Transcript No Slide Title

Introduction of
Empirical Accounting Research
Fang Hu
CSU
January, 2015
1
为何选择实证研究
企业就业：
 掌握了实证研究，在技术要求较高的金融等领域，就业具有比较优
势。大券商，基金公司，管理咨询公司都需要会做实证研究的研究
型人才。
学术研究
 潮流：实证研究在美国等国占主流地位
 数据主要来自正式公开数据，如上市公司经审计发布的年报，相
对客观
 数据相对容易获取，且没有选择性偏差

国内现状
 国内核心期刊和课题基金越来越看重实证研究
 熟练掌握了实证研究的人并不多，相对而言，边际收益较高
 实证研究具有一定的技术门槛，可以获取垄断效益？
 相对于分析性研究而言，风险较小
管理学研究方法的发展趋势
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Value
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资料来源：根据SMJ（strategic management journal)汇集，转
引自上财 贺小刚博士
实证研究的缺陷



No data, no research
只做实证研究，获得诺贝尔经济学奖的概率几乎为
0
实证研究方法对于研究者而言只是工具之一，研究
者最好能掌握多种工具。
4
国际实证会计研究历史回顾
实证会计研究发端和推进


Ball & Brown (1968)
Watts & Zimmerman (1986)
实证会计研究兴起原因


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资本资产定价模型（CAPM）
有效市场假说（EMH）
企业理论、契约理论、管制理论及实证经济学的进展
计算机技术和数据库的发展
实证会计研究主要领域（Kothari, 2001, JAE）


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基础分析及定价（fundamental analysis and valuation）
市场有效性检验（tests of market efficiency）
会计数字在合约及政治过程中的角色（the role of accounting numbers in contracts
and the political process）
近年来的研究热点：制度、治理与会计
– Institutions and Finance 学派的兴起（La Porta等，1998，1999…）
– Ball, Kothari and Robin (JAE, 2000)：The effect of institutional factors on
properties of accounting earnings: international evidence
– Ball, Robin and Wu (JAE, 2003)：Properties of accounting earnings in four
East Asian countries
– ……
国际重要综述
例如：
JAE 2001年的九篇综述性文献
– 资本市场会计研究（Kothari, 2001）
– 会计信息价值相关性（Holthausen and Watts, 2001）
– 会计选择（Fields, Lys and Vincent, 2001）
– 信息披露（Verrecchia, 2001）
– 信息不对称、信息披露与资本市场（Healy and
Palepu, 2001）
– 财务会计信息与公司治理（Bushman and Smith,
2001）
– 合约理论与会计：Lambert (2001)
– 会计中的实证税务研究（Shackelford and Shevlin,
2001）
– 管理会计实证研究（Ittner and Larcker, 2001）
6
中国实证会计研究历史回顾
• 中国实证会计研究兴起的主要原因
– 股票市场的发展：需求和供给
– 海外学者的推动和国际接轨需求
– 早期上财、清华等校的积极推动，后北大、中山、
南大、厦大、复旦等的加入
– 《经济研究》、《会计研究》等的支持
– 《中国会计与财务研究》、《中国会计评论》等相
继创办
– 研究潮流的转变和学术市场的初步形成（博士生的
选择）
– 相关学术制度的改变（科研考核、国际合作、刊物
审稿）
国内研究重要综述
譬如：
– 李志文（Jevons Lee）：“中国会计研究试议”、
“再论中国会计研究”、“浅谈实地研究：三论中国
会计研究”
– 蔡祥、李志文、张为国：“中国实证会计研究述评”
（CAFR，2003）、“中国证券市场中的审计问题：实
证研究综述”（《审计研究》，2003）
– 陈信元、陈冬华、朱凯：“股权结构与公司业绩：
文献回顾与未来研究方向”（CAFR，2004）
– 孙早、鲁政委：“从政府到企业：关于中国民营企
业研究文献的综述”（《经济研究》，2003）
9
Definition of Empirical Research
Empirical methods: experiment or observation
Five kinds of empirical research:
1.
2.
3.
4.
5.
Laboratory Experiments
Field Experiments
Field Studies (or case studies)
Survey Research
Archival research
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Definition of Empirical Research
Terminology:


All the above are “empirical research,” but
sometimes people use this term narrowly to refer
to (5).
“Positive accounting research” is a subset of (5), it
does not include all empirical accounting research.
 The name comes from “positive economic
research” (opposed to “normative”) which
studies the effects of economic policies on
economic behavior
 Very narrow definition of PAT: studies
accounting choices  now expanded to
accounting behavior and accounting attributes
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Classification of Accounting Research
Financial
Archival
Managerial Auditing

“Empirical”

Field study
Experimental



Analytical



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Objectives of Empirical Research
（实证研究的目标）
1) Describe: “what is”, just Y

Example: Performance of listed companies in HK
2) Explain: Because X, so Y

Example: Performance of companies (Y) after merger
(X)
3) Predict: Next time, if X occurs, Y will follow

Now two companies merge, will they perform better in
the future as one single company?
Empirical research usually do (1) and (2), and
leave (3) as possible implications

Direct predictive research: earnings and bankruptcy
predications
13
Six steps of empirical research
1.
2.
3.
4.
5.
6.
Identification of research questions
Development of hypotheses
Research design
Collection of sample and data
Statistical analysis
Interpretation of results
(1) and (2) are theory construction, and (3)~(6) are
theory verification
14
Step 1. Research Questions
Ask: what is the relationship between two or
more variables? Examples:

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Is accounting information useful for stock market
investors?
Is performance improved after merger?
15
General vs. specific questions （通用和具体问
题）:

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
Some terms are general, such as
 Does “performance” improve after merger?
 Is the market in HK “efficient”
These terms have to be narrowed to become testable
Some terms are specific, such as
 The trading volume of firms disclosing more
information is higher than those disclosing less
（太具体的问题又是没什么意义的。譬如，一张桌子有
几颗钉子，几块木板…我们可能更关心桌子的“质量”）
因此，有趣的问题是基于一个通用课题的具体意义
16
Multivariate and conditional nature of
research questions（研究问题的多变
量和条件性）
Question: If X, then Y
But there are other variables (can become
conditions): A, B, C, D, E…
The question is usually conditional:



If X, and A, B, C, D, ... then Y
Example: merger (X) improves performance (Y) only
when two companies in the same industry merged (A),
and/or merger did not increase debt burden (B)
Conditional variables allow deeper understanding of
the issue
Sometimes conditional variables are more interesting
than X, so can be elevated as the main variables
17
如何确定研究的问题
当前实务问题
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通货膨胀
加息与升值
信贷扩张
创业板
当前文献


包括公开发表的和未发表的
有无尚未解决的问题
了解制度背景

市场中的主要参与者及其相互关系：监管机构、公司、券商、
基金、银行等
了解现有的数据库：有无数据可供研究
了解统计与计量技术：我是否掌握了必要的技术手段
Step 2. Hypotheses （假设）
Conjectural statement of the relation
between two or more variables, examples:


Stock returns are correlated with accounting
income
Accounting income increases after merger
好假设的标准：

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
能阐述两个或多个变量之间的关系
能够从经验上进行检验（变量可测量）
基于某个理论或者仔细的逻辑推理
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Difference between questions and
hypotheses （研究问题和假设的区别）
假说可直接进行检验，问题不能。我们检验的是
假说，而不是问题。
问题不需要具有理论基础，但假说通常需要。
所有的研究始于提问。如果一个问题不能转化为
一个假说，它就不是一个有价值的实证研究问题。
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Should hypotheses have a theoretical
basis? （假说都应该有理论基础吗）
最好有，但是很多研究的题目没有，如


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盈余的时间序列特性
破产预测
基于某些交易规则的异常收益
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Importance of theory in empirical
research （理论在实证研究中的重要性）
What is a theory


Systematically organized knowledge applicable in a
variety of circumstances （理论是可以应用于不同环
境的系统组织的知识）
It includes assumptions and procedures to analyze
the phenomenon
A theory can
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
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Structure the study （搭建研究框架）
Suggest hypotheses （发展假说）
Allow knowledge to accumulate （积累知识）
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Theory can be either mathematical or logical
（理论可以是数量的，也可以是逻辑的）

