1999
2000 1
2000 1 ( ) ( ) ( )
.
< > 1 1 1 1. 1 2. 2 2 4 6 1 6 1. 6 2. 8 3. 10 2 Ohlson Feltham & Ohlosn 12 1. Ohlson 13 2. Feltham & Ohlson (1995) 15 3 18 1. 18 2. Dechow (1999) 20 3. Myer s (1999) 26 30 1 30 1. Ohlson (1995) 30 2. Ohlson (1995) 32 3. Feltham & Ohlson (1995) 33 4. Feltham & Ohlson (1996) 36 - v -
2 40 1. 40 2. 42 3 44 1. Ohlson (1995) 44 2. Feltham & Ohlson (1995) 45 3. Feltham & Ohlson (1996) 46 48 1 48 1. (overall firm - year ) 48 2. 50 3. Feltham & Ohlson (1995) 51 4. Feltham & Ohlson (1996) 52 5. 53 2 57 1. 58 2. 63 70 1 70 2 71 - v i -
< > < 3.1> 41 < 4.1> ( 22 ) 51 < 4.2> 56 < 4.3> 58 < 4.4> 59 < 4.5> 3 ( bv ) ( ci ) 62 < > [ 4.1] 49 [ 4.2] 49 [ 4.3] 50 [ 4.4] 2 52 [ 4.5] 3 53 [ 4.6] 54 [ 4.7] 57 [ 4.8] 60 [ 4.9] 2 3 ( ) 61 [ 4.10] 3 63 [ 4.11] 65 [ 4.12] 1- Ohlson (1995) 66 [ 4.13] 1-1, Ohlson (1995) 66 [ 4.14] 2- Feltham & Ohlson (1995) 67 [ 4.15] 3- Feltham & Ohlson (1996) 68 - v ii -
A B S T RA CT T he Study on Firm V alu ation Model in Dom estic Capit al Market Seo, Jung Min Major in Management Science Departm ent of Busines s Administr ation Gr aduate School of Sogang Univ er sity T his study is based on the study on the firm ' s intrin sic v alue model of Ohlson and F eltham & Ohlson ' s frame w hich pr ovides a general accounting - based v aluation for investment decision making in domestic capitial market. Actually, firm v aluation pr oblem needs to estim ate expected future abnorm al earning, so w e intends to v erify the linkage of accounting number to future market expectation thr ough the linear information m odel composed of abnormal earning and other factor s that affect abnormal earning. Con sidering confounding effect of unu sual Korea economic crisis, experim ental sample is selected fr om the period 1980 to 1996 and composed of m anufacturing indu stry. Abov e all, m odel perform s v aluation w ith book - v iii -
v alue and m arket expect ation of abnorm al earning so it needs this accounting information. T o get this inform ation, experiment al v aluables, w hat is called, book value, incom e item s and discount r ate is extracted. Book v alue is able to gain fr om basic sample and ordinary income is selected to income item and median v alue of historical r eturn on equity substitutes discount r ate. T his study establishes three type linear information model largely. Frist of all, each model' s parameter estimates and fitness ar e compared with America case based on basic sample. On the other hand, experiment follow s industrial analy sis, w hich ex amines this m odel giv es how implementation in each indu stry. Comparing with America case, all three model suggest that domestic capital market tends to be dominant in factor of inertia of economic rent, in other w ords, per sistence of abnormal earning. Similar proportion of America firm s hav e negativ e con serv atism effect. But the degree of con serv atism effect is more negativ e than America and the variance of con serv atism param eter estim ates ar e larger and m or e in stable. Par amet er estimat es which ar e estimated in case of dividing con serv atism effect into book effect and earning effect tends to be similar with America case. Generally, Ex amining ov erall model fitness suggest s that the par simoniou s m odel, Ohlson (1995) model offer s the most nice approximate value t o market stock price. Consideration on industrial analysis also show s par simonious model' s ex cellence. On the contr ary, the other models hav e patterns that it under estimate firm ' s value at ov er all indu stry in pr oportion to incr easing - ix -
