1、决策有用性的计量观决策有用性计量观的兴起 Ohlson 净盈余模型决策有用性计量观的应用P157 决策有用性的计量观是指，在保证相当可靠性的前提下，会计师承担起将将公允价值适当公允价值适当并入财务报表并入财务报表的责任，从而确认了在帮助投资帮助投资者预测企业价值者预测企业价值方面更多更多的义务。比较：将信息的有用性等同于信息含量的观点称为决策有用性的信息观。一、决策有用性计量观的兴起决策有用性计量观兴起的背景p信息观立论基础市场有效性面临挑战p实证证据表明报告盈余只解释了盈余公布日前后证券价格变化的很小部分。P170p净盈余理论支持了决策有用性的计量观p有助于审计师应对财务危机的法律责任（一）
2、证券市场是有效的吗？p20世纪80年代对证券市场的大量实证研究发现了许多现代金融学无法解释的异象(anomalies)。p为了解释这些异象,一些金融学家将认知心理学认知心理学的研究成果应用于对投资者的行为分析,至90年代,形成最具活力的行为金融学派。p它从微观个体行为以及产生这种行为的心理等动因来解释、研究和预测金融市场的发展。1.行为金融学对投资者行为的分析p行为金融学发现,人在不确定条件下的决策过程中并不是完全理性的。（P158-159）p有限理性(limited attention)：人的理性能力受制于所处环境的复杂性和不确定性，以及人类自身神经、生理、语言等方面的限制，从而是有限的。投
3、资者可能没有时间和能力处理所有可获得的信息。p过度自信(overconfident)：投资者高估了他们自己所收集信息的准确度。p自我归因偏误(self-attribution bias)：将好的结果归于自我能力，将坏的结果归因于运气不佳。前景理论（prospect theory）前景理论(Kahneman&Tversky,1979)的关键特征：p1）不是以对总财富的影响，而是区分利得和损失(gains and losses)来定义效用。p2）价值函数凹于利得凸于损失，对损失的灵敏性较大，即存在损失厌恶(loss aversion)。p3）对可能发生的状态加权太低（underweighted)，
4、对小概率状态加权太重(overweight)。行为金融学理论对市场现象的解释现象p股价过度反应p股价动量（price momentum）p很少有公司报告小额亏损p投资者只关心底线数字如何解释？过度自信自我归因偏误前景理论有限理性P188 Q52.CAPM模型面临挑战pFama&French(1992)开发了三要素模型（P162）Rit-Rft=i+im(Rmt-Rft)+isSMLt+ihHMLt+itFama和French三要素模型将投资风险归结为市场因素、规模因素(SML)及账面与市值比率因素(HML)。市场因素反映所有股票价格发生共同变动的风险；规模因素说明市值规模较小的上市公司，平均来
5、看其股票将提供更高的投资回报；投资于账面与市值比率较高的公司股票将获得较高的平均收益率。3.有效证券市场异象1）公告后漂移（post-announcement drift）（P165）p有效市场应快速吸收信息内容并将其并入价格中，因此不应存在异常回报。pB&B研究：AR在公告月后一段时间内向上/向下漂移pBernard&Thomas(1989)的研究p对其成因的探讨存在争议Bernard&Thomas(1989)的研究在公告日构建投资组合：plong positions（多头）in extreme good news announcerspshort positions（空头）in extre
6、me bad news announcers结果：p4.19%average estimated abnormal return over 60-day post-announcement periodpover 180 days the abnormal return to the hedge portfolio is 7.74%2）应计项目的市场反应 P166p有效市场中，净收益成分中现金流相对于应计项目越多，市场反应越强。p构建套利投资组合，可获得超过市场10.4%的回报：Sloan(2019)发现，如果投资人买进应计项目较低的股票，同时卖出应计项目较高的股票，便会形成一个净投资为0的投
7、资组合，每年投资人平均可以获得10%以上的超额报酬，而且在31年当中有28年都获得正的报酬。（二）市场无效论对于财务报告的含义p如果市场缺乏有效性，则信息观受到质疑。p改进财务报告，帮助预测企业价值，可以减少理性分析的成本，减少投资行为偏误。p市场无效支持了计量观。二、财务报表信息的价值相关性研究会计变量和股价的关系，需要区别两种研究思路：pInformation content approach（CAR,Ball&Brown，1968).pValue relevance approach（Ohlson model，F-O model，2019）value relevance pThis ap
8、proach typically examines the association between market values and accounting summary measures such as earnings and book values.A(specific)information item Ijt is value relevant if and only if the function g()in equation is non-trivial.ohlsons clean surplus theory股利折现模型：asset prices represent the p
9、resent value of all future dividends清洁盈余理论模型OM：asset prices are a linear function of book value and discounted expected abnormal earnings清洁盈余关系清洁盈余理论p一个企业在某时刻t的（简化的）价值计算公式为：企业价值（PAt）=资产负债表中的企业资产账面净值（bvt）+未来异常盈余的预期现值（gt）Note：后项只包括异常盈余，正常盈余的现值已经反映 在预测期内最初账面价值之中。理想状况下的异常盈余 1期 2期CF 100 100（或200）PVt 236.
