مفاهیم درآمد و ارزیابی دارائی ها :زمینه تئوریکی برای حسابداری قیمت بازارو اساس
تحقیق (MarK-TO-MarKet)
خلاصه مطالب:
این تحقیق استانداردهای حسابداری مربوط به ارزیابی دارائی را از لحاظ ثبات رویه با اهداف بیانیه های مالی و مفهوم اندازه گیری درآمد بررسی می کند. تجزیه و تحلیل مفهومی «درآمد اقتصادی»و «درآمد تحقق یافته » منتهی به ارتباط آخرین مفهوم درآماده کردن سرمایه گذاران با اطلاعات مناسب برای ارزیابی شان از شرکت می گردد. بنابراین مفهوم قدیمی تحقیق یا بازیافت تغییر میکند تا نیازهای مهم حسابداری بازار به بازار را برآورده سازد . نتیجه یک سرمایه گذاری درمقایسه با انتظارات پیش بینی شده زمانی که از ریسک ذاتی تجاری آزاد می شود ،بطور تحقق یافته تلقی می گردد. درآمد تحقق یافته میزانی را که تاآن حد به نتایج مورد نظر نائل آمده تسخیر میکند . این مفهوم تغییر یافته که در ارزیابی دارائی های تجاری فیزیکی و دارائی مالی بکار میرود ،مطابق با ماهیت سرمایه گذاری طبقه بندی می شود .این تحقیق نشان میدهد که ویژگی های مختلف اندازه گیری طبق مفهوم درآمد تحقق یافته ،سازگار می باشند و به این نتیجه میرسد که یک کاربری ثابت از مفاهیم بنیادی مهمتر از یکنواختی یک ویژگی خاص است.
1 0 مقدمه
ارزیابی دارائی همیشه یک موضوع اساسی درمطالعات استانداردهای حسابداری بوده است زیرا این مسئله دقیقا مربوط به سنجش و افشاءدرآمد حقوقی است.
اصطلاحات «حسابداری بهای تمام شده تاریخی»و «حسابداری ارزش متعارف » حاکی از تمرکز خاص بر ارزیابی دارادئی است ،ازاین حیث که اصول و عقاید پس از مبانی اندازه گیری ذکر می شوند .البته فاکتورهای تعیین کننده درمدل حسابداری باید شامل اهداف و مفاهیم پایه ای درآمد باشد . یک ویژگی اندازه گیری یا اساس و مبنای ارزیابی وسیله ای برای مفاهیم عددی اندازه گیری مثال سرمایه و درآمد است .اگر وجود یک اصل مبنادرحسابداری لازم باشد ،آن اصل یک مبنای ارزیابی به عنوان یک ابزار نیست بلکه مجموعه ای از اهداف و مفاهیم است که انتخاب مبانی ارزیابی را مشخص میکند . ازاین نقطه نظر ،این تحقیق بطور مفصل مفاهیم درآمد را بررسی می کند و طبق این بررسی ها مبانی ارزیابی دارائی را دوباره مطالعه کرده تا نیازهای فوری اطلاعات مالی را فراهم سازد . مسائل پایه ای دراینجا هماهنگی اهداف و مفاهیم و پیوستگی استدلال بکار رفته درانتخاب یک مبنای ارزابی به عنوان یک ابزار می باشند .
2 0 ارزیابی دارائی و تخصیص درآمد
Concepts of Income and Valuation of Assets:
Theoretical Ground for Mark-to-market Accounting and Realization Basis
Shizuki Saito
Faculty of Economics, The University of Tokyo
and Accounting Standards Board of Japan
October, 2002
* Originally written in Japanese and presented at the 3rd
Kobe Conference on Accounting in June, 1997
(collected in I. Nakano and H. Yamaji ed., Accounting Valuation in the21stCentury, Keiso Publishing Co., 1998).
asb.or.jp/cgi-bin
Abstract
This paper reviews the accounting standards concerning asset valuation in light of consistency with the objective of financial statements and the concept of income to be measured. Conceptual analysis of “economic income” and “realized income” leads to the relevance of the latter concept in providing the investors with pertinent information for their valuation of the firm. Conventional concept of realization is then to be modified to meet the pressing needs for mark-to-market accounting.