Math theories
 Agency theory （代理理论）
 Information economics （信息经济学）


Information has demand and supply sides
Non-math theories
 EMH （市场有效性假设）
 Positive theory of accounting （实证会计理论）
23
Basic Concept of Hypothesis Testing （假
说检验的基本概念）
对于研究假说，我们只能证伪，无法证实；
In hypothesis testing, we don’t test the
hypothesis itself

e.g., for merged firms, the mean profit measure of
post-merger period (Post-Profit) > pre-merger
period (Pre-Profit)
Rather, we test the hypothesis against
something, which is called null hypothesis
（H0）， H1必须在逻辑上是H0的非。所有的
tests都是在假设H0为true的前提下推导的

H0, e.g., Post-Profit = (or  ) Pre-Profit
24
The purpose of statistical test is to see if H0 is
rejected (disproved) by data.
We can only say that H0 is disproved, not that
H1 is proved, Reason:


we use a sample to test the properties of the
population （我们使用一个样本来推断总体）.
It takes only one sample to disprove the
hypothesis  need infinite samples to prove any
hypothesis, which is impossible. （只需要一个证据
论假，但是需要无数个证据论真）
25
Step 3. Research Design （研究设计）
目的：确保是X导致了Y，而不是A,B,C…
三个途径


最大化X的变化（方差）：例如，关注于大公司的
mergers
控制外生变量，两招：
 其一：配对样本。


例如，对于CEO变更，从同一行业中选择没有发生CEO变更的公
司作为配对样本
局限性：可能缺乏足够的配对样本
 其二：将外生变量纳入到统计模型中

最小化被解释变量的随机误差。方法是增加测量的准
确程度
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2. Control of extraneous variables (A, B, C, etc.), 2
ways 控制外生变量A, B, C, etc.，两招：
 Matching: based on extraneous variables 根据外生变量
配对
 Example:对于mergers，从同一行业中选择没有

发生merger的公司作为配对样本
 Limitations:可能缺乏足够的配对样本(example:
industry and size)
Include extraneous variables in the statistical models
(e.g., regression)将外生变量纳入到统计模型中
 Assumption: linear relationship between control
and dependent variables
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3. Minimize random error in dependent variable, Y
最小化被解释变量Y的随机误差。



In t-test, t = x/s.e. If s.e. is too large, t will be small,
and thus no chance to be significant.
如果减小误差方差?
方法是增加测量的准确程度 (e.g., make sure stock
prices are adequately adjusted)
28
Two common and related issues in
methodology （两个常见问题）
“Self-selection” problem （自我选择问题）

Example: acquiring firms are attempting to turn
around its performance, merger is one of the
efforts
“Endogeneity” problem （内生性问题）: X
depends on Y and/or A, B, C  simultaneous
equation approach
29
Discussion question 1
A international study finds that the firms that
cross-list in the US have higher valuations
(Tobin’s q) than domestic firms not crosslisted.
Conclusion: US cross-listing reduces
expropriation so enhancing firm value


What are the problems in this conclusion?
How to overcome these problems?
30
Discussion question 2
A Chinese study finds that the B-share firms
have worse performance than A-share firms
Conclusion: foreign investors are no better
monitors of listed companies than domestic
investors in China


What are the problems in this conclusion?
How to overcome these problems?
31
Step 4. Sample Selection （样本选择）
Random sampling （随机抽样）:
 To select a sample from the population, so that, all
possible samples of size N have the same possibility
of being selected
Filtering: eliminate certain group(s) from the population
过滤：从总体中排除某些特定的样本
 e.g., excluding banks due to different meanings of
certain financial ratios)
Directed sampling: restrict to subjects which are likely
to show the effects直接取样：只分析可能出现结果的样
本
 e.g.,只分析fortune 500中发生了merger的公司
32
Sample size样本容量问题



As large as possible越大越好
 Relationship between error (deviation from
population values) and sample size: decreasing
function 样本越大，误差越小
The larger the better?越大越好?
 Cost and benefit容量越大，数据收集成本越高
Problem of too large samples 太大样本的问题:
 标准方差可能很小，因此很容易拒绝H0 假说
33
Population vs. sample: when all firms for
certain years in the database are used in the
study, is it still a sample? Two views:
样本与总体：对于某些研究，使用的是全样本：比如研究对象
是所有上市公司


This is not sample, but population. So, empirical
research uses statistical language, not exactly
statistical meaning, in describing results.
The firms in the database (listed firms) are
representative of all firms. The study period is
representative of all periods. So, there is still
statistical meaning.
34
How people evaluate an empirical study?
（如何评价实证研究？）
1. Is it interesting (relevant)?

