计量经济分析 = Econometric analysis

Corporate disclosure is critical for the functioning of an efficient capital market. Firms provide disclosure through regulated financial reports, including the financial statements, footnotes, management discussion and analysis, and other regulatory filings. In addition, some firms engage in voluntary communication, such as management forecasts, analysts? presentations and conference calls, press releases, internet sites, and other corporate reports. Finally, there are disclosures about firms by information intermediaries, such as financial analysts, industry experts, and the financial press.

Information Asymmetry, Corporate Disclosure and the Capital Markets: A Review of the Empirical Disclosure Literature

. The paper develops and analyzes a model of a firm's market value as it relates to contemporaneous and future earnings, book values, and dividends. Two owners' equity accounting constructs provide the underpinnings of the model: the clean surplus relation applies, and dividends reduce current book value but do not affect current earnings. The model satisfies many appealing properties, and it provides a useful benchmark when one conceptualizes how market value relates to accounting data and other information.

Resume. L'auteur elabore et analyse un modele dans lequel il conceptualise la relation entre la valeur marchande d'une entreprise et ses benefices, ses valeurs comptables et ses dividendes actuels et futurs. Deux postulats de la comptabilisation des capitaux propres servent de charpente au modele: a) la relation du resultat global s'applique et b) les dividendes reduisent la valeur comptable actuelle sans influer, cependant, sur les benefices actuels. Le modele presente de nombreuses proprietes interessantes et il peut, fort utilement, servir de repere dans la conceptualisation de la relation entre la valeur marchande et les donnees comptables et autres renseignements.

http://lib.cufe.edu.cn/upload_files/other/4_20140516101658_16%20Ohlson.pdf

Earnings, Book Values, and Dividends in Equity Valuation*

The conservatism principle and the asymmetric timeliness of earnings1

The effect of disclosure level on the cost of equity capital is a matter of considerable interest and importance to the financial reporting community However, the association between disclosure level and cost of equity capital is not well established and has been difficult to quantify In this paper I examine the association between disclosure level and the cost of equity capital by regressing firm-specific estimates of cost of equity capital on market beta, firm size and a self-constructed measure of disclosure level My measure of disclosure level is based on the amount of voluntary disclosure provided in the 1990 annual reports of a sample of 122 manufacturing firms For firms that attract a low analyst following, the results indicate that greater disclosure is associated with a lower cost of equity capital The magnitude of the effect is such that a one-unit difference in the disclosure measure is associated with a difference of approximately twenty-eight basis points in the cost of equity capital, after controlling for market beta and firm size For firms with a high analyst following, however, I find no evidence of an association between my measure of disclosure level and cost of equity capital perhaps because the disclosure measure is limited to the annual report and accordingly may not provide a powerful proxy for overall disclosure level when analysts play a significant role in the communication process

https://www.jstor.org/stable/pdf/248475.pdf

Disclosure level and the cost of equity capital

This paper presents some empirical results of a study predicting corporate failure as evidenced by the event of bankruptcy. There have been a fair number of previous studies in this field of research; the more notable published contributions are Beaver [1966; 1968a; 1968b], Altman [1968; 1973], Altman and Lorris [1976], Altman and McGough [1974], Altman, Haldeman, and Narayanan [1977], Deakin [1972], Libby [1975], Blum [1974], Edmister [1972], Wilcox [1973], Moyer [1977], and Lev [1971]. Two unpublished papers by White and Turnbull [1975a; 1975b] and a paper by Santomero and Vinso [1977] are of particular interest as they appear to be the first studies which logically and systematically develop probabilistic estimates of failure. The present study is similar to the latter studies, in that the methodology is one of maximum likelihood estimation of the so-called conditional logit model. The data set used in this study is from the seventies (1970-76). I know of only three corporate failure research studies which have examined data from this period. One is a limited study by Altman and McGough [1974] in which only failed firms were drawn from the period 1970-73 and only one type of classification error (misclassification of failed firms) was analyzed. Moyer [1977] considered the period 1965-75, but the sample of bankrupt firms was unusually small (twenty-seven firms). The

Financial ratios and the probabilistic prediction of bankruptcy

. This paper models the relation between a firm's market value and accounting data concerning operating and financial activities. Book value equals market value for financial activities, but they can differ for operating activities. Market value is assumed to equal the net present value of expected future dividends, and is shown, under clean surplus accounting, to also equal book value plus the net present value of expected future abnormal earnings (which equals accounting earnings minus an interest charge on opening book value).

A linear model specifies the dynamics of an information set that includes book value and abnormal earnings for operating activities. Model parameters represent persistence of abnormal earnings, growth, and accounting conservatism. The model is sufficiently simple to permit derivation of closed form expressions relating market value to accounting data and other information.