The result of an investment is regarded as realized to be compared with the ex ante expectations when it has been released from the business risk inherent in the investment. The realized income captures the extent to which the expected results have been achieved. This modified concept is
applied to the valuation of physical business assets and financial assets, classified in accordance with the nature of investment. The paper demonstrates that different measurement attributes are compatible under the concept of realized income and concludes that a consistent application of fundamental concepts is rather important than the uniformity of one particular attribute.
1. Introduction
Asset valuation has always been a major subject of studies on accounting standards, as the issue is closely related to measurement and disclosure of corporate income. The terminologies of “historical cost accounting” and “fair value accounting”, derived in the course of such studies, are symbolic of significant focus in asset valuation, in that the doctrines are named after alternatives of measurement bases.
However, the determinant factors in an accounting model should be, among others, its objectives and basic concepts including that of income. A measurement attribute or valuation basis is a means to achieve the given objectives and a mere tool for measuring numerical concepts such as capital and income. If there should be a basic principle in accounting, it is not a valuation basis as a tool but a set of objectives and concepts, which determines the choice of valuation bases 1.From such a viewpoint, this paper will review in detail the concepts of income and the objectives of disclosing income and, based on such reviews, will restudy the basis of asset valuation to meet the emerging needs for financial information. The basic issues here are consistency of objectives and concepts and coherence of the logic used in selecting a valuation basis as a tool.
جهت خرید این مقاله کامل که در 20 صفحه ترجمه شده و به همراه متن اصلی می باشد
ریسک سود مازاد، ارزش‌های ذاتی و قیمت‌های سهام:
از استفن پی باجینسکی و جیمز ام والن ـ
تحقیقات تجربی حسابداری شواهد نسبتاً کمی در مورد این که آیا از نظر ریسک ، اختلافات مقطعی سودی حسابداری با اختلافات مقطعی در قیمت‌های سهام، ارتباط دارند یا نه؟ ارائه میدهد. ما با توجه به ریسک یا خطر مربوط به ارقام حسابداری دو پرسش را مطرح می‌کنیم:
1 ـ آیا ارزیابی‌های خطر مربوط به حسابداری (یعنی خطر نظام مند و تغییر پذیری کل در مجموعه زمانی بهره مازاد حقوق صاحبان سهام شرکت) با ارزیابی بازار و برآورد خطر حقوق صاحبان سهام ارتباطی دارد یا نه؟
2 ـ اگر این چنین است، پس آیا این ارزیابی‌ها به صورت افزایشی با ارزشیابی بازار و ارزیابی خطر حقوق صاحبان سهام در ورای دیگر عوامل قابل بررسی و مشاهده، نظیر عوامل موجود در الگوی سه عامل French, Fama (1992) ارتباط دارند؟ ما بر مبنای یک معیار اساسی حسابداری در مورد ریسک قیمت بازار اختلاف میان قیمت واقعی سهام و الگوی ارزشیابی سود مازاد بر پایه برآورد ارزش سهام و با استفاده از نرخ بهره بد ون ریسک را ارزیابی می‌کنیم.
نتایج ما حاکی از آن است که هم ریسک سیستماتیک و هم مجموع تغییر پذیری در بهره مازاد حقوق صاحبان سهام به طور ناقص تفاوت قیمت گذاری را نشان میدهد، و تأثیر توضیحی مجموع تغییر پذیری به عوامل فاما و فرنچ ـ بقای بازار، اندازه شرکت و نسبت ارزش بازار به ارزش دفتری ـ افزوده می‌شود.
Fundamental valuation of equity shares requires estimation of expected future payoffs and the risk inherent in those
payoffs. Existing research on the usefulness of accounting earnings numbers has devoted far more attention to their role
as payoff-relevant information than to their role as risk-relevant information. One exception is the seminal Beaver et al.
