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Value relevance of consolidated financial statements information : Theory and test

合并财务报表信息的价值相关性：理论与测试

基本信息

批准号：
11630154
负责人：
USUI Akira
金额：
$ 1.86万
依托单位：
Hosei University (2001)Aoyama Gakuin University (1999-2000)
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
1999
资助国家：
日本
起止时间：
1999 至 2001
项目状态：
已结题

项目摘要

The purpose in this research is to test whether accounting information is useful to explain market values of equity over time. This research explains the value relevance of accounting information in two ways. First, I estimate the long-term explanatory power of parent and consolidated financial statements for measures of market value. Second, I test value relevance of accounting information concerning M&A, or restructuring. In this research, I specify the stochastic process of accounting variables in a dividend discounting model and clean surplus accounting, and derive the accounting based valuation model. It is confirmed that the long-term value relevance of earnings, the stockholders' equity book value is not lost. The long-term explanatory power of parent and consolidated financial statements, adjusted R-squared, is almost 5 to 20 %. I confirm that that the explanatory power has decreased still though I control the factors of intangible fixed assets and research and development costs. I also find that investors tend to expect future cash flows in analyzing the accrual based earning rather than past cash flows. In addition, I investigate the value relevance of performance measure, and M＆A information. In 1990's, stockholders of acquiring and target firms earned significant return of about 0.9 % and 4 % respectively at announcement date. I find that accounting information on the group strategy relates to market value.

本研究的目的是检验会计信息是否有助于解释股权的市场价值。本研究从两个方面解释会计信息的价值相关性。首先，我估计了母公司和合并财务报表对市场价值计量的长期解释力。其次，我检验了并购重组会计信息的价值相关性。在本研究中，我明确了股利贴现模型和净盈余会计中会计变量的随机过程，并推导了基于会计的估值模型。确认收益的长期价值相关性，股东权益账面价值不丧失。母公司和合并财务报表的长期解释力，调整后的r平方，几乎是5%到20%。我确认，虽然我控制了无形固定资产和研发成本的因素，但解释力仍然下降。我还发现，在分析权责发生制收益时，投资者倾向于期望未来的现金流量，而不是过去的现金流量。此外，本文还研究了绩效指标与并购信息的价值相关性。上世纪90年代，收购方和目标公司的股东在公告日分别获得了约0.9%和4%的显著回报。我发现关于集团战略的会计信息与市场价值相关。