm-specific time-series models, explaining 25% of the variations (table 1),Based on,E (to avoid the autocorrelation in levels, table 2),2),Market index,model, based on EPS,3),Random walk, based on EPS,Independent Variable: Unexpect,54,Derivation and Statement of Hypotheses,Any theoretical developments? Not possible at that time,Beavers and Ohlsons later efforts,Derivation and Statement of Hy,55,基本模型二：Ohlson模型,The Feltham-Ohlson framework: Implications for empiricists,Bernard, Victor L,Contemporary Accounting Research;,Spring 1995; 11, 2; ABI/INFORM Global,基本模型二：Ohlson模型The Feltham-Ohls,56,Feltham-Ohlson Modeling,Feltham-Ohlson Modeling,57,结论：,帐面价值（BV）与盈余均为重要定价因素。,企业财务越健全，帐面价值的系数越低。,股东权益报酬率低者（绩效较差者），盈余的系数较低。,盈余预期为正时，其系数为正且显着，预期盈余为负时，其系数近于零。,盈余中现金流量及应计部分有重大的差别定价。,Feltham-Ohlson Modeling,结论：Feltham-Ohlson Modeling,58,杨丹、魏蕴新、叶建明（2009）,其中： MVEt代表t年公司实际市值,BVEt代表是t年公司账面价值,Xt是t年公司净收益,DIVt是t年公司分配的股利,Vt是t年公司收益不能观察到的部分,杨丹、魏蕴新、叶建明（2009）,59,基本模型三：盈余管理,基本模型三：盈余管理,60,Earnings Management Research,1.Positive,Accounting Theory,2.Healy and Wahlen (1999, AH),3.Do users see through earnings management?,4.Methodology issues: Dechow, Sloan, and Sweeney (1995),(At the courtesy of,Prof . Kevin Chen of HKUST),Earnings Management Research1.,61,I. Positive Accounting Theory,Ways of earnings management,1. Accounting method choices or changes,2. Real transactions (e.g., sale of assets, early retirement of debt),3. Accounting transactions (e.g., restructuring, write-off),4. Accruals manipulation: current accruals (e.g., A/R) and noncurrent accruals (e.g., depreciation),I. Positive Accounting Theory,62,Meaning of “earnings management research”,Broad and specific: from all above to just (4),(1) is the subject of positive accounting theory (PAT),Meaning of “earnings managemen,63,PAT and agency theory of the firm,Corporation is the combination of numerous contracts between different parties,Debt agreements: contracts between corporation and lender,Executive compensation plans: contracts between corporation and executives,Political costs: “contracts” between corporation and government,Accounting numbers are used as the basis of the contracts,Managers (agents) have discretion in determining the accounting numbers,PAT and agency theory of the f,64,Motivation of using the discretion:“opportunistic” vs. “efficient” behavior,“Opportunistic behavior”:,management can choose accounting methods for its own interest (assumed in PAT usually),“Efficient behavior”:,for the benefit of the firm,Separable sometimes, example:,company increases income to pay higher bonus and tax,opportunistic,Difficult sometimes, example:,use “operating leases” to reduce debt/assets ratio, efficient for shareholders and managers, but opportunistic to creditors.,Motivation of using the discre,65,PAT research,Original purpose of publishing JAE,Dependent variable:,accounting choice or change (0/1),Three main independent variables :,debt agreements, proxied by,D/E ratio (to represent the “tightness” in lending agreement),bonus plans, observed from bonus payment,Become a separate and continuing line of research,political costs, proxied by,size (to represent the degree of political pressure).,PAT researchOriginal purpose o,66,Common weaknesses of PAT research,Assume opportunistic but ignore the efficient motivations.,Difficult to find precise proxy variables,Explain one accounting choice or change at a time, replaced by earnings (accruals) management,Common weaknesses of PAT resea,67,Relation between PAT and “earnings management research”,PAT: starts with an accounting choice or change, and find out the motivation,“Earnings management”: starts with a motivation (e.g., reducing net income to get government relief),find out earnings manipulation (usually from accruals).,Relation between PAT and “earn,68,Abnormal accruals as measure of EM,Jones (1991),Motivations:,Sample: 23 firms petitioned for import relief with International Trade Commission (ITC).,In this investigation, firms have to show “injury” due to unfair foreign competition in order to get import relief.,ITC does not have motivation to look beyond earnings management,Abnormal accruals as measure o,69,Two measures of EM:,Change in total accruals divided by total assets.,Results in Table 3: Decrease in year 0 (investigation year). Same pattern for earnings, cash flows, and sales.,Model of accruals (“Jones model”),Assume that