Easton - Value Relevance of Accounting Data.pdf

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1、©1999AmericanAccountingAssociationAccountingHorizonsVol.13No.4December1999pp.399–412COMMENTARYPeterD.EastonPeterD.EastonisaProfessoratOhioStateUniversityandaProfessorialFellowattheUniversityofMelbourne.SecurityReturnsandtheValueRelevanceofAccountingDataINTRODUCTIONE

2、mpiricalmarket-basedaccountingresearchseeksevidenceofthevaluerelevanceofaccountingdataviaanalysisoftherelationbetweenthesedataandvariousmarketvariables.Thedecadeofthe1990switnessedanincreasinguseofpricepershareandmarketrateofreturnasthemarketvariablesofinterest.Thef

3、ocusofthiscommentaryisonregressionsofpricepershareonthelevelsofvariousfinancialstatementdata(referredtohereinas“price-levelsregressions”)andregressionsofreturnsonchangesinthesefinancialstatementvariables(referredtohereinas“returnsregressions”).Themainpointsinthecomm

4、entaryare:•Studiesthatusereturnsofthefiscalperiodasthemarketmetricprovideevidenceregardingtheroleofaccountingdataasasummaryofeventsthathaveaffectedfirmsoverthereportingperiod.Incontrast,studiesofthemarketresponseduringaveryshortintervalaroundthetimeoftheannouncement

5、oftheaccountingdataexaminetheroleofthesedatainprovidinginformationtoinvestorsabouteventsthatmayaffecttheirperceptionsofthefirm.•Anargumentforreturnsasthemarketmetric:•Theoreticalmodelsthatformafoundationfortheuseofsecuritypricesasthemar-ketmetricalsoprovideafoundati

6、onforusingrateofreturnasthemarketmetric.•Returnsregressionsmaybeusedasthebasisfortestsofhypothesesregarding1thetimelinessofthereportingofvaluechangesinfinancialstatements.1Theconceptoftimelinessoftheaccountingsummaryistheextenttowhichthevaluechangeasreportedinthefin

7、ancialstatementsiscontemporaneouswiththechangeinmarketvalue.Thisdiffersfromtheconceptoftimelinessofaccountinginformationthatrelatestotheinvestors’useoftheinformationinsettingprices.ThesecommentsarebasedonmypresentationattheAmericanAccountingAssociationDoctoralConsor

8、-tiuminLakeTahoeinJune1999andattheAmericanAccountingAssociation/TaiwanAccountingAssocia-tionFirstGlobalizationConferenceinTaipeiinJuly1999