دانلود مقاله ISI انگلیسی شماره 10221
عنوان فارسی مقاله

بهره وری بازار و تحقیقات حسابداری: بحث در مورد ' تحقیقات بازار سرمایه در حسابداری توسط شرکت کوثری

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
10221 2001 21 صفحه PDF سفارش دهید محاسبه نشده
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عنوان انگلیسی
Market efficiency and accounting research: a discussion of ‘capital market research in accounting’ by S.P. Kothari
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Accounting and Economics, Volume 31, Issues 1–3, September 2001, Pages 233–253

کلمات کلیدی
بهره وری بازار - امور مالی رفتاری - ارزیابی - تجزیه و تحلیل بنیادی - داوری - عقلانیت
پیش نمایش مقاله
پیش نمایش مقاله بهره وری بازار و تحقیقات حسابداری: بحث در مورد ' تحقیقات بازار سرمایه در حسابداری توسط شرکت کوثری

چکیده انگلیسی

Much of capital market research in accounting over the past 20 years has assumed that the price adjustment process to information is instantaneous and/or trivial. This assumption has had an enormous influence on the way we select research topics, design empirical tests, and interpret research findings. In this discussion, I argue that price discovery is a complex process, deserving of more attention. I highlight significant problems associated with a naı̈ve view of market efficiency, and advocate a more general model involving noise traders. Finally, I discuss the implications of recent evidence against market efficiency for future research.

مقدمه انگلیسی

In his excellent review paper on capital market research, S.P. Kothari surveys a vast collection of work that spans 30+ years. This lucid chronology will no doubt find its place among the more influential review studies in the literature. Like all useful survey papers, his article offers sufficient structure for young researchers to become acquainted with the main themes in this literature. At the same time, the paper provides seasoned researchers with a useful reference source on a broad spectrum of market related topics in accounting. I readily recommend it to anyone interested in capital market related research in accounting. In this article, I focus on what I regard as the watershed issue in the body of literature covered by Kothari (2001). Specifically, I offer some reflections on market efficiency and the role of accounting research in the price discovery process. Implicitly or explicitly, each capital market researcher must come to terms with this issue. The degree to which markets are efficient affects the demand for accounting research in investment decisions, regulatory standard-setting decisions, performance evaluation, and corporate disclosure decisions. One's belief about market efficiency also dictates one's research design. Perhaps more importantly, given the intended audience of this volume, one's view about market efficiency will have a profound effect on one's research agenda. In fact, I believe that what a researcher chooses to study in the capital market area is largely a function of her level of faith in the informational efficiency of these markets. On this subject, S.P. and I clearly have some differences of opinion. Reading his review, one senses that S.P. finds aspects of the evidence against market efficiency disturbing. In contrast, I find them liberating. He speaks earnestly about potential sampling errors and econometric concerns. He also raises legitimate concerns about the formative nature of behavioral theories. I share these concerns, and would encourage readers to think carefully about them. At the same time, I hope readers will regard them primarily as opportunities. In fact, these unresolved issues are the very reason I believe capital market research is an exciting place to be at the moment. As S.P. observes, the evidence against market efficiency is mounting. This evidence is changing both the research focus and the research design in the capital market area. The terms of engagement are being redefined, and future researchers need to consider the implications of this evidence as they chart a course of action. S.P. makes a number of good suggestions. My purpose is to augment his suggestions, and offer a somewhat different perspective on the market efficiency issue. In particular, I think the behavioral finance literature deserves a more spirited presentation. My thesis is that a naı̈ve view of market efficiency, in which price is assumed to equal fundamental value, is an inadequate conceptual starting point for future market-related research.1 In my mind, it is an over simplification that fails to capture the richness of market pricing dynamics and the process of price discovery. Prices do not adjust to fundamental value instantly by fiat. Price convergence toward fundamental value is better characterized as a process, which is accomplished through the interplay between noise traders and information arbitrageurs. This process requires time and effort, and is only achieved at substantial cost to society. Herein lies the opportunity. Given noisy prices and costly arbitrage, accounting research can add value by improving the cost-effectiveness of the arbitrage mechanism.2 Some of our research I believe will lead to superior techniques for identifying arbitrage opportunities. Other research, such as on fundamental analysis, valuation, or risk measurement, helps to narrow the plausibility bounds around fundamental value estimates of traded securities. Much of this research has a utilitarian focus. It is decision driven, interdisciplinary in nature, and prospective in focus. It assumes a user, rather than a preparer, orientation towards accounting information. Its end goal is to improve the allocation efficiency of markets through more cost-effective usage of accounting information in solving significant problems in financial economics. In the next section, I revisit the theoretical foundations of the efficient market hypothesis (EMH), and discuss some of the limitations this paradigm introduces. In Section 3, I discuss a simple behavioral model and argue for the existence and survival of noise traders. Finally, I discuss some specific implications of these developments for future research in accounting.In his excellent review paper on capital market research, S.P. Kothari surveys a vast collection of work that spans 30+ years. This lucid chronology will no doubt find its place among the more influential review studies in the literature. Like all useful survey papers, his article offers sufficient structure for young researchers to become acquainted with the main themes in this literature. At the same time, the paper provides seasoned researchers with a useful reference source on a broad spectrum of market related topics in accounting. I readily recommend it to anyone interested in capital market related research in accounting. In this article, I focus on what I regard as the watershed issue in the body of literature covered by Kothari (2001). Specifically, I offer some reflections on market efficiency and the role of accounting research in the price discovery process. Implicitly or explicitly, each capital market researcher must come to terms with this issue. The degree to which markets are efficient affects the demand for accounting research in investment decisions, regulatory standard-setting decisions, performance evaluation, and corporate disclosure decisions. One's belief about market efficiency also dictates one's research design. Perhaps more importantly, given the intended audience of this volume, one's view about market efficiency will have a profound effect on one's research agenda. In fact, I believe that what a researcher chooses to study in the capital market area is largely a function of her level of faith in the informational efficiency of these markets. On this subject, S.P. and I clearly have some differences of opinion. Reading his review, one senses that S.P. finds aspects of the evidence against market efficiency disturbing. In contrast, I find them liberating. He speaks earnestly about potential sampling errors and econometric concerns. He also raises legitimate concerns about the formative nature of behavioral theories. I share these concerns, and would encourage readers to think carefully about them. At the same time, I hope readers will regard them primarily as opportunities. In fact, these unresolved issues are the very reason I believe capital market research is an exciting place to be at the moment. As S.P. observes, the evidence against market efficiency is mounting. This evidence is changing both the research focus and the research design in the capital market area. The terms of engagement are being redefined, and future researchers need to consider the implications of this evidence as they chart a course of action. S.P. makes a number of good suggestions. My purpose is to augment his suggestions, and offer a somewhat different perspective on the market efficiency issue. In particular, I think the behavioral finance literature deserves a more spirited presentation. My thesis is that a naı̈ve view of market efficiency, in which price is assumed to equal fundamental value, is an inadequate conceptual starting point for future market-related research.1 In my mind, it is an over simplification that fails to capture the richness of market pricing dynamics and the process of price discovery. Prices do not adjust to fundamental value instantly by fiat. Price convergence toward fundamental value is better characterized as a process, which is accomplished through the interplay between noise traders and information arbitrageurs. This process requires time and effort, and is only achieved at substantial cost to society. Herein lies the opportunity. Given noisy prices and costly arbitrage, accounting research can add value by improving the cost-effectiveness of the arbitrage mechanism.2 Some of our research I believe will lead to superior techniques for identifying arbitrage opportunities. Other research, such as on fundamental analysis, valuation, or risk measurement, helps to narrow the plausibility bounds around fundamental value estimates of traded securities. Much of this research has a utilitarian focus. It is decision driven, interdisciplinary in nature, and prospective in focus. It assumes a user, rather than a preparer, orientation towards accounting information. Its end goal is to improve the allocation efficiency of markets through more cost-effective usage of accounting information in solving significant problems in financial economics. In the next section, I revisit the theoretical foundations of the efficient market hypothesis (EMH), and discuss some of the limitations this paradigm introduces. In Section 3, I discuss a simple behavioral model and argue for the existence and survival of noise traders. Finally, I discuss some specific implications of these developments for future research in accounting.

