【作者】 王治；

【导师】 刘永泽；

【作者基本信息】 东北财经大学 ， 会计学， 2011， 博士

【摘要】 传统价值相关性研究通常基于有效市场前提,至少必须假设投资信念同质,并在此基础上把公司价值或股价与会计信息的价值相关性对应起来。公允价值信息产生于会计计量观对有效市场的怀疑,然而公允价值的价值相关性研究却仍然以市场有效为基本假设,并在此基础上建立它的理论模型。理论基础所包含的先天矛盾使得公允价值以及包含历史成本在内的会计信息价值相关性研究很难得到一致结论,也很难对准则的制定起到关键性的作用。纵观社会科学的各个领域,基于人类行为的异质信念正在渗透和挑战着传统的理性人框架下的同质信念假设；而基于新古典经济学范式下的会计信息价值相关性研究却仍然在传统的理论框架下构造它的函数模型。根据可获得的国内外文献和媒体信息,从异质信念视角对会计信息价值相关性的研究还很少见；而传统视角下的会计理论、应用研究以及准则制定呈现出一种“三国鼎立”的格局,没能很好的实现理论与实践的交叉和融合。因此,我们认为,有必要从异质信念视角出发,重新审视会计信息的价值相关性问题。开辟新的研究思路,以促进该项研究的进一步发展。通过考虑噪声交易的Ohlson模型的理论分析,本文认为在投资者信念异质的前提下,一方面不同投资者群体对会计信息的估值水平和能力存在显著差异,或者说投资者在估值过程中对会计信息的看法存在分歧和差异,表现为不同体制、不同国家以及不同信息环境等背景下,价值相关性的显著差异。另一方面,并非始终有效的市场表现为两种趋势,其一,在市场非理性繁荣时,有限理性的投资者由于过度自信,往往过度放大基本面的其它信息,从而降低甚至忽略会计数据的估值作用；其二,一旦基于非信息交易的噪声交易者随着时间推移逐年增加,价值相关性就会呈现出不断下降的趋势。本文首先从异质信念视角重新分析了会计信息尤其是公允价值信息价值相关性研究的理论基础；其次,通过对价值相关性研究的剖析与反思分析了该研究不能作为准则制定依据的根本原因,从而厘清了价值相关性研究和公允价值应用范围确定之间的关系；与此同时,本文进一步提出公允价值应用范围的确定应当与制度环境相匹配的思想;再次,通过基于异质信念的会计信息价值相关性理论分析,提出了基于异质信念的价值相关性研究思路；并基于此,对2007-2009年,新准则颁布后会计信息价值相关性进行了实证检验；实证研究表明投资者信念异质是导致会计信息包括公允价值的价值相关性变化的根本原因,不同体制环境、不同信息环境、不同年度的会计信息及公允价值信息的价值相关性存在显著差异。本文的研究目标总体来说是以异质信念为切入点,通过对考虑噪声交易的Ohlson模型的理论分析,提出研究会计信息价值相关性的新思路。在此基础上,对新准则颁布后的会计数据进行实证检验,并提出相应的政策建议。本文首先厘清了价值相关性研究与公允价值应用范围之间的关系；其次,通过理论分析发现价值相关性存在差异的根本原因；再次,利用国内新准则颁布后的会计数据对不同制度环境、不同信息环境以及不同年度的会计信息价值相关性进行比较研究；最后并根据本文的研究结论提出了相应的政策建议。本文的研究思路是按照递进层次依次展开的,第一个层次为本文的研究前提,以价值相关性研究以及公允价值的价值相关性研究的历史变迁和理论演进为线索,提出本文的选题动机、研究价值并梳理研究现状。第二个层次为本文的基础研究部分,主要分析了公允价值的价值相关性研究理论基础存在的先天矛盾,在此基础上对基于异质信念的会计信息价值相关性研究进行了理论分析；第三个层次为实证检验部分,主要针对不同制度环境、不同信息环境、不同年度会计信息的价值相关性进行实证检验；第四个层次为研究结论和政策建议。论文首先从异质信念视角引出本文所要研究的主题——会计信息的价值相关性研究,并进一步阐述本文的选题背景和意义,在此基础上提出本文的研究目标和研究内容,以及本文研究的技术路线和研究方法。回顾了会计信息价值相关性以及公允价值的价值相关性研究的发展历程；同时对国内外会计信息价值相关性研究现状进行了评述,以归纳和总结国内外研究过程中存在的问题与局限性。通过对价值相关性研究的回顾与评述,为本文的研究指明了方向。其次,在界定相关概念的基础上,对基于异质信念的会计信息价值相关性进行了基础研究。一方面,对价值相关性的理论基础进行再分析。从异质信念视角出发,重新审视了决策有用观、会计计量观、有效市场假说以及净剩余理论等既有理论基础之间的逻辑关系；并进一步指出了净剩余理论的理论前提与公允价值及其价值相关性研究之间存在的内在矛盾。另一方面,从异质信念视角进一步对会计信息价值相关性进行理论分析。对传统价值相关性研究进行了剖析与反思,并明确指出价值相关性研究不能作为确定公允价值应用范围的理论依据；厘清了价值相关性研究与公允价值应用范围的相互关系,并提出公允价值会计的哲学定位；结合资本资产定价模型的演化过程,提出了基于噪声交易的Ohlson模型,并进一步提出了会计信息价值相关性逆向思维的研究思路。再次,利用理论分析所构建的模型,对不同制度环境、不同信息环境、以及不同年度会计信息以及公允价值的价值相关性的进行实证检验。研究结论表明A、H股之间的会计信息价值相关性的确存在显著差异,其根本原因并非不同的资本市场、抑或不同的会计准则体系所导致的,而是投资者信念异质导致会计信息定价差异；以散户为主体的价值相关性显著高于以机构投资者为主体的上市公司,这说明不同信息环境下会计信息的价值相关性存在显著差异,其根本原因是由于两个群体间的信念异质导致的。不同年度会计信息的价值相关性存在显著差异；资产负债观的信息含量逐渐增加,而损益观的信息含量逐年下降；且不同年度的公允价值信息的价值相关性存在显著差异。最后,在总结研究结论的基础上,结合我国的制度环境提出了政策建议：提高会计信息质量,强调会计信息的估值作用；提高资本市场的投资者保护水平,改善制度环境；持续追踪信息不对称的上市公司,改善信息不对称的环境；持续对投资者进行基于公允价值会计的估值教育和培训,深化准则的执行力。从而改善和提高会计信息价值相关性,努力促使市场变得更加有效起来。本文的主要创新点如下：第一,从异质信念视角研究会计信息价值相关性问题,拓宽了价值相关性研究的研究视野。传统价值相关性研究大都以有效市场为前提假设,至少必须要求投资者信念同质。本文从异质信念视角,遵循行为金融的研究思路,进一步拓宽了价值相关性的研究领域和视野。第二,厘清了价值相关性研究与公允价值应用范围之间的关系。传统价值相关性研究通常希望通过公允价值相对于历史成本具备增量信息含量来为准则中进一步提高公允价值应用范围提供经验证据。但这一思路并未得到研究结论的有力支持。本文通过对公允价值信息价值相关性理论基础的深刻剖析,以及对公允价值内涵的深刻分析,探讨了价值相关性不能作为准则制定依据的原因,并提出公允价值的应用范围应当以中国哲学的中庸思想为指导,严格与制度环境相匹配。与此同时,本文从异质信念视角进一步提出会计信息价值相关性研究新的研究思路。从而厘清了价值相关性研究与公允价值应用范围之间的关系。第三,引入噪声交易者,重新思考了Ohlson模型的构建。本文通过对Ohlson模型的再推导,再现了Ohlson模型构建过程中的基本假设,及其与股利贴现模型等价的基本思路。在此基础上,本文通过对噪声交易模型与股利贴现模型的对比,从异质信念视角提出和构建了考虑噪声交易的Ohlson模型。第四,从异质信念视角系统的整合了三种不同类型的价值相关性比较研究,并运用我国新准则颁布后的会计数据对不同类型会计信息的价值相关性比较进行了实证分析。近十年间,不同制度环境、不同信息环境、以及不同年度的价值相关性比较研究散见于国内外的文献中,“各自为政”。本文从异质信念视角,根据考虑噪声交易Ohlson模型的理论分析,系统的整合了这三类文献,并利用国内近三年的数据对不同类型的会计信息价值相关性比较进行了实证分析。然而,本文的研究仍然属于尝试性的,加之研究水平的局限,势必存在很多不足之处,本文的研究不足及待研问题如下：由于研究对象主要是新准则颁布后的会计信息数据,因此,本文仅有三年的研究样本,因而很难通过分年数据反映资产负债表信息与损益表信息明显的变化趋势；限于篇幅,本文提出的公允价值应用范围和制度环境相匹配的思想并未展开,而且对公允价值计量方法的应用尚未考虑其与会计稳健性的关系问题；根据会计信息价值相关性逆向研究的思路,本文的实证分析只能发现差异以及不符合常规预期的现象,还需要通过实地研究和实验研究进一步分析差异的具体原因以及提高价值相关性的有效策略。作为一种探索,我会在今后的研究中进一步予以充实和完善,也希望可以通过这些肤浅的思考给其他后来者在此基础上进行研究做好铺垫。更多还原

【Abstract】 The traditional research of value relevance is usually based on the premise of Efficient Market Hypothesis, at least assuming homogeneous beliefs, and on this basis, correspond with the firm value or the stock price with the value relevance of accounting information. Fair value information generates from the suspicion of Measurement Perspective toward the Efficient Market Hypothesis, however, the resarch and theoretical models of fair value information’s value relevance are still based on the assumption of efficient market.Inherent contradictions contained in the theory makes the researches of value relevance of fair value and historical cost information are hard to get