To policy decisions, to practice, to other research,
etc.
2. Is it new (creativity)?

What has been known already what does this
study add?
3. Is it in-depth?
4. Is it rigorous (reliable)?

Methodology
35
How to measure the rigorousness of
research?如何衡量实证研究的严格性
Internal Validity内部有效性:
 How valid is the inference that X causes Y?
从X推断Y，其因果关系有多强
 Primary issue: control of “extraneous variables”
外生变量的控制：学历和成功的关系
学历越高的人越成功：依靠父母的财富累积也可以成功，在控制了
“父母平均收入”的影响后，是否学历仍然有解释能力？
External Validity外部有效性:
 Are the results of one study generalizable to other samples, time
periods, events, reporting issues? 研究结果是否能推广到一般情
形如其他样本，不同的时间段，事件，报告事项等等？
 譬如，美国存在的盈余操纵行为譬如“big bath” ，是否在其他国
家也存在？
 If not, it is still acceptable, but the limitations should be
discussed。如果无法推广，其结论仍然有用，只是要充分考虑其
局限性。
36
Example of research design
Healy, Palepu, and Ruback (1992), “Does corporate
performance improve after mergers”, JFE
Research question:
Does performance improve after merger?
Why is this question interesting (motivation)?




M&A is often and important in US capital market
It is assumed that mergers bring in improvement
in performance
Empirical evidence: target firms’ stock price
increases upon announcement, and acquiring
firms stock price break even
No evidence of improvement in performance
37
Hypothesis
H0:post-merger performance  pre-merger
performance
38
Research design
2.1 Sample:


The largest 50 acquisitions between 1979 and
1984
Not random? Why is it okay?
2.2. Performance measure:

Operating cash flows (sales - COGS + depreciation
& amortization) divided by (market value of equity
+ book value of liabilities), call it CR (cash flow
return)

Why not net income/total assets?
39
2.3. Performance benchmark

(CRi - CRmed)post = a + b (CRi - CRmed)pre
CRmed industry/year median
 Control for: industry and year

premerger CR = acquirer CR + target CR

40
Empirical results
3.1. Adjustment of CR:


In postmerger years, merger premium is subtracted
from market value
Measurement period: year -5 to -1, and year 1 to 5.
3.1.2. Raw CR:

Table 2, col. 2: lower after merger
3.1.3. Industry-adjusted CR:

IACR, Table 2, cols. 3 and 4: higher after merger
41
42
Frameworks to think about accounting:
A. Accounting and capital markets
(Healy and Palepu, JAE 2001)
Accounting Info
Stock price
Investors
Information
Intermediaries
Financial
Intermediaries
• Institutional investors:
mutual/pension funds,
banks & Insurance cos
• Investment banks
• Venture capital firms
Capital
Regulation of capital markets
& financial institutions
Information
Listed
Companies
(insiders)
• Auditors
• Financial analysts
• Bond-rating agencies
• Financial press
Regulation of auditors,
analysts, & disclosure
(including GAAP)
43
B. How accounting info enhances performance
(Bushman and Smith 2001 JAE)
Enhance Economic Performance
Reduce cost of
external financing
Channel 1:
Management
accounting
Help identify
profitable projects
Positive accounting
theory & earnings
management
Channel 2: Governance
or stewardship
Make sure managers
undertake profitable
projects and distribute
profit to shareholders
Channel 3: Disclosure
& Valuation
Reduction in
information
asymmetries among
investors
Financial accounting information
slide 34
Stock price information
44
What have been studied by empirical
accounting research? (Beaver 1996, p. 116)
Y = stock price (P) or return (R)
”market-based research”
 Accounting data as “measurement” of P: study P, e.g.,
 “Value relevance research”: see if an accounting item
(e.g., MV of stock investment) is reflected in stock price

