03財務報告的決策有用性

04-May-231Topic3TheDecisionUsefulnessApproachtoFinancialReportingTopic3TheDecisionUsefulnessApproachtoFinancialReporting1.Overview2.TheDecisionUsefulnessApproach3.Objectiveoffinancialreporting4.TheDecisionMaking5.Single-PersonDecisionTheory6.TheRational,Risk-AverseInvestor7.ThePrincipleofPortfolioDiversification8.TheOptimalInvestmentDecision04-May-2321.Overview04-May-233Themostusefulmeasureofnetincometoinforminvestors(tocontroladverseselection)need

notbethesameasthebestmeasuretomotivatemanagerperformance(tocontrolmoralhazard).(Gjesdal,1981)InforminvestorsMotivatemanagersInformationthatenablesbetterinvestmentdecisions,currentvalueaccountingInformationthatishighlyinformativeabouttheirperformance,alessvolatileandmoreconservativeincomemeasure,suchasonebasedonhistoricalcostThefundamentalproblemoffinancialaccountingtheoryishowtodesignandimplementconceptsandstandardsthatbesttradeofftheinvestor-informingandmanagerperformance–evaluatingrolesforaccountinginformation.1.OverviewGiventhatthemixedmeasurementmodelretainshistoricalcostaccountingformajorclassesofassetsandliabilities:Thepresentvaluemodelfacessomesevereproblemsinpractices;Historicalcostaccountingproducesrelativelyreliableinformation,eventhoughhistoricalisnotasrelevantaspresentvalueormarket-basedapproachestocurrentvalue.Howcanfinancialstatementsbemademoreuseful?Thisleadstotheconceptofdecisionusefulness.Toproperlyunderstandthisconcept,weneedtoconsiderothertheoriesfromeconomicsandfinance.Decisiontheories;andCapitalmarkettheories.Themainpurposeofthischapteristointroduceyoutosomeofthesetheoriesandtodiscusstheirrelevancetoaccounting.2.TheDecisionUsefulnessApproachHistoricalPerspective1966,AAA:AStatementofBasicAccountingTheory1973,AICPATruebloodCommission:ObjectivesofFinancialstatementsContrastiveapproach:Stewardship(Chapter8)Inadoptingthedecisionusefulnessapproach,twomajorquestionsmustbeaddressed:Firs,whoaretheusersoffinancialstatements?ConstituenciesSecond,whatarethedecisionproblemsoffinancialstatementusers?04-May-2362.TheDecisionUsefulnessApproachItistheinvestor’sresponsibilitytomakeinvestmentdecisionsRoleoffinancialreportingistosupplyinformationthatisusefulforthispurposeInformationisevidencethathasthepotentialtoaffectanindividual’sdecisiontheGNorBNinthefinancialstatements04-May-2372.TheDecisionUsefulnessApproachToprepareusefulinformation,theaccountantmustknowhowinvestorsmakedecisionsRoleoftherationaldecisiontheorymodelinfinancialreportingHelpsusunderstandhowfinancialstatementinformationhelpsinvestorstomakeinvestmentdecisionsCapturesaverageinvestorbehaviour?04-May-2382.TheDecisionUsefulnessApproachPriorprobabilitiesaresubjectiveInvestorassessesthembasedonallinformationavailablepriortotheinvestmentdecisionIfpriorprobabilitiesaresubjective,soareposteriorprobabilitiesHowever,iffinancialstatementinformationisinformative,posteriorprobabilitiesarebetterpredictorsoffuturefirmperformancethanpriorprobabilitiesHowisfinancialstatementinformationuseful?ProcessofcommunicationCompany’sactivitiesFinancial

