Value relevance of consolidated financial statements information : Theory and test

本研究的目的是检验会计信息是否有助于解释随着时间的推移股权的市场价值。本研究从两个方面解释了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的长期解释力。第二，对并购重组会计信息的价值相关性进行检验。在本研究中，我在股利折现模型和净盈余会计中，描述了会计变量的随机过程，并推导出基于会计的估值模型。研究结果证实了盈余的长期价值相关性，股东权益的账面价值并没有损失。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%。虽然控制了无形固定资产和研究开发费用的因素，但我确认解释力仍然下降。我还发现，投资者倾向于预期未来的现金流量在分析应计基础上的收益，而不是过去的现金流量。此外，本文还研究了业绩指标与并购信息的价值相关性.在20世纪90年代，收购公司和目标公司的股东在公告日分别获得了约0.9%和4%的显着回报。研究发现，集团战略的会计信息与市场价值相关。

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.