the same conclusion,therefore triditional theory is also hard to play a key role for developing the guidelines.In every field of social science based on human behavior, the heterogeneous beliefs are penetrating and challenging the traditional framework of rational people with homogeneous beliefs hypothesis; but based on the paradigm of new classical economics traditional theory of value relevance is still under the framework of its triditional model. According to the domestic and foreign literature and media information which can be obtained from perspective of heterogeneous beliefs value relevance study of accounting information are rare; From the perspective of traditional accounting theory, applied research and standards set are on a "three kingdoms tripartite confrontation" pattern, can’t realize crossover and fusion of the theory and practice. Therefore, we think it’s necessary to re-examine the value relevance of accounting information from heterogeneous belief Angle, open up new research ideas, in order to promote the further development of the study.By considering the analysis of Noise Trade Ohlson Model theory, this paper argues that the investors belief heterogeneous premise, on the one hand,for accounting information different investors group have different valuation levels and ability, or investors opinions through accounting information are different,there were significant differences in the valuation process of performance for different system, different countries and different information environment background,which show significant differences for value relevance. On the other hand, not always efficient market appeared in two trends, firstly, when the market is Irrational Exuberance the bounded rational investors will become more overconfident, they often excessive magnify the fundamentals of other information, thereby reduce even ignoring the valuations role of accounting data; Secondly, Once the noise trading based on the information of the noise traders with time increase year by year, value relevance will show a declining trend.The paper firstly re-analyzes the theoretical basis of the value relevance of accouniting information,especially the value relevance of fair value information from the perspective of heterogeneous beliefs; Secondly, the paper anlalyzes why the tradional value relevance research can not be the basis for standard setting through the criticism and thinking toward them and clarify the relationship between the research of the value relevance and the scope of fair value application; At the same time, we further propose that the scope of fair value application of should be matched with the institutional environment; then the paper puts forward the ideas of the value relevance research through the theoretical analysis of value relevance based on heterogeneous beliefs; and based on this, we use the data from 2007 to 2009 after the implement of the new accounting guidelines,making an empirical test on the value relevance of accounting information; the results show that heterogeneous beliefs cause the differences of value relevance including fair value information, specially we find significant differences on the background of different information environment, different institutional environment and different periods.This paper aims to take heterogeneous beliefs as the breakthrough point on the whole, through theoretical analysis of Noise Trade Ohlson Model, puts forward the new idea of value relevance.Based on this, this paper empirically analyzes accounting data promulgated by new accounting standards, puts forward the corresponding policy recommendations.The paper firstly aims to clarify the correlation between the research of the value relevance and the scope of fair value application and find the causes of differences on the research of accounting information value relevance; then,through theoretical analyzes the paper makes an empirical test on the value relevance of accounting information including fair value information after the implement of the new accounting guidelines on the background of different information environment, different institutional environment and different periods and finds the significant differences,at last,proposes the corresponding policy recommendations according to the research conclusions.The research