Three kinds of analyses develop from the model. The first set deals with value as it relates to anticipated realizations of accounting data. The second set examines in precise terms how value depends on contemporaneous realizations of accounting data. The third set examines asymptotic relations comparing market value to earnings and book values, and how earnings relate to beginning of period book values.

The paper demonstrates that in all three sets of analyses the conclusions hinge on the extent to which the accounting is conservative as opposed to unbiased. Further, the absence/presence of growth in operating activities is relevant if, and only if, the accounting is conservative.

Resume. Les auteurs presentent sous forme de modele la relation entre la valeur marchande d'une entreprise et les donnees comptables relatives a ses activites d'exploitation et ses activites financieres. La valeur comptable est egale a la valeur marchande lorsqu'il s'agit d'activites financieres, mais elle peut etre differente dans le cas des activites d'exploitation. Les auteurs supposent que la valeur marchande est egale a la valeur actualisee nette des dividendes futurs prevus et demontrent que, lorsqu'on applique la methode du resultat global, la valeur marchande est aussi egale a la valeur comptable additionnee de la valeur actualisee nette des benefices extraordinaires futurs prevus (qui sont egaux aux benefices comptables diminues de frais d'interet implicites sur la valeur comptable nette).

Un modele lineaire precise la dynamique d'un ensemble de donnees, incluant la valeur comptable et les benefices extraordinaires, relatives aux activites d'exploitation. Les parametres du modele traduisent la persistance des benefices extraordinaires, la croissance et le principe de prudence. Le modele est suffisamment simple pour permettre de deriver des expressions fermees qui mettent en relation la valeur marchande et les donnees comptables et autres.

Du modele se degagent trois formes d'analyses. La premiere porte sur la valeur, dans sa relation avec la materialisation anticipee des donnees comptables. La deuxieme porte sur l'examen precis du lien entre la valeur et la materialisation actuelle des donnees comptables. Enfin, la troisieme porte sur l'examen des relations asymptotiques a travers lesquelles se comparent la valeur marchande, d'une part, et les benefices et la valeur comptable, d'autre part, ainsi que sur la facon dont les benefices se rattachent aux valeurs comptables du debut de l'exercice.

Les auteurs etablissent que dans les trois formes d'analyses, les conclusions s'orientent vers la mesure dans laquelle, dans le domaine comptable, l'accent est mis sur la prudence par opposition a l'impartialite. En outre, l'absence ou la presence de croissance dans les activites d'exploitation n'est pertinente que si et seulement si le principe de prudence est applique a la comptabilite.

Valuation and Clean Surplus Accounting for Operating and Financial Activities

This paper develops a parsimonious model relating a firm’s price per share to, (i), next year expected earnings per share (or 12 months forward eps), (ii), short-term growth (FY-2 versus FY- l) in eps, (iii), long-term (asymptotic) growth in eps, and, (iv), cost-of-equity capital. The model assumes that the present value of dividends per share (dps) determines price, but it does not restrict how the dps-sequence is expected to evolve. All of these aspects of the model contrast sharply with the standard (Gordon/Williams) text-book approach, which equates the growth rates of expected eps and dps and fixes the growth rate and the payout rate. Though the constant growth model arises as a peculiar special case, the analysis in this paper rests on more general principles, including dividend policy irrelevancy. A second key result inverts the valuation formula to show how one expresses cost-of-capital as a function of the forward eps to price ratio and the two measures of growth in expected eps. This expression generalizes the text-book equation in which cost-of-capital equals the dps-yield plus the growth in expected eps.

Expected EPS and EPS Growth as Determinantsof Value

This paper examines how a firm's depreciation policy influences the relation between the resulting accounting numbers and the market value of the firm's equity.' Traditional financial accounting theory conceptualizes depreciation measurement as a cost allocation procedure that matches an investment's cost with the flow of benefits it produces. As has long been recognized, in a setting with certain future cash flows and zero net present value (NPV) investments, investment costs can be allocated using standard present value techniques to yield, at each date, book values equal to market values, and accounting earnings equal to economic earnings.2 The resulting book value and accounting earnings numbers are such that, for all periods, the book rate of return equals the cost of

James A. Ohlson

Papers

Financial ratios and the probabilistic prediction of bankruptcy

Earnings, Book Values, and Dividends in Equity Valuation*

Valuation and Clean Surplus Accounting for Operating and Financial Activities

Expected EPS and EPS Growth as Determinantsof Value

Uncertainty resolution and the theory of depreciation measurement