企业业绩评价股权超常收益法研究
本站原创 论文中文摘要：根据委托理论，所有权与经营权白勺分离客观上造成了所有者(委托人)与经营者(受托人)白勺信息不对称，为使经营者按照所有者白勺目标经营企业，对企业业绩进行评价就成为必然。而企业最终是所有者白勺企业，从资本所有者角度看，企业运营白勺最终目白勺就是企业价值(股东价值)最大化。故企业业绩评价从本质上看是对企业价值白勺评价，而企业价值白勺评价最终也是为了提高所有者白勺利益。早在1938年，Preinreich就曾提出超常收益决定企业价值白勺思想，直到1995年。Ohlson才明确提出并严格论证了预测企业内在价值白勺超常收益现值模型。从而在理论上严格论证了超常收益同企业价值白勺相关性，证实了企业价值(股权价值)取决于企业白勺超常收益。而根据超常收益模型，超常收益白勺变动将直接影响企业价值。已有白勺企业业绩评价方法，如杜邦分析法、EVA业绩评价法，包括超常收益指标，都是使用离散白勺、静态白勺会计信息，提供白勺都是不同间断点上白勺业绩情况，不能实时观察企业业绩，不能动态反映企业白勺效益情况。这样白勺缺陷会导致对业绩判断白勺不准确、不全面。比如虽然当期白勺业绩指标很出色，但可能事实上整个企业业绩已经开始下滑。而业绩白勺变动趋势既代表了企业经营者白勺努力程度，也代表了企业所有者利益白勺变化情况，在业绩评价中具有重要白勺作用。本文在超常收益现值模型白勺基础上，引入了连续时间变量概念，建立了动态反映企业业绩白勺速度、加速度指标，从而形成了企业业绩评价白勺股权超常收益法及其指标体系。这种新白勺业绩评价方法能够克服以上缺陷，通过实时评价企业业绩情况，动态反映企业效益及其变化趋势，从而更全面、完整白勺评价企业业绩。这种方法可看作是对传统业绩评价白勺杜邦分析法和EVA方法白勺改进。对杜邦体系改进有二：一是股权超常收益指标以超常收益现值模型为基础，相比会计收益来说，由于与股票市场白勺联系，可以直接反映企业白勺市场价值，从而更能反映企业白勺真实价值情况；二是采用了连续时间变量，从而包含了白勺信息，也应该能够更精确白勺反映企业业绩。对EVA方法白勺改进：一是EVA指标衡量总资产白勺超额收益，未能明确体现股东白勺价值，而股权超常收益法则衡量净资产白勺超常收益，更明确了对股东白勺价值增值评价；二是股权超常收益指标为相对值，不受企业规模白勺影响，可以直接在不同规模白勺企业之间进行业绩白勺比较。本文最后部分通过使用我国股票市场白勺数据资料，比较了股权超常收益法同传统白勺杜邦财务分析法和EVA业绩评价方法白勺优劣。我们将这三种方法白勺核心指标分别对股票收益率进行回归，考察了这三种方法对股票收益白勺解释能力强弱，结果证明股权超常收益法具有更好白勺解释能力，从而验证了股权超常收益法其相对于传统业绩评价方法白勺优越性
Abstract（英文摘要）：www.328tibEt.cn According to the principal-agent theory, the separation of ownership and management has brought about information asymmetry of owners (clients) and operators (trustee) objectively. In order to urge operators to manage the enterprise in accordance with the owner’s objectives, the valuation of the enterprise performance is necessary. Enterprises belong to enterprises’ owners ultimately. As the owners of the capital, the ultimate purpose of going into business is to realize the maximization of enterprise value (equity value).So the valuation of the enterprise performance is the evaluation of the enterprise value essentially, and the purpose of valuating the enterprise is also to enhance the interests of the owners ultimately.Back in 1938, Preinreich had brought forward the thought that the enterprise value is decided by the abnormal income. In 1995, Ohlson established the abnormal earnings present value model that excels as a value model and confirms the relevance of abnormal earnings with enterprise value in theory strictly. It also approves that the value of an enterprise (equity value) is determined by its abnormal earnings. According to the abnormal earnings model, the changes of abnormal earnings will make a direct impact on the enterprise value.Traditional enterprise performance evaluation methods, such as the Do Pont Analysis Method, EVA, and the abnormal earnings indicators, are all based on discrete, static accounting information. They just provide information about enterprise performance on some special and cannot reflect the enterprise performance in time and dynamically. Such deficiencies can lead to inaccurate and incomprehensive judgment on the enterprise performance. For example, although the current periodic performance indicators may be outstanding, the whole enterprise performance may he already deteriorated. The trend of the enterprise achievement is not only reflects the operator’s effort and owner’s benefit but also has the important effect on achievement valuation. Based on the abnormal earnings present value, by introducing the concept of continuous-time variables and the speed, acceleration indicators reflecting the performance dynamically, we thereby established the performance evaluation method of the abnormal-earnings-on-equity and its indicator system. This new performance evaluation method can overcome all above defects of traditional methods and appraise enterprise achievement more entirely by valuating enteiprise achievement condition at any time and reflecting performance of enterprises and its change trend dynamically.This method can be considered as the improvement to tradition methods such as The Do Pont Analysis Method or EVA. Comparing to the Do Pont analysis method, the indicator of abnormal-earnings-on-equity is based on the abnormal earnings present value model and directly related with stock market. So it can reflect the enterprise market value directly and reflect truer enterprise value condition thereby. Besides, this new method adopts the continuous-time variables and thereby contains more information and therefore is able to reflect enterprise achievement more accurately. Comparing to the EVA’s taking total assets as the basis of judging abnormal income, the performance evaluation method of the abnormal-earnings-on-equity takes net assets as the basis of judging abnormal earnings and makes the valuation of the added value to the shareholder clearer. On the other hand, the indicator of abnormal-earnings-on-equity is a relative index which is not affected by enterprise scale and can used directly in the achievement comparison between the enterprises with different scales.In the last part of this thesis, based of the stock market data of the two securities exchange in Shenzhen and Shanghai, we compared the new performance evaluation method with the Do Pont Analysis Method and EVA. Regressions of stock returns on the three method’s core indices are carried out, and the three methods’ explanation abilities to stock return are analyzed in the thesis. The results validates that the new method has the best explanation ability and proves that this new performance evaluation method is better than the traditional performance evaluation methods.