Accounting data as “information” (change beliefs): study R
 Ball and Brown (1968)
 Windows of R (annual, quarter, months, days, hours)
 Properties of R (mean, variance)
 Magnitude of corr(E, R): ERC
45
Y = accounting variables
Study accounting behavior in “strategic setting”
 positive accounting research: Y = accounting choice
or change
 earnings management: Y = “abnormal accruals”
 Both have standard setting and securities
analysis implications
 Voluntary disclosure: Y = disclosed items (can be
management earnings forecasts, specific items, or
survey)
 Earnings prediction
 Time-series analysis, earnings components to
predict earnings
46
Y = other variables, like






Analysts forecasts
Analysts’ recommendations
Compensation
Bankruptcy
Auditing variables (opinions, fees, changes,
committees, etc.)
Insider Trading
47
How to identify research questions?
如果建立研究课题
General principle 一般方法



确认 Y 和 Xs
连接到现有理论和框架 (e.g., slides 34 and 35)
基于文献，文献就像砌墙用的砖
How to identify Y and Xs 如何确定Y 和 Xs :


Current practical issues 当下热门的实务问题:
 Recent development in the factors in slide 34
 Different environments in different markets
Current literature 目前的文献
 Including published and unpublished (SSRN)
48
Skills needed to do empirical accounting
research 实证研究需要的技能
Understand the institutional background 了
解制度背景:
Understand major lines of accounting
research 掌握会计研究的主要领域
Computer programming skills/databases 计
算机技术/数据库
Knowledge of statistical/econometric
methods. 统计学/计量经济学知识
49
第五步：统计与计量分析
描述性分析（单变量分析）
回归分析
图表处理
实证会计研究常见问题
内生性问题（Endogenity）
*四大审计的公司，会计信息质量更好==〉四大的审计质量更高
*有打火机的家庭，更容出现肺癌患者==〉使用打火机导致肺癌
*解决方法：事件研究法、工具变量、研究设计改进等
替代解释问题（Alternative Explanations）
*大规模上市公司选择大规模会计师事务所的概率更高==〉为了显示自己是高质量
公司，大公司倾向于欢选择大所为其审计
*替代解释：大所因为业务忙不过来而不愿意审计小客户
*解决方法：事件研究、改进研究设计、进一步检验等
样本选择偏差（Selection Bias）
*东南亚金融危机前后，治理结构好的公司，股价下跌更少
*偏差：治理结构好的公司，更容易生存下来，从而更容易出现在样本中
*解决方法：改进研究设计、分析偏误方向等
遗漏变量问题（Omitting Variables)
*大所的审计收费更高，需要控制客户规模等
多重共线性（Multicollinearity）
*自变量之间的相关性过高：审计质量=a +b*审计任期+c*公司年龄+e
*解决方法：VIF诊断、二阶段回归、剔除变量等
自相关问题（Autocorrelation）、异方差问题（Heteroscadasticity）等
第六步：解释结果
写作八股文
– 引言（研究动机、过程、发现、贡献简介，写作阶
段中最最重要的部分，也是最体现功力的地方）
– 文献综述（可视情况综合于引言中）
– 研究假说
– 样本数据
– 检验模型
– 实证结果
– 结论启示
– 研究局限
Robust检验
实证研究几条心法
研究问题：无形胜有形，有形的现象容易察觉，但是可能没什么研究价
值
善于联想（connection): 越是没有关系的事物，你把他们联系起来，从
中总结出的普遍性道理的适用性越强
发展假说：360度思维，至少6个答案。一个问题，你最先想到的答案，
一般人都会想到，你想到也没什么意思
设计研究：有形胜无形。把无形的研究对象用具体的数字或者图形描述
出来，而不是抽象的语言
熟读经典。因问题制宜，重复阅读，当作一种信仰拜读
写作：避免模棱两可的词语，如“优化”；避免模棱两可的思维，如“
文化差异”；语言尽量优美，避免武断的词语，如多用“Might/may”,
“perhaps” etc.
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