5
5.1 (Ball and Brown) 1 968 3-1 1968 3. 8 4. 8 5.2 5.2.1 5. 8 6 82
5 1. 2. 3. 4. 1968 8 C A P M 4. 3 3 4 5.2.2 1. 2. 200 ( M D & A ) 200 300 83
1987 (Brown, Griffin, Hagerman and Zmijewski) 5 1. 2 100 120 3. 5.2.3 4. 3 5-1 t j 1 5-1 j ( ) 0.001 5 0.000 9 ( )= jt 0.000 6 =0.80 j 0.000 1 R Mt =t R jt =t 5-1 84
5 5-1 4. 3 R j t = j + j R M t + j t 4. 3 R j t R M t =0.000 1 = 0. 80 5-1 [ 1 ] j j j 0 0 0. 001 [ 2 ] j 5-1 0.000 9 [ 3 ] j 0 0.001 5 0.000 6 j t =0.000 6 0.000 6 j [ 4 ] 0 j 3-3 5.2.4 0 0 0 j 5-1 5. 7 85
[ 5 ] (Brow and Wa r n e r 1 980 ) 5. 2. 3 1968 5.3 5.3.1 1968 1957 1965 9 N Y S E 2 61 5. 2. 2 161 1957 [ 6 1957 j ] 75 1957 + 100 [ 7 ] 1957 j 86
5 + 75 1958 1957 j j 1958 2 1957 + 90 1957 j G N 1957 1965 G N B N 5-1 1968 5-1 1958 2 0. 001 0.000 9 j 1958 2 0. 0015 0.000 6 j 1957 1958 2 0.000 6 2 1 3 1 3 2 5-2 87
1 231 1 109 0 11 6 18 5-2 5-2 1 2 3 1 2 5-2 5.3.2 0 7 9 [ 8 ] R & D 1992 1992 10 88
5 1 8 5.3.3 5. 2. 2 3-1 G N G N 3-1 2-1 P. V. t= 1 P. V. 17. 36 1991 t P t = 1+ R f R f NI t D t = 1.10 17.36 0 0.10 =190.96 t= 1 R f = 0. 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-1 173.55 (5-1) P t 5-1 ( ) NI t D (5-2) [ t ] P t = 1 1 + R R f ( ) a t f [ 1.10( 23.97 0)+ 50] P t = 1 0.10 = 1 ( 26.37+ 50 ) 0.10 = 1 0.10 23.63 = 236.30 89
a t 2-2 P. V. P. V. 1 50 R f = P t D t 1 = 236.30 1 = 0.09 P t-1 260.33 P t N I t 5-2 t= 1 1991 1969 1986 5.3.4 ( B e a v e r, Clarke and Wr i g h t ) 1 979 276 1965 1974 1 0 12 3 1 4. 3 5. 2. 3 4. 3 1968 90
5 1987 ( Wi l s o n ) 1981 1982 Bernard and Stober 1 989 11. 5 11 5.4 G N B N [ 9 ( ERC) ] 5.4.1 3. 7 3-2 G N [ 10 ] G N 91
E R C E R C Collins and Kothari, 1989 Easton and Zmijewski, 1989 E R C Dhaliwal, Lee and Farg h e r 1 991 E R C E R C, G N,,, E R C 1 E R C 0 E R C 1 Kormendi and Lipe 1 987 E R C Ramakrishnan and Thomas 1 991 0 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 1 + 1 /R f $ 1 $ 1 1 /R f E R C $ 100 92
5 $ 100 2-1 2-2 $ 100 $ 9. 09 $ 9. 09 [ 11 $ 9. 09 ] E R C 1 G N $ 100 E R C 1. 10 / 0. 10 11 R f = 0. 10 G N $ 9. 09 $ 100 S FAS 2 E R C 3-2 E R C Lev and Thiagarajans 1 993 12 12 1 0 1 0 E R C E R C E R C E R 93
G N B N E R C E R C $ 9. 09 5 10 5 $ 1 1 / 0. 10 0. 05 = 20, $ 1 1 / 0. 10 = 10 E R C 2 1 11 1989 E R C E R C 1989 E R C E R C ( 1989 ) E R C E R C 5.4.2 ERC E R C E R C 5. 5 94
5 3-2 E R C FA S B 5.5 1991 APB 30 1 973 a b APB 30 APB 30 APB 30 APB 30 Barnea, Ronen and Sa d a n 1 976 APB 30 A P B 3 95
E R C 1 APB 30 APB 30 APB 30 APB 30 E R C 5.6 1 96
5 Gonedes and Dopuch 1 974 1 2 13 S FAS 33 1986 (Beaver and Landsman 1983 [ 12 ] 5.7 3. 7 3. 7 5-1 4. 3 5. 2. 3 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 3. 7 97