m odel' s complexity. T his result s fr om the ov er stating propen sity and negative con serv atism effect of dom estic firm s. In addition t o above resear ch, the investigation of analytic ex amination on the linkage of linear information model' s parameter into market expect ation of abnormal earning is done to the par simoniou s, tw o dimen sion Ohlson (1995) model. T he r esult suggest s that the distribution of par ameter estimates satisfy the constraint that linear information model is changeable to the v alue estimates. Ev en though the above r esult s ar e deduced, this study still has pr oblem s in sampling and the proces s of selecting v ariables. E specially, the inv estigation of analytic ex amination on the linkage of linear information model' s parameter into market expectation of abnormal earning is restricted t o tw o dimension case. After all the empirical study on other fact or s w hich effect the r esult s is dem anded to dev elop the perform ance of the pr edictiv e pow er. At the same time generalization of model is requir ed to keep a realistic validity. - x -
Ohlson Feltham & Ohlson.,. 1980 1996. Ohlson Feltham & Ohlson,.. 3,.., 3. - x i -
,.. Ohlson (1995). Ohlson (1995).. 2 Ohlson (1995).., 2.. - x ii -
1 1...,.,., Ohlson (1995) Feltham & Ohlson (1995)., - 13 -
. 2... (ideal).. Ohlson (1995) Feltham & Ohlson (1995) (clean surplus relation ),. (Dynamic Linear Information Model) 1). Ohlson (1995) Feltham & Ohlson (1995) 1) James A. Ohlson, "Earning, Book Values, and Dividends in Equity Valuation," Contemp orary A ccounting R es earch, Vol. 11, No. 2, 1995, p. 667. - 14 -
, Ohlson (1995) Feltham & Ohlson (1995)., Ohlson (1995) Feltham & Ohlson (1995) Ohlson (1995) Feltham & Ohlson (1995). Ohlson (1995) Feltham & Ohlson (1995)..., Ohlson Feltham & Ohlson., Ohlson (1995) Feltham & Ohlson (1995), - 15 -
.,.,.. 2. 1,. 2,,. Ohlson (1995) Feltham & Ohlson (1995),. Dechow et al.(1999) Myers (1999). 3 Ohlson (1995) Feltham & Ohlson (1995), - 16 -
2). 4 Myers (1999). 5. 2) Myers(1999). - 17 -
1,,....,..,..,... Ohlson Feltham & Ohlson. 1. - 18 -
.,..,,.. V t = = 1 E t [ d t + t] ( 1 + r) (1.1) V t : t d t : t t : t r : (1.1) V t t, E t [ d t + t] t t t +, r t t. (flat ) 3). 3) R. Frankel, and C. M. C. Lee, "Accounting valuation, market expectation, and cross- sectional stock returns, J ournal of A ccounting and E conom ics, 25, 1998, p. 286. - 19 -
., Modigliani- Miller (1968).,,.,.,.. 2.. 4). (real) (artifact ),. (undo).,, 4),,, - EVA, 1997, p. 132. - 20 -
(cash conservation equation ) (free cashflow ) 5)..... V t = = 1 E t [ ( cr - I ) t + t ] ( 1 + r) (1.2) V t : t cr : I : r : t : t (1.2) cr - I.., 5) J. A. Ou, and S. H. Penman, "Financial Statement Analysis and the Evaluation of Market- to Book Ratios, Working Paper, 1993, p. 6. - 21 -
.. 3... (price- earning ratio : PER) (price- book value ratio : PBR)..,,. (PER), P E R = P t x t (1.3), x t :, - 22 -
P t = P ER x t (1.4)., t. PER. PER=1.,, (value- sufficient ) 6) x t. P t = x t 1 + r + x t ( 1 + r) 2 + (1.5), P t : t x t : r :, P t = 1 + r r x t (1.6). (1.4) (1.6) PER, r 6). - 23 -