(1970) study, which shows that accounting-based risk measures are positively associated with market model beta, but
which does not examine whether accounting-based risk measures explain share prices or returns. Thus far, the empirical
accounting research literature has surprisingly little to say about whether accounting earnings numbers capture
cross-sectional differences in risk that are associated with cross-sectional differences in share prices. In this study, we
investigate the risk-relevance of accounting numbers by addressing the question: Are accounting earnings-based risk
measures associated with the capital market’s assessment and pricing of firm risk? The answer to this question will inform
capital markets participants, as well as accounting researchers and teachers, about the fundamental usefulness of
accounting earnings numbers in assessing and pricing risk. The findings will also contribute to a better understanding of
how to specify accounting earnings-based valuation models, and how to use them in settings in which market-based risk
measures (e.g., market model beta) are not available.
We also address a second question: Are accounting earnings-based risk measures incrementally associated with the
market’s assessment and pricing of equity risk beyond other observable risk factors, such as the three factors in the Fama
and French (1992) model (market model beta, firm size, and book-to-market ratios)? Research by Fama and French
(1992) and others shows that the single factor capital asset pricing model may be incomplete because ad hoc factors
outside of the model (including factors based on accounting numbers, such as the book-to-market ratio) appear to explain
stock returns. Our investigation contributes evidence on whether accounting earnings-based risk measures capture
elements of priced risk that traditional measures of equity risk (e.g., market model beta) or factors identified by more
recent ad hoc approaches to risk (e.g., Fama and French 1992) do not capture.
Traditional theory on the role of accounting numbers in valuation, such as the residual income valuation models (e.g.,
Ohlson 1995; Feltham and Ohlson 1995), simplify the role of risk by assuming that investors are risk neutral and discount
rates are nonstochastic and flat. More recently, Feltham and Ohlson (1999) point out that equity values should price as
fundamental risk the nondiversifiable variability inherent in expected future residual income. Feltham and Ohlson (1999)
demonstrate analytically that (at least in principle) one can incorporate risk in residual income valuation by reducing
Accounting Review Jan 2003 v78 i1 p327(25) Page 1
- Reprinted with permission. Additional copying is prohibited. - G A L E G R O U P
Information Integrity
Residual income risk, intrinsic values, and share prices.
expected future abnormal earnings to certainty equivalents based on investors’ risk aversion across all possible events
and dates. (1) In this demonstration, Feltham and Ohlson (1999) measure abnormal earnings as earnings less a charge
for the cost of equity capital, basing the charge on the book value of equity and the term structure of risk-free interest
rates at the time of valuation. The pricing of risk therefore depends on the appropriate set of event-date-contingent prices
for future abnormal earnings measured as certainty equivalents. The Feltham and Orison (1999) demonstration is silent,
however, on how investors and empirical researchers should develop this complete set of event-date-contingent prices.
In the absence of implementable theoretical guidance, empirical applications of residual income valuation models have
incorporated risk into valuation by adding an ad hoc risk premium to a risk-free discount rate, with results that are
understandably sensitive to the risk premium assumption (e.g., Bernard 1994, 1995; Francis et al. 2000, 2001; Dechow et
al. 1999). Other recent studies invert the residual income valuation model to estimate the ex ante risk premia implicit in
discount rates, with mixed results (e.g., Claus and Thomas 2001; Gebhardt et al. 2001; Easton et al. 2000; Botosan and
Plumlee 2001, 2002). All of these prior studies use observed share values or stock returns to estimate the risk premia and
expected rates of return required by valuation models. Using observed share values or stock returns to assess risk
introduces a degree of circularity into valuation.
We develop a more direct approach that uses accounting numbers to assess firm risk and share values in a residual
income valuation context. First, we develop an accounting-based measure of the discount for risk inherent in share prices.
