会计信息，披露和预期效用：投资者真的讨厌不确定性吗？,Journal of Business Finance & Accounting

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会计信息，披露和预期效用：投资者真的讨厌不确定性吗？
Journal of Business Finance & Accounting ( IF 2.2 ) Pub Date : 2020-12-22 , DOI: 10.1111/jbfa.12518
D. J. Johnstone _{1,

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Affiliation

据说投资者“讨厌不确定性”，但如果没有不确定性，他们只能赚取无风险利率。分析性会计文献的基本结果表明，在市场收益变化较大时，购买CARA正常的CAPM市场的投资者支付的资产价格较低，获得了较高的事前预期收益，并获得了较高的预期效用。在对数/电力公用事业CAPM下，新投资者从风险中获得了类似的“福利”收益。这些结果并不意味着投资者“讨厌信息”。为了实现投资者的事前期望，代表市场期望的主观概率分布必须准确。更高的回报风险可以增加投资者的预期效用，但事后收益更高（已实现）实用程序来自更好的信息和更准确的事前期望。会计的一个重要含义是，更多的披露会同时产生以下影响：（i）更充分地或可感知地暴露公司的收益不确定性，从而增加新投资者的预期效用，以及（ii）改善公司收益参数的市场估计（均值，方差，协方差），从而使投资者有更大的机会实现自己的期望。矛盾的是，更好的信息可以通过更全面，更准确地暴露公司业务运营和业绩中的风险，对新投资者有价值。新投资者将预期效用最大化的同时需要更多的风险和更好的信息。

"点击查看英文标题和摘要"

Accounting information, disclosure, and expected utility: Do investors really abhor uncertainty?

Investors are said to “abhor uncertainty,” but if there were no uncertainty they could earn only the risk‐free rate. A fundamental result in the analytical accounting literature shows that investors buying into a CARA‐normal CAPM market pay lower asset prices, gain higher ex‐ante expected returns, and obtain higher expected utility, when the market payoff has higher variance. New investors obtain similar “welfare” gains from risk under a log/power utility CAPM. These results do not imply that investors “abhor information.” To realize investors' ex‐ante expectations, the subjective probability distributions representing market expectations must be accurate. Greater payoff risk can add to investors' expected utility, but higher ex‐post(realized) utility comes from better information and more accurate ex‐ante expectations. An important implication for accounting is that greater disclosure can have the simultaneous effects of (i) exposing more fully or perceptibly firms' payoff uncertainty, thereby increasing new investors' expected utility, and (ii) improving market estimates of firms' payoff parameters (means, variances, covariances), thereby giving investors a better chance of realizing their expectations. Paradoxically, better information can be valuable to new investors by exposing more fully and more accurately the risk in firms' business operations and results–new investors maximizing expected utility want both more risk and better information.

更新日期：2021-02-10

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