.., (PBR)., P t = bv t, bv t : t.,... 2 Ohlson Feltham & Ohlson. 2 Ohls on F e lth am & Ohlo s n Ohlson Feltham & Ohlson - 24 -
. Ohlson Feltham & Ohlson, 7 )., V t = = 1 E t [ d t + t] ( 1 + r) (2.1) V t : t r : t : t d t : t. V t t, E t [ d t + t] t t t +, r t t. (flat ). 1. Ohls on Ohlson (1995) 8),, 7) (clean surplus relation)". 8) James A. Ohlson, "Earning, Book Values, and Dividends in Equity Valuation, Contemp orary A ccounting R es earch, Vol. 11, No. 2, 1995. - 25 -
. Ohlson (1995) 3.,. (2.1)., (clean surplus accounting relation). bv t = bv t - 1 + x t - d t (2.2) bv t : t x t : ( t - 1, t), t. (2.2) (2.1) d t +. V t = = 1 E t [ b t + - 1 + x t + - bv t + ] ( 1 + r) (2.3) (2.3), V t = bv t + = 1 E t [ x t + - r bv t + - 1 ] ( 1 + r) - E t [ bv t + ] ( 1 + r) (2.4). - 26 -
E t [ bv t + ] ( 1 + r) = 0, R I, R I t = x t - r b t - 1, (2.4), V t = bv t + = 1 E t [ R I t + ] ( 1 + r) (2.5) R I t : ( t - 1, t ). E t [ R I t + ]. (2.5) bv R I V t. Ohlson (1995) t (time- series behavior of abnormal earnings) 9 ). 3. 2. F eltham & Ohls on (1995 ) Ohlson (1995), 9) James A. Ohlson, "Earning, Book Values, and Dividends in Equity Valuation, Contemp orary A ccounting R es earch, Vol. 11, No. 2, 1995. p. 667. - 27 -
,. Feltham & Ohlson (1995) 10) 11). Feltham & Ohlson (1995) 12). Feltham & Ohlson (1995). Feltham & Ohlson (1995),. (2.6). x t = i t + ox t (2.6) bv t = f a t + oa t x t : ( t - 1, t) ox t : ( t - 1, t ) 10) G. F eltham, and J. Ohlson, "Valuation and clean surplus accounting for operating and financial activities, Contemp orary A ccounting R esearch, 11, 1995. 11) (conservative accounting) (unbiased accounting),,, 1998, p. 22. G. Feltham, and J. Ohlson, "Valuation and clean surplus accounting for operating and financial activities," Contemp orary A ccounting R es earch, 11, 1995, p. 700.. 12) Ohlson(1995) 0. - 28 -
i t : ( t - 1, t ) f a t : t oa t : t,,. ox a t = ox t - r oa t - 1 i t = r f a t - 1 (2.7) ox a t : ( t - 1, t ) i t : ( t - 1, t) f a t : t r : (2.5) Ohlson (1995), V t = bv t + = 1 E t [ x t + - r bv t + - 1 ] ( 1 + r ) (2.8) (2.6), V t = bv t + = 1 E t [ i t + + ox t + - r (f a t + - 1 + oa t + - 1 ) ] ( 1 + r ) (2.9) - 29 -
. (2.7) (2.9), V t = bv t + = 1 E t [ ox a t + ] ( 1 + r ) (2.10). Feltham & Ohlson (1995) ( R I ) ( ox a ), (2.5) (2.10). (2.5) (2.10) (future accounting numbers ) 13), Feltham & Ohlson (1995) (linear information model : LIM ) 14). 3. 3 1. 15) 1 13) G. F eltham, and J. Ohlson, "Valuation and clean surplus accounting for operating and financial activities", Contemp orary A ccounting R esearch, 11, 1995, p. p701. 14) G. F eltham, and J. Ohlson, "Valuation and clean surplus accounting for operating and financial activities," Contemp orary A ccounting R esearch, 11, 1995, p. 701. 15) LIM (Linear Information Model). - 30 -
, t..,.. R I t + 1 = 10 + 11R I t + 12z 2 t + + 1nz n t + 1t + 1 z it : t R I 1t + 1 : 0 1i : z it ( t, t + 1) R I z it z it, z 2 t + 1 = 20 + 21R I t + 22z 2 t + + 2nz n t + 2 t + 1 z 3 t + 1 = 30 + 31R I t + 32z 2 t + + 3nz n t + 3 t + 1 z n t + 1 = n0 + n 1R I t + n2z 2 t + + n nz n t + n t + 1.. E ( t + t ) = t (2.11) - 31 -