We estimate risk-free value based on the residual income model, analysts’ forecasts of earnings, and prevailing risk-free
rates of return. We then calculate the price differential--the risk-free value estimate minus share price. Conceptually, the
price differential is a simple yet theoretically defensible measure of the discount for risk implicit in share price. This
measure depends only on analysts’ expectations of earnings, the residual income valuation model, time value of money at
prevailing risk-free rates, and share price. The price differential is a potentially appealing firm-specific measure of the cost
of risk because it does not depend on any functional form of expected returns, or on explicit parameter estimates of
market risk measures (i.e., betas) or risk premia. As expected, price differentials are positive for nearly all firm-years
because risk-free values ignore the discounts for risk in share prices. As a practical matter, our estimates of price
differentials are highly positively correlated with estimates of expected rates of return implicit in share prices, but are
simpler to compute.
این مقاله کامل که در 59 صفحه ترجمه شده و به همراه متن اصلی عرضه می شود .
ریسک سود مازاد، ارزش‌های ذاتی و قیمت‌های سهام:
از استفن پی باجینسکی و جیمز ام والن ـ
تحقیقات تجربی حسابداری شواهد نسبتاً کمی در مورد این که آیا از نظر ریسک ، اختلافات مقطعی سودی حسابداری با اختلافات مقطعی در قیمت‌های سهام، ارتباط دارند یا نه؟ ارائه میدهد. ما با توجه به ریسک یا خطر مربوط به ارقام حسابداری دو پرسش را مطرح می‌کنیم:
1 ـ آیا ارزیابی‌های خطر مربوط به حسابداری (یعنی خطر نظام مند و تغییر پذیری کل در مجموعه زمانی بهره مازاد حقوق صاحبان سهام شرکت) با ارزیابی بازار و برآورد خطر حقوق صاحبان سهام ارتباطی دارد یا نه؟
2 ـ اگر این چنین است، پس آیا این ارزیابی‌ها به صورت افزایشی با ارزشیابی بازار و ارزیابی خطر حقوق صاحبان سهام در ورای دیگر عوامل قابل بررسی و مشاهده، نظیر عوامل موجود در الگوی سه عامل French, Fama (1992) ارتباط دارند؟ ما بر مبنای یک معیار اساسی حسابداری در مورد ریسک قیمت بازار اختلاف میان قیمت واقعی سهام و الگوی ارزشیابی سود مازاد بر پایه برآورد ارزش سهام و با استفاده از نرخ بهره بد ون ریسک را ارزیابی می‌کنیم.
نتایج ما حاکی از آن است که هم ریسک سیستماتیک و هم مجموع تغییر پذیری در بهره مازاد حقوق صاحبان سهام به طور ناقص تفاوت قیمت گذاری را نشان میدهد، و تأثیر توضیحی مجموع تغییر پذیری به عوامل فاما و فرنچ ـ بقای بازار، اندازه شرکت و نسبت ارزش بازار به ارزش دفتری ـ افزوده می‌شود.
Fundamental valuation of equity shares requires estimation of expected future payoffs and the risk inherent in those
payoffs. Existing research on the usefulness of accounting earnings numbers has devoted far more attention to their role
as payoff-relevant information than to their role as risk-relevant information. One exception is the seminal Beaver et al.
(1970) study, which shows that accounting-based risk measures are positively associated with market model beta, but
which does not examine whether accounting-based risk measures explain share prices or returns. Thus far, the empirical
accounting research literature has surprisingly little to say about whether accounting earnings numbers capture
cross-sectional differences in risk that are associated with cross-sectional differences in share prices. In this study, we
investigate the risk-relevance of accounting numbers by addressing the question: Are accounting earnings-based risk
measures associated with the capital market’s assessment and pricing of firm risk? The answer to this question will inform
capital markets participants, as well as accounting researchers and teachers, about the fundamental usefulness of
accounting earnings numbers in assessing and pricing risk. The findings will also contribute to a better understanding of
how to specify accounting earnings-based valuation models, and how to use them in settings in which market-based risk
measures (e.g., market model beta) are not available.