نتیجه گیری انگلیسی

Mainstream accounting and economic thought is shaped by classical information economics—the study of normative behavior under full rationality assumptions. While this powerful paradigm has proved instructive, it has also engendered an unfortunate tendency to attribute unlimited processing ability to decision makers. I regard this tendency as unfortunate, because it inhibits the development of potentially promising avenues of research. In the area of capital market research, this literature has produced a deep-seated faith in market efficiency that, for many years, detracted from potentially fruitful inquiries along alternative paths. As economists, we tend to take for granted the efficacy of the arbitrage mechanism, generally assuming that it involves no capital, and little cost or risk. Steeped in equilibrium analysis, mainstream economics offer virtually no guidance on the dynamic process of information aggregation. The market price is assumed to be correct, as if by fiat, and the process by which it becomes correct is trivialized. I believe accounting academics working in the capital market area should not assume away the process by which price assimilates information. As information economists, accountants have a comparative advantage in dealing with the information signals that engender price movements. To exploit this advantage, we should have a clear view of market efficiency and the dynamic nature of price discovery. We also need to come to grips with the role of stock prices in our research design. My comments have been directed toward these issues. I have argued that we need to unshackle ourselves from the notion that price is equal to value. That is, we should begin thinking about fundamental value and the current market price as two distinct measures. Penman's (1992) call to “return to fundamentals”, is issued in the same spirit. But perhaps it is time for us to go even further. Rather than remaining agnostic about the role of market prices, I advocate a more proactive approach. Rather than assuming market efficiency, we should study how, when, and why price becomes efficient (and why at other times it fails to do so). Rather than ignoring the current market price, we should seek to improve it.

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