10、36 bvt 236.36gt 0理想情况下，所有资产和负债均以公允价值计量，公司价值完全体现在资产负债表上，这时，gt=0，会计是无偏的。如果公司采用直线法摊销资产成本，则会形成异常盈余。清洁盈余理论与计量观p清洁盈余理论（Clean Surplus Theory）为直接根据会计信息（资产负债表和收益表数据）估计一个企业的市场价值提供了数学模型。p清洁盈余理论提供了一个与计量观一致的框架。P175p按照清洁盈余理论，公司价值在很大程度上将体现在资产负债表中，减少了主观预测的成分。P182清洁盈余理论模型（OM）应用举例P 178-181pNI2019$255.3pbv2019$2 033.3
11、pROE2019 0.14pd2019$32.5pE（Rf)0.09bv2019=bv2019+NI2019-d2019=bv20191+(1-k)ROEOxa2019=ROE-E(Rj)bv2019p练习：p P188 Q9 b,cpP190 Q10清洁盈余理论的实证研究p研究股利、现金流和剩余收益模型的预测能力差异p清洁盈余理论导致研究重心的转移。除盈余外，其他报表中传递的基础信号，如销售额变化、应收账款、存货、毛利、资本性支出等，能改进盈余预测能力。p可用来估计资本成本。pRarely has an accounting paper received as much and early
12、laudation as Ohlson(2019).For example,Lundholm writes:“The Ohlson(2019)and Feltham and Ohlson(2019)papers are landmark works in financial accounting.”(2019,749),and Dechow,Hutton,and Sloan state:“Existing empirical research has generally provided enthusiastic support for the model.”(2019,2).Feltham-
13、Ohlson计价模型Ohlson计价模型Vt:value relevant information other than current abnormal earnings(other information)at times toxa:operating abnormal earnings;oa:operating assets公司价值是当期账面价值、当期超常经营收益、当期经营资产和当期其他信息的线性函数三、计量观的应用传统应用：p应收/应付账款p合同固定现金流p成本与市价孰低规则ppush-down accountingp固定资产上限测试p退休金和其它退休后福利退休金和其它退休后福利p减值
14、贷款公允价值在金融工具计量中的应用1公允价值计量在金融工具领域应用的现状如何？国内外有哪些显著差异？2公允价值计量金融工具的优势和困境是什么？3 如何改进公允价值计量在我国的应用？思考思考（一）公允价值在金融工具中的应用：准则 美国涉及披露的准则：SFAS No 107,119(Superseded)，159；涉及确认和计量的准则：SFAS No 115,123(revised),133，137，138，149，161IASB：IAS32，39；IFRS 2，7 中国：No 22，23，24，37 美国SFAS No 107,Disclosures about fair value of fi
15、nancial instruments(FASB,1991)SFAS No 119,Disclosure about derivative financial instruments and fair value of financial instruments(FASB,1994).(Superseded)SFAS No 115,Accounting for certain investments in debt and equity securities(FASB,1993)SFAS No 123(revised),Share-based payments(FASB,2019)SFAS N
16、o 133,Accounting for derivative instruments and hedging activities(FASB,2019).pStatement No.137 Accounting for Derivative Instruments and Hedging ActivitiesDeferral of the Effective Date of FASB Statement No.133an amendment of FASB Statement No.133(1999)pStatement No.138，Accounting for Certain Deriv
17、ative Instruments and Certain Hedging Activities-an amendment of FASB Statement No.133(2000)pStatement No.148，Accounting for Stock-Based CompensationTransition and Disclosurean amendment of FASB Statement No.123（2019）pStatement No.149，Amendment of Statement 133 on Derivative Instruments and Hedging
18、Activities(2003)pStatement No.150 Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity(2003)pStatement No.155，Accounting for Certain Hybrid Financial Instrumentsan amendment of FASB Statements No.133 and 140(2006)pStatement No.157，Fair Value Measurements(2
19、006)pStatement No.159，The Fair Value Option for Financial Assets and Financial LiabilitiesIncluding an amendment of FASB Statement No.115(2007)pStatement No.161，Disclosures about Derivative Instruments and Hedging Activitiesan amendment of FASB Statement No.133IASB和中国准则p国际会计准则理事会 IAS 32 Financial In
20、struments:Disclosure and Presentation(IASB,2019a),pIAS 39,Financial Instruments:Recognition and Measurement(IASB,2019b).pIFRS 7，Financial Instruments:Disclosures(IASB,2019).p中国金融工具相关准则22号：金融工具确认和计量p23号：金融资产转移p24号：套期保值p37号：金融工具列报（二）公允价值在金融工具中的应用：具体内容比较1根据IASB，金融资产的确认和计量基于以下分类（中国同）(a)financial assets
21、at fair value through profit or loss;(b)held-to-maturity investments;(c)loans and receivables;(d)available-for-sale financial assets.美IASB FAS115指出：At acquisition,an enterprise shall classify debt and equity securities into one of three categories:held-to-maturity,available-for-sale,or trading.At ea