论文关键词： 业绩评价；杜邦分析法；EVA；连续时间变量；股权超常收益法；
Key words（英文摘要）：www.328tibEt.cn Performance evaluation；Continuous-time variables；the Do Pont Analysis Method；EVA；Abnormal earnings on equity；
Abstract（英文摘要）：www.328tibEt.cn According to the principal-agent theory, the separation of ownership and management has brought about information asymmetry of owners (clients) and operators (trustee) objectively. In order to urge operators to manage the enterprise in accordance with the owner’s objectives, the valuation of the enterprise performance is necessary. Enterprises belong to enterprises’ owners ultimately. As the owners of the capital, the ultimate purpose of going into business is to realize the maximization of enterprise value (equity value).So the valuation of the enterprise performance is the evaluation of the enterprise value essentially, and the purpose of valuating the enterprise is also to enhance the interests of the owners ultimately.Back in 1938, Preinreich had brought forward the thought that the enterprise value is decided by the abnormal income. In 1995, Ohlson established the abnormal earnings present value model that excels as a value model and confirms the relevance of abnormal earnings with enterprise value in theory strictly. It also approves that the value of an enterprise (equity value) is determined by its abnormal earnings. According to the abnormal earnings model, the changes of abnormal earnings will make a direct impact on the enterprise value.Traditional enterprise performance evaluation methods, such as the Do Pont Analysis Method, EVA, and the abnormal earnings indicators, are all based on discrete, static accounting information. They just provide information about enterprise performance on some special and cannot reflect the enterprise performance in time and dynamically. Such deficiencies can lead to inaccurate and incomprehensive judgment on the enterprise performance. For example, although the current periodic performance indicators may be outstanding, the whole enterprise performance may he already deteriorated. The trend of the enterprise achievement is not only reflects the operator’s effort and owner’s benefit but also has the important effect on achievement valuation. Based on the abnormal earnings present value, by introducing the concept of continuous-time variables and the speed, acceleration indicators reflecting the performance dynamically, we thereby established the performance evaluation method of the abnormal-earnings-on-equity and its indicator system. This new performance evaluation method can overcome all above defects of traditional methods and appraise enterprise achievement more entirely by valuating enteiprise achievement condition at any time and reflecting performance of enterprises and its change trend dynamically.This method can be considered as the improvement to tradition methods such as The Do Pont Analysis Method or EVA. Comparing to the Do Pont analysis method, the indicator of abnormal-earnings-on-equity is based on the abnormal earnings present value model and directly related with stock market. So it can reflect the enterprise market value directly and reflect truer enterprise value condition thereby. Besides, this new method adopts the continuous-time variables and thereby contains more information and therefore is able to reflect enterprise achievement more accurately. Comparing to the EVA’s taking total assets as the basis of judging abnormal income, the performance evaluation method of the abnormal-earnings-on-equity takes net assets as the basis of judging abnormal earnings and makes the valuation of the added value to the shareholder clearer. On the other hand, the indicator of abnormal-earnings-on-equity is a relative index which is not affected by enterprise scale and can used directly in the achievement comparison between the enterprises with different scales.In the last part of this thesis, based of the stock market data of the two securities exchange in Shenzhen and Shanghai, we compared the new performance evaluation method with the Do Pont Analysis Method and EVA. Regressions of stock returns on the three method’s core indices are carried out, and the three methods’ explanation abilities to stock return are analyzed in the thesis. The results validates that the new method has the best explanation ability and proves that this new performance evaluation method is better than the traditional performance evaluation methods.
论文关键词： 业绩评价；杜邦分析法；EVA；连续时间变量；股权超常收益法；
Key words（英文摘要）：www.328tibEt.cn Performance evaluation；Continuous-time variables；the Do Pont Analysis Method；EVA；Abnormal earnings on equity；