revenue and PPE are the drivers of accruals. All other change is due to manipulation.,Result: unexplained accruals are significantly negative in year 0.,Two measures of EM:,70,Executive compensation research,Surviving line of research in PAT, why?,Data available,Theoretical basis,Relate to corporate governance,Issue: the role of accounting income in the determination of compensation,Limitations:,Y: stock options and share ownership dominate cash bonus,X: accounting income becomes less important,More in Bushman and Smith (JAE 2001),Executive compensation researc,71,2,. Healy and Wahlens r,eview,(1999, AH): four issues,Incentives of earnings management (show the existence of EM),Which accruals are managed?,Frequency of earnings management,4. Resource allocation consequences of earnings management,2. Healy and Wahlens review,72,1. Incentives of earnings management,Capital market motivations,Management buyouts: DeAngelo (1988), Perry and William (1994),IPO, SEO: Rangan (1998), Teoh et al. (1998 JF and JFE),Shivakumar (2000,JAE),Stock-financed acquisitions: Erickson and Wang (1998),Meeting analyst forecasts: Burgstahler and Eames (1998),1. Incentives of earnings mana,73,Contracting motivations,Compensation: Healy (1985), Holthausen, Larcker, and Sloan (1995),Firms close to dividend covenant: Healy and Palepu (1990),Firms about to violate debt covenants: DeFond and Jiambalvo (1994),CEO changes: Dechow and Sloan (1991),Contracting motivations,74,Regulatory decisions,Import relief: Jones (1991),Capital requirement in banks and insurance companies: many,Antitrust hearing : Key (1997) (cable TV industry),Regulatory decisions,75,2. Which accruals are managed?,Usually abnormal accruals,Start from Jones 1991,Bad debt provision,McNichols and Wilson (1988),Loss reserves in banks and insurance companies: many studies,e.g., Collins, Shackelford and Wahlen (1995): no clear manipulation of loan loss reserves in banks,e.g., Beaver and McNichols (1998): manipulation of claim loss reserves in property insurance companies,2. Which accruals are managed?,76,Sales of assets and investments,US: Bartov (1991),Japan: Herrmann, Inoue, and Thomas (2003),China: Chen and Yuan (2004),Deferred tax valuation allowance:,e.g., Miller and Skinner (1998): no clear manipulation,Sales of assets and investment,77,3. Frequency of earnings management,Most studies focus on a particular situation,frequency could be very low,3. Frequency of earnings manag,78,4. Resource allocation consequences of earnings management,Evidence from mis-pricing caused by earnings management,General finding:,Investors view earnings as more value-relevant than cash flow data (e.g., Dechow 1994),Loan loss reverses studies:,Stock returns positively associated with normal changes in loan loss provision, but negatively associated with abnormal changes: no mis-pricing,4. Resource allocation consequ,79,In SEO and IPO:,Rangan (1998 JFE) and Teoh, Welch and Wong (1998 JFE): “discretionary accruals” are negatively associated with returns after SEO (Table 4),Shivakumar (2000 JAE),ERC lower in quarters after SEO announcement,No negative association between discretionary accruals and post-SEO returns using matching portfolio approach,In contracting and regulatory uses: almost no evidence,“it probably does not have a significant effect on resource allocation”,In SEO and IPO:,80,Conditions for earnings management (Schipper, Accounting Horizons, 1989):,Contracts based on accounting numbers.,Users use accounting numbers mechanically, not able or unwilling to make adjustments (contracts are “rigid,” or difficult to renegotiate),Managers or company gains from accounting choice or earnings management.,Conditions for earnings manage,81,III. Do users see through earnings management?,1.Investors, interpretation of discretionary accruals,2.Compensation committees use of accounting numbers,3.Creditors reactions when companies violate accounting-based lending covenants,4.Regulators reactions when companies violate accounting-based rules,III. Do users see through earn,82,1. Investors interpretation of discretionary accruals,Subramanyan (JAE, 1996):,Discretionary accruals (DAC) are associated with contemporaneous returns (Table 3),Two possible interpretations:,1. Market mis-pricing,2. Managers use DAC to signal future profitability,DAC is associated with future profitability (Table 7): consistent wi