22、ch reporting date,the appropriateness of the classification shall be reassessed.2 金融资产和负债的计量原则IAS39（IASB）pAll financial assets and liabilities should be recognized when the entity becomes a party to the contractual provisions of an instrument.pWhen a financial asset or financial liability is recogni
23、sed initially,an entity shall measure it at its fair value plus,transaction costs that are directly attributable to the acquisition or issue of the financial asset or financial liability.pAfter initial recognition,an entity shall measure financial assets,including derivatives that are assets,at thei
24、r fair values,except for the following financial assets：p(a)loans and receivables p(b)held-to-maturity investments,p(c)investments in equity instruments that do not have a quoted market price in an active market and whose fair value cannot be reliably measured and derivatives that are linked to and
25、must be settled by delivery of such unquoted equity instruments,which shall be measured at costSFAS 115(FASB)pInvestments in debt securities shall be classified as held-to-maturity and measured at amortized cost in the statement of financial position only if the reporting enterprise has the positive
26、 intent and ability to hold those securities to maturity.pInvestments in debt securities that are not classified as held-to-maturity and equity securities that have readily determinable fair valuesshall be classified in one of the following categories(trading securities/available-for-sale securities
27、)and shall be measured at fair value in the statement of financial position.Subsequent measurement of financial liabilitiespAfter initial recognition,an entity shall measure all financial liabilities at amortised cost using the effective interest method,except for financial liabilities at fair value
28、 through profit or loss,etc.subsequent measurementMeasured at fair value Measured at amortized cost Financial assets held for trading,including all derivativesThose unlisted equity instruments for which fair value is not reliably measuredAvailable-for-sale financial assets Held-to-maturity investmen
29、tNonderivative instruments with fair value exposures hedged by derivatives Loans and receivablesFinancial liabilities held for trading,including all derivativesAll other liabilitiesSFAS133(FASB)pFair value is the most relevant measure for financial instruments and the only relevant measure for deriv
30、ative instruments.pAn entity shall recognize all of its derivative instruments in its statement of financial position as either assets or liabilities depending on the rights or obligations under the contracts.All derivative instruments shall be measured at fair value.3.套期会计pHedge accounting recogniz
31、es symmetrically the offsetting effects on net profit or loss of changes in fair values of the hedging instrument and the related items being hedged.(IAS39)pFair value hedge.pCash flow hedge.pForeign currency hedge/hedge of a net investment in a foreign operation套期会计举例hedged items hedging instrument
32、s accounting treatmentprice risk on finished goods inventoryforward contract to sell the inventory at its current market pricegains and losses are included in current earnings next period s sales of oil and gas producersell a call optionunrealized gains and losses are included in other comprehensive income 金融工具应用公允价值的优劣分析p是否带来更多的盈余波动?P202 p是否有助于预测公司价值，股市反应如何？p是否引起盈余操纵?p是否存在技术性难题?pSFAS 107 实施后，学者们研究了公允价值的价值相关性，Barth(1994)，Petroni and Wahlen(2019)Ahmed and Takeda(2019)等发现了支持性证据，Nelson(2019)等没有发现此类证据。