ReportingUserperception3.ObjectiveofFinancialStatementEssentialcharacteristics

ofaccountingare:theidentification,measurement,andcommunicationoffinancialinformationabouteconomicentitiestointerestedparties. IdentificationofUsersUserInformationNeedsAccountingSystemReportsEconomicDataandActivitiesUserDecisionsAccounting—AnInformationProcess1111113.ObjectiveoffinancialreportingPrimaryusers:

existingandpotentialinvestors,lenders,andothercreditorsbuying,sellingorholdingequityanddebtinstrumentsdividends,principalandinterestpaymentsormarketpriceincreases.meettheneedsofthemaximumnumberofprimaryusers.Regulators?Management?1212123.Objectiveoffinancialreportingprovidefinancialinformationthatisusefultousersinmakingdecisionsaboutprovidingresourcestotheentityarenotdesignedtoshowthevalueofareportingentity;buttheyprovideinformationtohelpuserstoestimatethevalueofthereportingentity.assessmentoftheamount,timing,anduncertaintyoffuturenetcashinflowstotheentityHowto

define

the

concept

of

assets,

and

liabilities?1313133.ObjectiveoffinancialreportingUseful

informationtheresources,claims,andchangesinthoseresourcesandclaimsFinancialperformanceaccrualaccountingVScashflowsChangesinresourcesandclaimsnotresultingfromfinancialperformanceInformationabouttheefficiencyandeffectivenessoftheuseofresourcesdonotandcannotprovidealloftheinformationusersneedtoconsiderpertinentinformationfromothersources,eg,generaleconomicconditionsandexpectations,politicaleventsandpoliticalclimate,andindustryandcompanyoutlooks.Illustration2-2

HierarchyofAccountingQualities4.TheDecisionMakingAccountantshavedecidedthatinvestorsareamajorconstituencyofusersandhaveturnedtovarioustheoriesofdecisionandinvestment:Single-persondecisiontheoryTounderstandhowindividualsmaymakerationaldecisionsunderuncertainty.TheoryofinvestmentAspecializationofdecisiontheorytomodelthedecisionprocessesofarationalinvestor;tounderstandthenatureofriskinportfolioinvestmentcontext.04-May-23164.1Decision-MakingEnvironmentsCertainty

referstoadecisionenvironmentinwhichtheresultsofselectingeachalternativeareknownbeforethedecisionismade.UncertaintyreferstoadecisionenvironmentinwhichthedecisionmakerdoesnotknowwhatoutcomewilloccurwhenanalternativeisselectedThegoalofdecisionanalysisistofocusonmakinggooddecisions,whichinthelongrunshouldresultinanincreasednumberofgoodoutcomes4.2Decisionmakingprocess04-May-2317InformationPredictionDecisionOutcomeConfirmatoryrolePredictiveroleAccounting

InformationSystemUserPredictionModelUserDecisionModel04-May-23184.2BasicDecisionProcessIdentifyGoalsIdentifyDecisionNeedIdentifyProblemSpecifyAlternativesSpecifyDecisionModelChooseActionExperienceConsequences04-May-23195.Single-PersonDecisionTheoryIttakestheviewpointofanindividualwhomustmakeadecisionunderconditionsofuncertainty.stateprobabilitiesarenolongerobjectivesetsoutaformalprocedurewherebytheindividualcanmakethebestdecision,byselectingfromasetofalternatives.Additionalinformationcanbeobtainedtorevisethedecision-maker’ssubjectiveassessmentoftheprobabilitiesofwhatmighthappenafterthedecisionismade.04-May-23205.Single-PersonDecisionTheoryTherationalinvestorOptimalforecasts(thebestguessofthefuture)usingallavailableinformation,but…..NeedsinformationaboutriskaswellasexpectedreturnCanexpressclearpreferencesamongcommoditiesPrefersmoretolessPreferencesarealwaystransitiveA>B,andB>C,thenA>CA<B,andB<C,thenA<CA=B,andB=C，thenA=C04-May-23215.Single-PersonDecisionTheorytheRationalInvestorMaximizesexpectedutilityMayberiskaverse,Then,willdiversifyPortfoliotheory04-May-2322RealPeoplePeoplecan’talwaysexpresspreferencesamongcommoditiesPeopledon’talwayspreferthecheaptotheexpensivePreferencesarenotalwaystransitiveEconomicagentsrarely,ifever,actonthebasisofcompleteinformationEconomicagentsdonot,ingeneral,maximizetheirpreferencesPreferencesarenotstableovertime04-May-23236.DecisionTheoryModelDecisiontheoryisimportantbecauseithelpsustounderstandwhyinformationissuchapowerfulcommodity-itcanaffecttheactionstakenbyinvestors.AmodelofrationaldecisionmakinginthefaceofuncertaintyAnotherexampleof“analyticalresearch〞MakessimplifyingassumptionsRational“economicman〞approachPerfectlyspecifieddecisionprocessConceptofan“InformationSystem〞canbeintroducedandmodeled一切交易的實質(zhì)都是信息的買賣04-May-2324ProbabilitiesPriorprobability先驗概率：在試驗或?qū)嶒炛暗玫降母怕?，又稱為數(shù)學概率Conditionalprobabilities條件概率P(A|B)：在事件B已經(jīng)發(fā)生的條件下，事件A發(fā)生的概率Posteriorstateprobabilities后驗概率：在試驗或?qū)嶒炛蟮玫降母怕?，又稱為經(jīng)驗概率Bayes’theorem04-May-2325Bayes’TheoremAdevicetorevisestateprobabilitiesuponreceiptofnewevidenceθisstateofnaturemismessagereceivedP(θ)ispriorprobabilityofθ(subjective)FormulaThomasBayesBorn:1702inLondonDied:17Apr.176104-May-2326Bayes’TheoremAppliedto