t : t ( R I t z it ) t : t : ij (transition matrix ),. t t. V t = bv t + 0 + 1 R I t + 2 z 2 t + + n z n t (2.12) (2.12) t t. (2.12) (2.12) 0, 1,, n.. Ohlson 16). 2. D echow (1999 ) Dechow et al.(1999) 17) Feltham & Ohlson 16) J. Ohlson, "Earnings, book values, and dividend in equity valuation", Contemp orary A ccounting R es earch, Vol. 11, No. 2, 1995, p. 665. 17) P. M. Dechow, A. P. Hutton, R. G. Sloan, "An empirical assessment of the residual income valuation model," Journal of A ccountind and E conom ics, 26, 1999, pp. 1-34. - 32 -
18). Feltham & Ohlson Feltham & Ohlson. Dechow et al.(1999) Ohlson (1995) Ohlson (1995). Ohlson (1995). R I t + 1 = 11R I t + t + 1t + 1 t + 1 = t + 2 t + 1 (2.13) R I t : ( t - 1, t ) t : R I t + 1 19) 1t + 1 N (0, 2 ), R I (2.13) t R I t + 1 Dechow (analyst ). Dechow (2.13). (case 1) 11 = 0,. 18) Dechow (analyst) (capitalization) Penman & Sougiannis (1996), Francis et al.(1997), Frankel & Lee(1998). 19) Amir & Lev (1995). - 33 -
(2.13). R I t + 1 = 1t + 1 E [ 1t + 1 ] = 0, 0. (case 2) 11 = 1,. (2.13). R I t + 1 = R I t + 1t + 1 (random walk process)... (case 3) 11,. (2.13). R I t + 1 = 11R I t + 1t + 1 1 (1st order - 34 -
autoregressive process ). 11 0 1 11.,.. (case 4) 11 = 0, = 0. (2.13). R I t + 1 = t + 1t + 1 t = 2 t + 1,. 2 E [ t] = 0 E [ R I t + 1 ] (analyst ) t. (case 5) 11 = 1, = 0. (2.13). R I t + 1 = R I t + t + 1t + 1 t = 2 t + 1-35 -
.. (analy st ). Frankel & Lee(1998) (terminal value). V P V/ P ratio., 11 = 1 (clesed form ) 20 ). (case 6) 11, = 0. (2.13). R I t + 1 = 11R I t + t + 1t + 1 t + 1 = 2 t + 1 11 0 1 11. (case 3) (analyst ).,. 20) (2.11). - 36 -
(case 7) 11,. (2.13). R I t + 1 = 11R I t + t + 1t + 1 t + 1 = t + 2 t + 1 Ohlson (1995). 11 0 1,,, (clesed form ). Dechow., (analyst ) (case5). Dechow (analyst )., 1 (1st order autoregressive process : AR(1))., n (lagged RI). - 37 -
.. Dechow 21). 3. My ers (1999 )..,. (closed form ). (2.11). Myers (1999) 22) 21) James N. Myer s, "Implementing Residual Income Valuation With Linear Information Dynamics," The A ccounting R eview, Vol. 74, No. 1, 1999, p. 4. - 38 -
23)...,. Myer s. Myers Ohlson (1995), Feltham & Ohlson (1995), Feltham & Ohlson (1996). Myers Ohlson Feltham & Ohlson,., Dechow (1998) Ohlson (1995) 1 22) R. Frankel, and C. M. C. Lee, "Accounting valuation, market expectation, and cross- sectional stock returns," Journal of A ccounting and E conom ics, 25, 1998. 23) P. M. Dechow, A. P. Hutton, R. G. Sloan, "An empirical assessment of the residual income valuation model," Journal of A ccountind and E conom ics, 26, 1999. - 39 -
.. Myers.,..,.,. Myers (nonstationary ) (bias)..,.,. Myer s (1999).,. - 40 -
. - 41 -
1 1. Ohls on (1995 ) Ohlson. E t [ R I t + 1 ] = 11R I t + t E t [ t + 1 ] = t (3.1) R I t : ( t - 1, t ) t : R I t + 1, 11 (inertia ), t R I t + 1., R I t + 1 = 11R I t + t + 1t + 1 t + 1 = t + 2 t + 1 (3.2) 24) 24) Ohlson(1995) (3.2) 2 3 (2.11). (3.2). - 42 -
, t 0 < < 1 (3.2) 2. 2 1 25). R I t + 1 = 10 + 11R I t + t + 1 (3.3), V 1 = bv t + 0 + 1 R I t (3.4). (3.4) (3.3) 26 ). (3.5) (3.3). R I [ t + 1 t + 1 ] = [ 11 1 0 ] R I [ t t ] + [ ] 1t + 1 2 t + 1 [ 11 1 0 ] (2.11). Ohlson. < 1>. 25) James N. Myer s, "Implementing Residual Income Valuation With Linear Information Dynamics," The A ccounting R eview, Vol. 74, No. 1, 1999, p. 8. 26) 11 0 1. - 43 -