idea of this paper expands in turn based on progressive levels:the first level is the premise of this paper, the paper puts the historical changes and the theory evolution of the accounting information including fair value information value relevance research as a clue to propose the motives and value of this article and card the research status. The second level is the basic research, mainly analyzing inherent contradictions of the value relevance research, based on this, the paper makes theoretical analysis for the value relevance research based on heterogeneous beliefs. On the third level, we have an empirical test on the value relevance of accounting information under the background of different information environment, different institutional environment and different periods.Firstly, the paper raises the subject----"the value relevance of accounting information" from the perspective of the heterogeneity beliefs coming from behavioral finance, and further elaborates the research background and significance of this paper, based on this, propose the rasearch objectives and contents, the research technical line and the research methods. Then the paper recalls the development process of the accounting information including fair value information value relevance research; at the same time, comments the domestic and foreign value relevance research to summarize the problems and limitations, pointing out the direction of the paper.Secondly, on the basis of defining related concepts, we study the value relevance of the accounting information based on the heterogeneous beliefs in basic. On the one hand, we re-analyze the theoretical basis of the value relevance. From the perspective of heterogeneous beliefs, we re-examine the logical relationships between Information Perspective、Measurement Perspective、Efficient Market Hypothesis and Net Surplus Theory and other existing basal theories. Furthermore we point out the internal contradictions between the premise of Net Surplus Theory and fair value and its value relevance. On the other hand, based on the heterogeneous beliefs, we further make theoretical analysis for the value relevance of the accounting information. We also have criticism and thinking on the traditional value relevance research, and clear that the traditonal research cannot be used as the theoretical basis for application of fair value. Then the paper clarifies the relationship between value relevance research and application of fair value, further puts forward the philosophical orientation of fair value accounting. Combineing with the evolution of CAPM, we propose the Model of Ohlson which bases on the Noise Traders, and further raise the value relevance of accounting information research ideas by reverse thinking.Furthermore, the paper does an empirical test on the value relevance of accounting information under the background of different information environment, different institutional environment and different periods using the model based on theoretical analysis. The results show that A、H shares of the value relevances of accounting information have significant differences, and the fundamental reasons are not different capital markets, or different accounting standards system, but heterogeneous beliefs; we also concludes that the value relevance of the companies whose main invesots are the retails is significantly higher than the companies whose main invesots are the institutional investors, which shows the value relevances of accounting information in the different information environment are significantly different because of heterogeneous beliefs of the two groups. At last, we find that the value relevances of accounting information in different periods are significantly different, which shows that the information quality of Balance Concept increases year by year, but the information quality of Revenue and Cost Outlook decrease.Finally, on the basis of summarizing research conclusion, in combination with the system environment this paper puts forward policy Suggestions:improving the quality of accounting information, emphasizing the role of accounting information valuations, Improving capital market investor protection level, improving the system environment, Follow-up information asymmetry of listed companies, improving the asymmetric information