AccountingInformationθisstateoffirmθ1=H=highfuturefirmperformanceθ2=L=lowfuturefirmperformancemisevidencereceivedfromthefinancialstatementsm1=GN=netincomeshowsgoodnewsm2=BN=netincomeshowsbadnewsSupposeGNisreceived:Information

has

predictive

valueGN:Actualearnings>ExpectedearningsBG:Actualearnings<Expectedearnings04-May-2327ShowsEvidenceProbabilities,Conditional

onEachState,forInputintoBayes’Theorem04-May-2328Consideraninvestorwith$10,000toinvestinoneofthefollowingmutuallyexclusiveacts: a1:buysharesofxLtd.For$10,000 a2:buyCanadaSavingsBonds(CSB)for$10,000Lettherebe3“statesofnature〞: θ1:sharesfall10%inmarketvalue θ2:sharesholdsteady θ3:sharesrise80%Example04-May-2329Example,con’tPayoffTable

PriorProbabilitiesP(θ1)=.05P(θ2)=.70P(θ3)=.25 1.0004-May-2330Example,con’tAssumetheinvestorusesexpectedmonetaryvalueasadecisioncriterion(EMV) EMV(a1):(.05)(-1000)+0+.25(8000)=1950 EMV(a2):(.05)(1000)+.70(1000)+.25(1000)=1000Therefore,ifinvestoractsnow,shouldtakea1.But:Maybeworthwhiletosecureadditionalinformation.04-May-2331DecisionProblemThinkofthefinancialstatementsofXLtd.asaninformationsystemconveyinginformationaboutprobabilitiesofθ.Assumethefinancialstatementswillgiveoneofthefollowing3mutuallyexclusivemessages:

04-May-2332BayesTheorem(Rule)ThebasicprincipleofBayes'Theoremisthatadditionalinformationcanchangeadecisionmaker’spriorbeliefsabouttheoccurrenceofanevent04-May-2333DecisionProblem,Cont.Theinformationsystemcanbecharacterizedbythefollowingtable:Theseconditionalprobabilities,orlikelihoods,aretheprobabilitiesofreceivingthevariousmessagesconditionaloneachstatebeingtrue.04-May-2334DecisionProblem,Cont.Now,foranymessage,thedecisionmakercanrevisehis/herpriorprobabilitiesusingBayes’Theorem.Supposethatm1wasreceivedfromthefinancialstatements.=P(m1)=.05×.75+.70×.5+.25×.10=.4125=.85=.061.00Then:Similarly:04-May-2335DecisionProblem,Cont.NotetheEMVofeachactisSoifm1werereceivedacta2wouldbechosen.04-May-2336DecisionProblem,Cont.Youshouldverifythatifm2wasreceived:whereAndtheoptionalactisthena1withEMVof$1444.60.0370×(-1000)+0.7778×0+0.1852×8000=1444.604-May-2337DecisionProblem,Cont.Similarly,ifm3wasreceived:whereAndtheoptionalactisthena1withEMVof$4401.70.0079×(-1000)+0.4409×0+0.5512×8000=4401.77.TheRational,Risk-AverseInvestorRiskUtilityFunctionTomodelriskaversion,decisiontheoristsusethedeviceofautilityfunction,whichrelatespayoffamountstothedecision-maker’sutility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確實定性決策04-May-2339RiskPreferenceAttitudes$0$2,000$4,000$6,000$8,000$10,00000.250.500.751-$2,000Risk-NeutralPreferenceFunction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04-May-2340RiskPreferenceAttitudes$0$2,000$4,000$6,000$8,000$10,00000.250.500.751-$2,000Risk-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04-May-2341RiskPreferenceAttitudes$0$2,000$4,000$6,000$8,000$10,00000.250.500.751-$2,000Risk-SeekingPreferenceFunction確定性等價的效用大于確定性決策的效用04-May-2342AreSecuritiesMarketsFullyEfficient?BehaviouralfinanceBehaviouralcharacteristicsthatquestionmarketefficiencyLimitedattentionOverconfidenceRepresentativenessSelf-attributionbiasLeadingtomomentum成功歸于自身能力失敗歸于外在因素04-May-2343ProspectTheoryAnAlternativeTheoryofDecisionMakingSeparateevaluationofgainsandlossesWeightingofprobabilitiesOverconfidence:rareeventsunderweightedRepresentativeness:likelyeventsoverweightedLeadstoadispositioneffectImplicationsforfinancialaccountingLeadstoearningsmanagementtoavoidreportingsmalllosses?Prudenceconcept出贏保虧：賣出賺錢的股票、持有賠錢的股票04-May-2344ProspectTheoryUtilityFunctionu(x)Gainxloss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？大局部人會選A，這說明人們是風險躲避的兩種選擇：A肯定損失100萬元，B50%可能性損失200萬元，50%可能性損失為零大局部人選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04-May-23458.ThePrincipleofPortfolioDiversificationsystematicrisk(generalmarketrisk)VSnon-systemrisk(Uniquerisk)Triestomaximizeportfolioexpectedreturnforagivenamountofportfoliorisk,orequivalentlyminimizeriskforagivenlevelofexpectedreturn,bycarefullychoosingtheproportionsofvariousassetsCollectionofinvestmentassetsthathascollectivelylowerriskthananyindividualasset.differenttypesofassetsoftenchangeinvalueinoppositeways.Fourbasicstepsinvolvedinportfolioconstruction

-Securityvaluation

-Assetallocation

-Portfoliooptimization

-Performancemeasurement04-May-2346PreferenceforRiskTheconceptofriskaversionisimportanttoaccountants,becauseitmeansthatinvestorsneedinformationconcerningtherisk,aswellastheexpectedvalue,offuturereturns.Suchinvestorsneedinformationtohelpthemassesssecurities’expectedreturnsandriskinessofthesereturns.Betaisanimportantriskmeasure.04-May-2347BetaDefinitionStandardizedcovariancebetweenreturnonshareandreturnonmarketOnlyrelevantriskmeasureforareasonablydiversifiedinvestorWhy?BecausefirmspecificriskdiversifiesawayImplication=investorsdon’tneedaccountinginfo?04-May-2348EstimatingBeta(continued)8.ThePrincipleof

PortfolioDiversificationSummaryRisk-averseinvestorscantakeadvantageoftheprincipleofportfoliodiversificationtoreducetheirrisk,byinvestinginaportfolioofsecurities.Thisisbecauserealizationsoffirm-specificstatesofnaturetendtocanceloutacrosssecurities,leavingeconomy-widefactorsasthemaincontributorstoportfoliorisk.Regardlessofthedegreeofriskaversion,weknowthatutilityincreasesinexpectedrateofreturnanddecreasesinvarianceoftheportfolio.04-May-2349TheOptimalInvestmentDecisionHoldingthemarketportfolioTh