We also address a second question: Are accounting earnings-based risk measures incrementally associated with the
market’s assessment and pricing of equity risk beyond other observable risk factors, such as the three factors in the Fama
and French (1992) model (market model beta, firm size, and book-to-market ratios)? Research by Fama and French
(1992) and others shows that the single factor capital asset pricing model may be incomplete because ad hoc factors
outside of the model (including factors based on accounting numbers, such as the book-to-market ratio) appear to explain
stock returns. Our investigation contributes evidence on whether accounting earnings-based risk measures capture
elements of priced risk that traditional measures of equity risk (e.g., market model beta) or factors identified by more
recent ad hoc approaches to risk (e.g., Fama and French 1992) do not capture.
Traditional theory on the role of accounting numbers in valuation, such as the residual income valuation models (e.g.,
Ohlson 1995; Feltham and Ohlson 1995), simplify the role of risk by assuming that investors are risk neutral and discount
rates are nonstochastic and flat. More recently, Feltham and Ohlson (1999) point out that equity values should price as
fundamental risk the nondiversifiable variability inherent in expected future residual income. Feltham and Ohlson (1999)
demonstrate analytically that (at least in principle) one can incorporate risk in residual income valuation by reducing
Accounting Review Jan 2003 v78 i1 p327(25) Page 1
- Reprinted with permission. Additional copying is prohibited. - G A L E G R O U P
Information Integrity
Residual income risk, intrinsic values, and share prices.
expected future abnormal earnings to certainty equivalents based on investors’ risk aversion across all possible events
and dates. (1) In this demonstration, Feltham and Ohlson (1999) measure abnormal earnings as earnings less a charge
for the cost of equity capital, basing the charge on the book value of equity and the term structure of risk-free interest
rates at the time of valuation. The pricing of risk therefore depends on the appropriate set of event-date-contingent prices
for future abnormal earnings measured as certainty equivalents. The Feltham and Orison (1999) demonstration is silent,
however, on how investors and empirical researchers should develop this complete set of event-date-contingent prices.
In the absence of implementable theoretical guidance, empirical applications of residual income valuation models have
incorporated risk into valuation by adding an ad hoc risk premium to a risk-free discount rate, with results that are
understandably sensitive to the risk premium assumption (e.g., Bernard 1994, 1995; Francis et al. 2000, 2001; Dechow et
al. 1999). Other recent studies invert the residual income valuation model to estimate the ex ante risk premia implicit in
discount rates, with mixed results (e.g., Claus and Thomas 2001; Gebhardt et al. 2001; Easton et al. 2000; Botosan and
Plumlee 2001, 2002). All of these prior studies use observed share values or stock returns to estimate the risk premia and
expected rates of return required by valuation models. Using observed share values or stock returns to assess risk
introduces a degree of circularity into valuation.
We develop a more direct approach that uses accounting numbers to assess firm risk and share values in a residual
income valuation context. First, we develop an accounting-based measure of the discount for risk inherent in share prices.
We estimate risk-free value based on the residual income model, analysts’ forecasts of earnings, and prevailing risk-free
rates of return. We then calculate the price differential--the risk-free value estimate minus share price. Conceptually, the
price differential is a simple yet theoretically defensible measure of the discount for risk implicit in share price. This
measure depends only on analysts’ expectations of earnings, the residual income valuation model, time value of money at
prevailing risk-free rates, and share price. The price differential is a potentially appealing firm-specific measure of the cost
of risk because it does not depend on any functional form of expected returns, or on explicit parameter estimates of
market risk measures (i.e., betas) or risk premia. As expected, price differentials are positive for nearly all firm-years
because risk-free values ignore the discounts for risk in share prices. As a practical matter, our estimates of price
differentials are highly positively correlated with estimates of expected rates of return implicit in share prices, but are
simpler to compute.
این مقاله کامل که در 59 صفحه ترجمه شده و به همراه متن اصلی عرضه می شود .
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