R R M ( B e a v e r, Kettler and Scholes) 1 970 307 N Y S E 1947 1956 1 1 957 1965 2 1 5. 2 61 5 5 3 61 5 1 61 5 5-1 1 2 1970 5-1 5 1 2 1947 1956 1957 1965 0. 7 9 0. 5 0 0. 4 1 0. 4 8 98
5 2 1947 1956 1957 1965 0. 9 0 0. 8 2 0. 6 8 0. 4 6 William H.Beaver, Paul Kettler, and Myron Scholes, The Association Between Market-Determined and Accounting-Determined Risk Measures, The Accounting Review(October 1970),pp.654-682. Table 5. Reprinted with permission. 5.8 R R A 2. 4 S FAS 69 4. 6 R R A M a g l i o l o 1986 1979 1983 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 1988 173 1979 1984 6 [ 13 1979 1981 1982 1984 ] 12 3 1 12 5-1 12 R R A 5. 2 5. 3 99
R R A R R A 1979 1981 R R A R R A 1982 1984 1979 1981 1982 1984 5. 3 5. 4 1982 1984 [ 14 ] R R A R R A Harris and Ohlson [ 15 1987 R R A ] R R A 273 [ 16 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 R R A (Ghicas and Pastena 1 989 ) R R A R R A R R A R R A R R A R R A R R 1986 2. 4 R R A R R A 100
5 R R A 1990 R R A E R C 1991 5. 4. 1 12 E R C 5.9 R R A R R A R R A 101
1968 102 [1] 4. 3 ( 1 )R, R =0.000 1 j j f f j R f =0.000 5 [2] 0 R M0 = 0 + 0 1 0 [3] E ( R j0 ) j + j R M0 = 0. 0001 + 0. 80 0.001=0.000 9 [4] 2-2 P. V [5] 5. 3. 3 1991 [6] 5. 3. 3 [7] 1968 1957 [8] [9] 5. 3. 2 E R C E R E R C E R [10] 3. 7 [ 11] $ 100 MD & A [12]
5 1983 Bernard and Ruland 1987 [13] SFAS 69 1 982 S E C 1 979 1 981 R R A [14] 5-1 5-1 [15] [16] 1. 2. 5-1 3. 5-2 4. 1 0 5. 6. 12 7. XYZ 1995 1 2 3 1 500 1995 1 2 3 1 1995 700 1995 1 2 3 1 1995 (1) 1995 12 3 1 X Y Z (2) 1995 1 2 3 1 (3) X Y Z X Y 103
a. 1995 1 2 3 1 X Y Z b. (i) 200 700 ~ 500 (ii) X Y Z 6 200 X Y Z 8. ( 1968 ) 143 1961 1965 506 0 17 1 17 506 5-3 17 V t 10 3 =1.12 5-3 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.67-92. Reprinted with permission. 5-3 0 a. 0 b. 0 104
5 c. d. 5-1 9. E R C 10. X Y X Y a. X Y E R C b. Y X a 11. FA S B S FAC 1 3. 8 12. APB 13. a. b. c. b 14. N 1995 N $2 386 a. N 1995 b. N a c. N 1 9 9 5 1 2 3 1 $ 11 684 9 073 2 611 1 346 176 16 1 538 1 073 165 52 217 1 290 5 8 4 105
1995 1 2 3 1 59 643 647 $ 647 N 1995 1 2 3 1 1994 1 2 3 1 $ 693 $ 2 107 3 464 506 810 410 61 99 3 671 4 479 405 203 1 532 1 632 $ 5 608 $ 6 314 $ $ 1 291 398 497 282 34 83 64 763 1 886 62 22 825 1 908 2 268 2 268 80 80 3 895 3 275 1 175 1 307 7 418 6 930 2 635 2 524 4 783 4 406 $ 5 608 $ 6 314 15. 16. J E R C 0. 38 K J 106
5 J K E R C 0. 57 17. 1991 A I C PA 1994 A I C PA 1) 2) a. M D & A b. c. 18. 1992 1992 10 1 / 10 a. 2-1 P. V. 1 2 P. V. b. 2-2 a 1 2 107