0 = 1 + r r 1 = 11 1 + r - 11 10 ( 1-11) (3.5). < 1> R I t + 1 = 10 + 11R I t + t + 1, 0 = 1 + r r 1 = 11 1 + r - 11 10 ( 1-11) 2. Ohls on (1995 ) Ohlson (1995) (3.2). (3.2) 2 (3.3). 1. R I t + 1 = 10 ( t) + 11R I t + 1t + 1 10 ( t + 1) = 10 ( t) + 2 t + 1 (3.6), - 44 -
V 1 ' = bv t + 0 + 1 R I t (3.7) (3.4). 27). 0 = 1 + r r 1 = 11 1 + r - 11 10 ( t) ( 1 + r - 11) (3.8). < 1-1> R I t + 1 = 10 ( t) + 11R I t + 1t + 1 10 ( t + 1) = 10 ( t) + 2 t + 1, 0 = 1 + r r 1 = 11 1 + r - 11 10( t ) ( 1 + r - 11) 3. F eltham & Ohls on (1995 ) Feltham & Ohlson (1995) 27) Ohlson(1995), (3.6) Ohlson (3.6). < 2>. - 45 -
. ox a t + 1 = 11 ox a t + 12oa t + 1t + 1t + 1 oa t + 1 = 22oa t + 2 t + 2 t + 1 1t + 1 = 1 1t + 3 t + 1 (3.9) 2 t + 1 = 2 2 t + 4 t + 1 ox a t : ( t - 1, t ) oa t : t 1t, 2 t : 11 (inertia), 12. 22. 1t 2 t 0 < 1 <1 0 < 2 < 1 (3.9) 3 4, 1 2., ox a t + 1 = 10 + 11 ox a t + 12oa t + 1t + 1 oa t + 1 = 20 + 22oa t + 2 t + 1 (3.10). (3.10) 2 22-46 -
20 28). Feltham & Ohlson (1995) ox a = R I, ( bv ).. R I t + 1 = 10 + 11R I t + 12bv t + 1t + 1 bv t + 1 = 22bv t + 2 t + 1 (3.11), V 2 = o + 1 R I t + ( 1 + 2 ) bv t (3.12)., 0 = 1 = 2 = 10 [ ( 1 + r) - 11]r 11 [ ( 1 + r) - 11] 12 ( 1 + r) [ ( 1 + r ) - 11][ ( 1 + r ) - 22] (3.13). 28) 2 20 oa t + 1 = 22oa t + 2 t + 1 oa.. - 47 -
. < 2> R I t + 1 = 10 + 11R I t + 12bv t + 1t + 1 bv t + 1 = 22bv t + 2 t + 1, 0 = 1 = 2 = 10 [ ( 1 + r) - 11]r 11 [ ( 1 + r) - 11] 12 ( 1 + r) [ ( 1 + r ) - 11][ ( 1 + r ) - 22] 4. F eltham & Ohls on (1996 ) Feltham & Ohlson (1996) 29 ), 30).,.,,. 29). 30) G. F eltham, and J. Ohlson., "Uncertainty resoulation and the theory of depreciation measurement," J ournal of A ccounting R es earch, Vol. 34, No. 2, 1996. - 48 -
31).., 32). ci t ( t - 1, t ),,. ( t + 1 ) ( - ) ci t,.. 33 ), ox a t + 1 = 10 + 11 ox a t + 12oa t + 13 ci t + 1t + 1 oa t + 1 = 20 + 22oa t + 23 ci t + 2 t + 1 (3.14) ci t + 1 = 30 + 33 ci t + 3 t + 1 ox a t : ( t - 1, t ) oa t : t ci t : t 31)...,,.,,, 4, 1999, p. 394. 32) James N. Myer s, "Implementing Residual Income Valuation With Linear Information Dynamics," The A ccounting R eview, Vol. 74, No. 1, 1999, p. 9 33) ( t + 1 ) (3.14). - 49 -
. 13. 12. (3.14) 3 33 3., oa t + 1 = oa t + ci t + 1 - dep t + 1 (3.15) dep t : ( t - 1, t), dep t + 1 = ( 1 - ) oa t (3.15), oa t + 1 = oa t + ci t + 1 (3.16)., (3.16) (3.14) 2 20 = 0, 23 = 1, (3.14). ox a t + 1 = 10 + 11 ox a t + 12oa t + 13 ci t + 1t + 1 oa t + 1 = 22oa t + 1 ci t + 1 + 2 t + 1 (3.17) ci t + 1 = 33 ci t + 3 t + 1 22. Feltham & Ohlson (1995) ox a = R I - 50 -
bv. 34). R I t + 1 = 10 + 11 R I t + 12bv t + 13 ci t + 1t + 1 bv t + 1 = 22bv t + 1 ci t + 1 + 2 t + 1 (3.18) ci t + 1 = 33ci t + 3 t + 1, V 3 = 0 + 1 R I t + ( 1 + 2 ) bv t + 3 ci t (3.19), 0 = 10 [ ( 1 + r) - 11] 1 = 2 = 3 = 11 [ ( 1 + r) - 11] ( 1 + r) 12 [ ( 1 + r) - 11][ ( 1 + r) - 22 ] ( 1 + r)[ 12 + ( 1 + r) 13-13 22 ] [ ( 1 + r) - 11][ ( 1 + r) - 22 ][ ( 1 + r) - 33 ] (3.20).. 34), (3.18) ci 2. - 51 -
< 3> R I t + 1 = 10 + 11 R I t + 12bv t + 13 ci t + 1t + 1 bv t + 1 = 22bv t + 1 ci t + 1 + 2 t + 1 ci t + 1 = 33ci t + 3 t + 1 0 = 10 [ ( 1 + r) - 11], 1 = 2 = 3 = 11 [ ( 1 + r) - 11] ( 1 + r) 12 [ ( 1 + r) - 11][ ( 1 + r) - 22 ] ( 1 + r)[ 12 + ( 1 + r) 13-13 22 ] [ ( 1 + r) - 11][ ( 1 + r) - 22 ][ ( 1 + r) - 33 ] 2 1. 1999. 1981 1998 1997 1998. 1996. 1996 1996-52 -
