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1 5

2 5.1 (Ball and Brown)

3 C A P M ( M D & A )

4 1987 (Brown, Griffin, Hagerman and Zmijewski) t j j ( ) ( )= jt =0.80 j R Mt =t R jt =t

5 R j t = j + j R M t + j t 4. 3 R j t R M t = = [ 1 ] j j j [ 2 ] j [ 3 ] j j t = j [ 4 ] 0 j j

80 5-1 [ 1 ] j j j 0 0 0. 001 [ 2 ] j 5-1 0.

6 [ 5 ] (Brow and Wa r n e r ) N Y S E [ j ] [ 7 ] 1957 j 86

7 j j j G N G N B N j j

1958 2 0. 001 0.000 9 j 1958 2 0. 0015 0.

8 [ 8 ] R & D

9 G N G N P. V. t= 1 P. V t P t = 1+ R f R f NI t D t = = t= 1 R f = D t P. V R f = P t D t 1 = = 0.10 P t (5-1) P t 5-1 ( ) NI t D (5-2) [ t ] P t = R R f ( ) a t f [ 1.10( )+ 50] P t = = 1 ( ) 0.10 = =

10 D t 0 2-1 P. V. 1 190. 91 R f = P t D t 1 = 190.96 1 = 0.10 P t-1 173.

10 a t 2-2 P. V. P. V R f = P t D t 1 = = 0.09 P t P t N I t 5-2 t= ( B e a v e r, Clarke and Wr i g h t )

33 P t N I t 5-2 t= 1 1991 1969 1986 5.3.4 ( B e a

11 ( Wi l s o n ) Bernard and Stober G N B N [ 9 ( ERC) ] G N [ 10 ] G N 91

12 E R C E R C Collins and Kothari, 1989 Easton and Zmijewski, 1989 E R C Dhaliwal, Lee and Farg h e r E R C E R C, G N,,, E R C 1 E R C 0 E R C 1 Kormendi and Lipe E R C Ramakrishnan and Thomas E R C 1 +R f /R f R f 1 0 E R C E R C E R C E R E R C /R f $ 1 $ 1 1 /R f E R C $

1 Kormendi and Lipe 1 987 E R C Ramakrishnan and Thomas 1 991 0 E R C 1 +R f

13 5 $ $ 100 $ $ [ 11 $ ] E R C 1 G N $ 100 E R C / R f = G N $ $ 100 S FAS 2 E R C 3-2 E R C Lev and Thiagarajans E R C E R C E R C E R 93

14 G N B N E R C E R C $ $ 1 1 / = 20, $ 1 1 / = 10 E R C E R C E R C 1989 E R C E R C ( 1989 ) E R C E R C ERC E R C E R C

10 = 10 E R C 2 1 11 1989 E R C E R C 1989 E

15 5 3-2 E R C FA S B APB a b APB 30 APB 30 APB 30 APB 30 Barnea, Ronen and Sa d a n APB 30 A P B 3 95

16 E R C 1 APB 30 APB 30 APB 30 APB 30 E R C

17 5 Gonedes and Dopuch S FAS (Beaver and Landsman 1983 [ 12 ] R j t = j + j R M t + j t R j t t j R M t t 2 j t 0 R M t R j t R M t R R M R j t M

18 R R M ( B e a v e r, Kettler and Scholes) N Y S E

2 61 5 5 3 61 5 1 61 5 5-1 1 2 1970 5-1 5 1 2

19 William H.Beaver, Paul Kettler, and Myron Scholes, The Association Between Market-Determined and Accounting-Determined Risk Measures, The Accounting Review(October 1970),pp Table 5. Reprinted with permission. 5.8 R R A 2. 4 S FAS R R A M a g l i o l o R R A R R A R R A R R A R R A 2-5 R R A R R A R R A Doran, Collins and Dhaliwal [ ] R R A

The Accounting Review(October 1970),pp.654-682. Table 5. Reprinted with permission. 5.8 R R A 2. 4 S FAS 69 4.

20 R R A R R A R R A R R A [ 14 ] R R A R R A Harris and Ohlson [ R R A ] R R A 273 [ ] R R A S FAS , 11 R R A R R A R R 12 R R A R R R R A R R A R R A R R A (Ghicas and Pastena ) R R A R R A R R A R R A R R A R R A R R R R A R R A 100

1979 1983 5 ] R R A S FAS 69 1 0, 11 R R A R R A R R 12 R R A R R R R A R R A R R A

21 5 R R A 1990 R R A E R C E R C 5.9 R R A R R A R R A 101

22 [1] 4. 3 ( 1 )R, R = j j f f j R f = [2] 0 R M0 = [3] E ( R j0 ) j + j R M0 = = [4] 2-2 P. V [5] [6] [7] [8] [9] E R C E R E R C E R [10] 3. 7 [ 11] $ 100 MD & A [12]

23 Bernard and Ruland 1987 [13] SFAS S E C R R A [14] [15] [16] XYZ (1) X Y Z (2) (3) X Y Z X Y 103

24 a X Y Z b. (i) ~ 500 (ii) X Y Z X Y Z 8. ( 1968 ) V t 10 3 = W. B e a v e r The Information Content of Annual Earnings Announcements, Journal of Accounting R e s e a rc h, Supplement(1968), pp Reprinted with permission a. 0 b

25 5 c. d E R C 10. X Y X Y a. X Y E R C b. Y X a 11. FA S B S FAC APB 13. a. b. c. b 14. N 1995 N $2 386 a. N 1995 b. N a c. N $

26 $ 647 N $ 693 $ $ $ $ $ $ $ J E R C K J 106

27 5 J K E R C A I C PA 1994 A I C PA 1) 2) a. M D & A b. c / 10 a. 2-1 P. V. 1 2 P. V. b. 2-2 a

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