environment, Continuing to invest based on fair value accounting education and training, valuations of deepening standards implementation, improving and enhancing the accounting information value relevance, trying to get the market become more effective up.The main innovations of this paper are as follows:Firstly, from the perspective of heterogeneous beliefs, this paper expands the research vision of value relevance of accounting information. Most of the traditional value correlation studies for the premise supposition, effective market requires investors must be at least homogeneous beliefs. In this paper, follow from heterogeneous belief perspective which are the ideas of the behavioral finance this paper have widened research areas and vision of value relevance. Secondly, this paper specifies the relationship between value relevance and fair value application scope. The traditional value relevance studies often hope that through the fair value relatively has incremental information content to the historical cost to provide empirical evidence for accounting standards in order to further improve the fair value application. But this approach does not get the strong support of the study conclusion. This article the profoundly analyze the theory basis of value relevance of fair value information, and the profound connotation of fair value, discusses the reasons why value relevance of standard setting cannot be used as the basis, and puts forward the application range of the fair value of should be guided by the doctrine of the mean thought in ancient China and strictly be matched with the institutional environment. Meanwhile, this paper further puts forward new perspective of value relevance research of accounting information from heterogeneous belief Angle. Thus we can clear relationship between the value relevance research and the application scope of fair value the.Thirdly, through the introduction of noise trader, this paper rethinks the Ohlson models. We deduce Ohlson Model again, which reappear basic assumptions of the model, in the process of building and its dividend discount model equivalent basic ideas. On this basis, the paper contrast noise trading model and dividend discount model, proposes and constructs the considered view of Noise Trade Ohlson Model from heterogeneous beliefs.Fourthly, from heterogeneous belief angle of view systematically integrates the perspective of three different types of value relevance studies in China, and using accounting data promulgated by new accounting standards empirically analyzes comparison of different types of value relevance. During the past decade, different institutional environment and different information environment, and different annual value relevance comparative study of the domestic and foreign literature, are academically "fragmented". This paper, from the perspective of heterogeneous beliefs consider Noise Trade Ohlson Model according to the theoretical analysis, systematically integrates the three kinds of literature, and using nearly three years of domestic data empirically analyzes different types of comparison of value relevance.However, owning to the limitation of ability, this paper is just a try. So there are definitely some limitations in the dissertation. For example, Because research object basically is accounting data promulgated by new accounting standards, this paper only has three years of research samples, so it is difficult to reflect variation tendency of the informations of balance sheet and income statement; be confined to the length of this paper, the paper puts forward the match between the application range of the fair value and system environment, and do not consider the relationship between fair value measurement method and the accounting conservatism; According to the reverse thinking of value relevance, the empirical analysis can only find differences which do not accord with conventional expected phenomenon, Still need further analysis through field research and experiment research to find the specific reasons of the difference and provid effective strategies of value relevance. As an exploration, I will further enrich and perfect this research in the future, through these superficial thinking, I also hope to become the blackboard for other newcomers based on this research.更多还原