.. 10%.. (bias) 10. 10. 10 < 3.1>. < 3.1> - 1 20 305 2,, 24 368 3 41 622 4, 12 182 5 1 12 179 6 20 282 7,, 18 231 8 13 175 9 16 236 10 15 217 191 2,797 < 3.1>.. < 3.1> 10,, - 53 -
,,,,. 191. - (firm - year s) 2,797. 2. (confounding ).. (intrinic value) V. P.,. (efficient )" 35),. 6 12.,, 35),,, 2, 1996, pp. 567-568. - 54 -
P = P 12 + P 6 2 P 12 P 6 P : 12 : 6 :..,,,. (other item s)..,. 3. 4 2,., bv t + 1 = 22 bv t + 1 ci t + 1 + 2 t + 1., bv ci. - 55 -
ci.. (ROE ) 36)., 10 - (median ). 3 1... (outlier ) (median ). ( ). 1. Ohls on (1995 ) 36) P. M. Dechow, A. P. Hutton, R. G. Sloan, "An empirical assessment of the residual income valuation model," Journal of A ccountind and E conom ics, 26, 1999, p. 7. - 56 -
R I t + 1 = 10 + 11R I t + t + 1 (3.3) V 1 = bv t + 0 + 1 R I t (3.4) 1 11 0 < 11 <1. H 0 : 0 < 11 <1 < 1> < 1> (3.4) (3.3) (closed form ). 2. F eltham & Ohls on (1995 ) R I t + 1 = 10 + 11R I t + 12bv t + 1t + 1 bv t + 1 = 22bv t + 2 t + 1 (3.11) V 2 = o + 1 R I t + ( 1 + 2 ) bv t (3.12) (3.11) 12. 0 < 12 <1. H 0 : 0 < 11 <1, 0 < 12 <1 < 2> - 57 -
3. F eltham & Ohls on (1996 ) R I t + 1 = 10 + 11 R I t + 12bv t + 13 ci t + 1t + 1 bv t + 1 = 22bv t + 1 ci t + 1 + 2 t + 1 (3.18) ci t + 1 = 33ci t + 3 t + 1 V 3 = 0 + 1 R I t + ( 1 + 2 ) bv t + 3 ci t (3.19) ( ) ( ), (3.18) 1 13. < 3>. H 0 : 0 < 11 <1, 0 < 12 <1, 13 <0 < 3>,.. H 0 : V 1 P = V 2 P = V 3 P = 1 < 4> H 0 : Corr ( V, P ) > 0 < 5> V i : i - 58 -
bv, ci (trend). (stationary state) - 37). (bias)., 2 2 3 3 3 22 4 33. 22 = Median [ bv t + 1 bv t ], 33 = Median [ ci t + 1 ci t ], 3 2 ci t + 1 3 ci t + 1. (3.18) 22. ( bv t - ci t ) = 22 bv t - 1 + 2 t + 1, 2 3 1 (non - stationary ) OLS. 2 1 OLS. 37) SAS/ ET S User ' s Guide Version 6, Second Edition, pp. 115-116. - 59 -
1 38) 1. (ov erall firm - y e ar) 191 2,797. 2,797 - (firm - year s data) (ROE ). - 39) 10.78% 40). 0-1 0. 10.7% 11.78% 41)., 38) James N. Myers, "Implementing Residual Income Valuation With Linear Information Dynamics," The A ccounting R eview, Vol. 74, No. 1, 1999.. 39) (median ). 40) - " -. 2 -. 41) Myers 11.78% Fama & French(1997) (median).. - 60 -
[ 4.1]. [ 4.1] [ 4.2] 2. [ 4.2] - 61 -
20% 2.. 2. [ 4.3] 11. 3,. 0 1 < 1>. 2. [ 4.3] ( 11 ) - 62 -
3. F eltham & Ohls on (1995 ) 2 Feltham & Ohlson (1995), 11 12 42). < 4.1> ( 22 ) 1.021 1. < 4.1> ( 22 ) 20% 40% 50% 60% 80% 0.914 1.032 1.062 1.093 1.173 0.996 1.013 1.021 1.031 1.065 [ 4.4] 60%, 43). < 2>. 42) 10, 10 1 2, 3. 43) (1998). Feltham & Ohlson (1995) (conservative accounting) aggressive accounting". - 63 -
[ 4.4] 2 4. F eltham & Ohls on (1996 ) Feltham & Ohlson (1996). ( 11 ), ( 12 ), ( 13 ). ( 11 ) [ 4.3]. ( 12 ) [ 4.5] 60% [ 4.4] 2. 2 12 [ 4.4] 3 12 [ 4.5], 3 2. - 64 -
2 12 3 12 12 3 12. [ 4.5] 3 [ 4.5] ( 22 ) 44) 45).. 5. 1 44) 3 1 (3.16). 45) 1-22. - 65 -
., 3 3 < 4> < 5>. Myers (1999) 1996. [ 4.6] 1996 Myers. [ 4.6] 1 2 3. 2., 2, 2 46). (par simonious) 1 46) 10% 3, - 66 -
. 3 3 3. < 5>.,, 47 )., (analytic).., - - 0. ( ) -, -., - (variation ) 2. 47) 2 2 (2.11). - 67 -
0. 5%, 90% < 4.2>. -. 1981 1996. < 4.2> 1( V 1 ) 2( V 2 ) 3( V 3 ) ( bv ) 0.8112 0.4700 0.6140 0.8000 p - value 0.001 0.001 0.001 0.001 < 4.2> 3 3 < 5>.. -. 191 [ 4.7]. [ 4.7] 191. - 68 -
[ 4.7] [ 4.7]. 3-10%. 2 10. - 69 -
. < 4.3>. < 4.3> - 1 20 305 10.258% 2,, 24 368 8.187% 3 41 622 13.897% 4, 12 182 13.163% 5 1 12 179 15.111% 6 20 282 8.848% 7,, 18 231 10.448% 8 13 175 6.647% 9 16 236 6.863% 10 15 217 9.420% 191 2,797 1. 2 2 (2.11) 3 ( ) (element ). - 70 -
. (closed form ). < 4.4>. 1-1 1 1-1. < 4.4> V 1 1 = bv t + 0 + 1 R I t V 1 ' 1-1 = bv t + 0 + 1 R I t V 2 2 = o + 1 R I t + ( 1 + 2 ) bv t 0 = 1 + r r 1 = 0 = 1 + r r 1 = 0 = 1 = 2 = 11 1 + r - 11 11 1 + r - 11 10 ( 1-11) 10 ( t ) ( 1 + r - 11) 10 [ ( 1 + r) - 11]r 11 [ ( 1 + r) - 11] 12 ( 1 + r) [ ( 1 + r) - 11][ ( 1 + r) - 22 ] V 3 3 = 0 + 1 R I t + ( 1 + 2 ) bv t + 3 ci t 0 = 1 = 2 = 3 = 10 [ ( 1 + r) - 11] 11 [ ( 1 + r) - 11] ( 1 + r) 12 [ ( 1 + r) - 11][ ( 1 + r) - 22 ] ( 1 + r)[ 12 + ( 1 + r) 13-13 22 ] [ ( 1 + r) - 11][ ( 1 + r) - 22 ][ ( 1 + r) - 33 ] - 71 -
( 11 ) [ 4.8]. 3, 2( ) 4( ).. 7( ) 5( 1 ). 11 1.,., [ 4.8] 11 0 1 (analytic). [ 4.8] 11 (median ). [ 4.8] ( 11 ) - 72 -
[ 4.9] 2 3 bv. 2 3, 2, 3. [ 4.9] 11 13 (median ). [ 4.9] 2 3 ( ) [ 4.9] 2( ), 6( ), 8( ), 9( ). 2 8 3 2 3. < 4.5> 3-73 -
. < 4.5> 3 bv ci 1 2 3 4 5 6 7 8 9 10 0.5868 0.8621 0.6360 0.4964 0.5643 0.4957 0.7461 0.6572 0.4185 0.1159 p - value 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.001 3. 2 2 ([ 4.9]), 3 ([ 4.9]) ([ 4.10]). 2 3. ( ) 3. 6( ) 2 3. 9( ) 2 3. [ 4.11] 9. - 74 -
[ 4.10] 3 2. V/ P 1. 3 1 [ 4.6] [ 4.6] V/ P Myer s 1, 2, 3 1996. (confounding ). 1996 -. 1981 1996., (outlier ) V/ P 5% - 75 -
. - 2,797 2,491. 1-1 4. Ohlson Feltham & Ohlson,... [ 4.11] ( bv P ). 25% 75%. (median ). 1, 2, 3, 4, 5, 9 6, 7, 8... - 76 -
[ 4.11] [ 4.12] 1. 1, 2, 3, 4, 5 1 48). 1., 8 1. 9 10 1., 2 3 1. 48) (1994). - 77 -
[ 4.12] 1- Ohlson (1995) 3 1 (3.6) Ohlson (1995) [ 4.13]. [ 4.13] 1-1, Ohlson (1995) - 78 -
[ 4.12] 1 0.83.. [ 4.14] 2. [ 4.14] 2- F eltham & Ohlson (1995) 2 8 9. 1 2 ( 12 ) 49). [ 4.9] 49) [ 4.9] 2. - 79 -
4 5. 8 9 8. 2. [ 4.15] 3. [ 4.15] 3- F eltham & Ohlson (1996) 3., 2 4 3. [ 4.10] [ 4.9]. 8 1 2-80 -
3. [ 4.9] 2 1 2. 3 [ 4.9] [ 4.10].., 3 2. 3 1 3... [ 4.11] [ 4.12]. 5( 1 ) 1. - 81 -
1 Ohlson (1995) Feltham & Ohlson (1995),. Ohlson (1995) Feltham & Ohlson (1995).., Ohlson (1995). Feltham & Ohlson (1995, 1996)., Ohlson (1995). 2 Feltham & Ohlson (1995, 1996). Feltham & Ohlson (1996) - 82 -
Ohlson (1995)., (closed form )., Ohlson Feltham & Ohlson.,., Feltham & Ohlson (1995, 1996). Ohlson (1995),,,,,,.. 2., Myers (1999). - 83 -
,. (bubble) 2 3., (Markov Chain ). (nonstationarity ) (bias ) OLS.,.,,.. 2 Ohlson (1995) < 2>..,. Myers (1995) (stochastic process) Lee et al.(1998)., - 84 -
. Ohlson (1995) 2 < 1> Feltham & Ohlson (analytic).,.,.., Ohlson Feltham & Ohlson. - 85 -
< >,,, - EVA,, 1997.,,, " : Feltham - Ohlson, W orking Paper,, 1999.,,, 2,, 1996., ", 19, pp. 73-102, 1994., ",",, 1998.,,, 4,, 1999., ",,,,, 1997. - 86 -
< > Amir, E. and Lev, B., "Value- relev ance of Nonfinancial Information : T he Wireless Communication Industry," W orking Paper, Univer sity of California at Berkeley, 1995. Beav er, W. H., "Comment s on 'An empirical as sessment of the residual income v aluation model'," J ournal of A ccounting and E conom ics, 26, 1999, pp. 35-42. Dechow, P., Hutton, A., and Sloan, R., "An empirical asses sment of the r esidual incom e v aluation m odel," J ournal of A ccounting and E conom ics, 26, 1999, pp. 1-34. F eltham, G., and Ohlson, J., "Valuation and clean surplu s accounting for operating and financial activities," Contemp orary A ccounting R esearch, 11, Spring 1995, pp. 689-731. F eltham, G., and Ohlson, J., "Uncert ainty r esoulation and the theory of depreciation measurement," J ournal of A ccounting R esearch, Vol. 34, No. 2, Autumn 1996, pp. 209-234. Fr ankel, R., and Lee, C. M. C., "Accounting valuation, m arket expect ation, and cr oss- sectional st ock return s," J ournal of A ccounting and E conom ics, 25, 1998, pp. 283-319. Judge, G., Hill, R. C., Griffiths, W. E., Lutkepohl, H., Lee, T. C., "Intr oduction to the T heory and Practice of Econometrics," 2nd, Appendx, 1993, pp. 919-983. My er s, J. "Implementing Residual Incom e Valuation With Linear - 87 -
Information Dynamics," The A ccounting R eview, Vol. 74, No. 1, January 1999, pp. 1-28. Ohlson, J. "Earning, Book Values, and Dividends in Equity Valuation," Contemp orary A ccounting R esearch, Vol. 11, No. 2, Spring 1995, pp. 661-668. Palepu, K. G., Bernard V. L., Healy, P. M., Bu siness analy sis and valuation u sing financial statement s, S outh- W estern Colleg e P ublishing Co., Cincinnati, Ohio, 1996. Penm an, S. H., Sougiannis, T. "A comparison of dividend, chas flow and earning s approaches to equity v aluation," W orking Paper, Univer sity of California, Berkeley, 1996. SAS/ ET S User ' s Guide Ver sion 6, Second Edition, SAS Institute Inc, - 88 -
< 1> 2 3 (2.11). 2 Ohlson (1995). 2. R I t + 1 = 11R I t + 12 t + 1t + 1 t + 1 = 21R I t + 22 t + 2 t + 1 (A 1.1) (A 1.1) (2 2), R I t + 1 = 11 12 R I t + 1t + 1 (A 1.2) t + 1 21 22 t 2 t + 1, E t [ R I t + ] = [ 1 0 ] 11 12 R I t (A 1.3) 21 22 t. {A 1.3), - 89 -
11 12 21 22 = (A 1.4), (A 1.5). lim E t [ R I t + ] = [ 1 0 ] lim R I t t (A 1.5) (A5) lim (diagonalization ). (n n) (diagonalization ) n (eigenvalue) (characteristic equation ) - I = 0 (A 1.6), : (eigenvalue) I : (identity matrix ) n., (A 1.6), 11-12 21 22 - = 0 (A 1.7) (determinant ), - 90 -
( 11 - )( 22 - ) - 12 21 = 0 2 - ( 11 + 22) + 11 22-12 21 = 0 (A 1.8) (A 1.8) 2 D, D = ( 11 + 22) 2-4 ( 11 22-12 21) > 0 (A 1.9). (A 1.9), ( 11-22) 2 > - 4 12 2 1 (A 1.10) (A 1.10), 12 0 & 21 0 12 0 & 21 0. 12 21 0 (A 1.10). 3 1 Ohlson (1995) (3.2) 12 = 1, 2 1 = 0. - 91 -
< 2 > Ohls on (1995 ) B as ed 3 1 Ohlson (1995) ( 1-1).. R I t + 1 = 11R I t + 10 ( t) + 1( t + 1) 10 ( t + 1) = 10 ( t) + 2 ( t + 1) (A2.1) (A2.1), R I t + 1 10 ( t + 1) = 11 1 0 1 R I t 10 ( t) + 1t + 1 2 t + 1 (A2.2). (A2.2) 11 1 0 1 < 1>., P = 1 1 + r 11 1 0 1 (A2.3) (A2.2). - 92 -
R I t + 1 10 ( t + 1) = ( 1 + r ) P 11 1 0 1 R I t 10 ( t) + 1t + 1 2 t + 1 (A2.4) t,, E t [ R I t + ] ( 1 + r) = [ 1 0 ] 1 ( 1 + r) 11 1 0 1 R I t 10 ( t) (A2.5) = [ 1 0 ] P R I t 10( t),, = 1 E t [ R I t + ] ( 1 + r) = = 1 [ 1 0 ] P R I t 10 ( t) = [ 1 0 ] [ P + P 2 + ] R I t 10 ( t) (A2.6) = [ 1 0 ] [ P [ I - P ] - 1 ] R I t 10 ( t)., V t = bv t + 0 + 1 R I t (A2.7) - 93 -
,, 0 + 1 R I t = [ 0 1 10 ( t) ] R I t 10 ( t) (A2.8). (A2.8) (A2.6). [ 1 0 ] [ P [ I - P ] - 1 ] R I t 10 ( t) = [ 0 1 10 ( t) ] R I t 10( t) (A2.9), 0 1 [ 10 ( t) ] = [ 1 0 ] [ P [ I - P ] - 1 ] (A2.10). (A2.9) [ P [ I - P ] - 1 ], [ P [ I - P ] - 1 ] = 1 + r ( 1 + r - 11) 0 ( 1 + r) r ( 1 + r - 11) 1 r (A2.10), - 94 -
1 = 11 1 + r - 11, 0 10 ( t) = ( 1 + r) r ( 1 + r - 11)., 1 = 11 1 + r - 11, 0 = ( 1 + r) 10 ( t) r ( 1 + r - 11).. V t = bv t + ( 1 + r) 10 ( t) r ( 1 + r - 11) + 11 1 + r - 11 R I t - 95 -