财务报表分析外文文献及翻译.docx

财务报表分析外文文献及翻译.docx

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财务报表分析外文文献及翻译

Reviewofaccountingstudies,2003,16（8）:

531-560

FinancialStatementAnalysisofLeverageandHowItInformsAboutProtabilityandPrice-to-BookRatios

DoronNissim,Stephen.Penman

Abstract

Thispaperpresentsa?

nancialstatementanalysisthatdistinguishesleveragethatarisesin?

nancingactivitiesfromleveragethatarisesinoperations.Theanalysisyieldstwoleveragingequations,oneforborrowingto?

nanceoperationsandoneforborrowinginthecourseofoperations.Theseleveragingequationsdescribehowthetwotypesofleverageaffectbookratesofreturnonequity.Anempiricalanalysisshowsthatthe?

nancialstatementanalysisexplainscross-sectionaldifferencesincurrentandfutureratesofreturnaswellasprice-to-bookratios,whicharebasedonexpectedratesofreturnonequity.Thepaperthereforeconcludesthatbalancesheetlineitemsforoperatingliabilitiesarepriceddifferentlythanthosedealingwith?

nancingliabilities.Accordingly,?

nancialstatementanalysisthatdistinguishesthetwotypesofliabilitiesinformsonfuturepro?

tabilityandaidsintheevaluationofappropriateprice-to-bookratios.

Keywords:

financingleverage;operatingliabilityleverage;rateofreturnonequity;price-to-bookratio

Leverageistraditionallyviewedasarisingfrom?

nancingactivities:

Firmsborrowtoraisecashforoperations.Thispapershowsthat,forthepurposesofanalyzingpro?

tabilityandvaluing?

rms,twotypesofleveragearerelevant,oneindeedarisingfrom?

nancingactivitiesbutanotherfromoperatingactivities.Thepapersuppliesa?

nancialstatementanalysisofthetwotypesofleveragethatexplainsdifferencesinshareholderpro?

tabilityandprice-to-bookratios.

Thestandardmeasureofleverageistotalliabilitiestoequity.However,whilesomeliabilities—likebankloansandbondsissued—aredueto?

nancing,otherliabilities—liketradepayables,deferredrevenues,andpensionliabilities—resultfromtransactionswithsuppliers,customersandemployeesinconductingoperations.Financingliabilitiesaretypicallytradedinwell-functioningcapitalmarketswhereissuersarepricetakers.Incontrast,?

rmsareabletoaddvalueinoperationsbecauseoperationsinvolvetradingininputandoutputmarketsthatarelessperfectthancapitalmarkets.So,withequityvaluationinmind,thereareapriorireasonsforviewingoperatingliabilitiesdifferentlyfromliabilitiesthatarisein?

nancing.

Ourresearchaskswhetheradollarofoperatingliabilitiesonthebalancesheetispriceddifferentlyfromadollarof?

nancingliabilities.Asoperatingand?

nancingliabilitiesarecomponentsofthebookvalueofequity,thequestionisequivalenttoaskingwhetherprice-to-bookratiosdependonthecompositionofbookvalues.Theprice-to-bookratioisdeterminedbytheexpectedrateofreturnonthebookvalueso,ifcomponentsofbookvaluecommanddifferentpricepremiums,theymustimplydifferentexpectedratesofreturnonbookvalue.Accordingly,thepaperalsoinvestigateswhetherthetwotypesofliabilitiesareassociatedwithdifferencesinfuturebookratesofreturn.

Standard?

nancialstatementanalysisdistinguishesshareholderpro?

tabilitythatarisesfromoperationsfromthatwhicharisesfromborrowingto?

nanceoperations.So,returnonassetsisdistinguishedfromreturnonequity,withthedifferenceattributedtoleverage.However,inthestandardanalysis,operatingliabilitiesarenotdistinguishedfrom?

nancingliabilities.Therefore,todevelopthespeci?

cationsfortheempiricalanalysis,thepaperpresentsa?

nancialstatementanalysisthatidenti?

estheeffectsofoperatingand?

nancingliabilitiesonratesofreturnonbookvalue—andsoonprice-to-bookratios—withexplicitleveragingequationsthatexplainwhenleveragefromeachtypeofliabilityisfavorableorunfavorable.

Theempiricalresultsinthepapershowthat?

nancialstatementanalysisthatdistinguishesleverageinoperationsfromleveragein?

nancingalsodistinguishesdifferencesincontemporaneousandfuturepro?

tabilityamong?

rms.Leveragefromoperatingliabilitiestypicallyleverspro?

tabilitymorethan?

nancingleverageandhasahigherfrequencyoffavorable,foragiventotalleveragefrombothsources,?

rmswithhigherleveragefromoperationshavehigherprice-to-bookratios,onaverage.Additionally,distinctionbetweencontractualandestimatedoperatingliabilitiesexplainsfurtherdifferencesin?

rms’pro?

tabilityandtheirprice-to-bookratios.

Ourresultsareofconsequencetoananalystwhowishestoforecastearningsandbookratesofreturntovalue?

rms.Thoseforecasts—andvaluationsderivedfromthem—depend,weshow,onthecompositionofliabilities.The?

nancialstatementanalysisofthepaper,supportedbytheempiricalresults,showshowtoexploitinformationinthebalancesheetforforecastingandvaluation.

Thepaperproceedsasfollows.Section1outlinesthe?

nancialstatementsanalysisthatidenti?

esthetwotypesofleverageandlaysoutexpressionsthattieleveragemeasurestopro?

tability.Section2linksleveragetoequityvalueandprice-to-bookratios.TheempiricalanalysisisinSection3,withconclusionssummarizedinSection4.

1.FinancialStatementAnalysisofLeverage

Thefollowing?

nancialstatementanalysisseparatestheeffectsof?

nancingliabilitiesandoperatingliabilitiesonthepro?

tabilityofshareholders’equity.Theanalysisyieldsexplicitleveragingequationsfromwhichthespeci?

cationsfortheempiricalanalysisaredeveloped.Shareholderpro?

tability,returnoncommonequity,ismeasuredas

Returnoncommonequity（ROCE）=comprehensivenetincome÷commonequity

（1）

Leverageaffectsboththenumeratoranddenominatorofthispro?

tabilitymeasure.Appropriate?

nancialstatementanalysisdisentanglestheeffectsofleverage.Theanalysisbelow,whichelaboratesonpartsofNissimandPenman（2001）,beginsbyidentifyingcomponentsofthebalancesheetandincomestatementthatinvolveoperatingand?

nancingactivities.Thepro?

tabilityduetoeachactivityisthencalculatedandtwotypesofleverageareintroducedtoexplainbothoperatingand?

nancingpro?

tabilityandoverallshareholderpro?

tability.

DistinguishingtheProtabilityofOperationsfromtheProtabilityofFinancingActivities

Withafocusoncommonequity（sothatpreferredequityisviewedasa?

nancialliability）,thebalancesheetequationcanberestatedasfollows:

Commonequity=operatingassets＋financialassets－operatingliabilities－Financialliabilities

（2）Thedistinctionherebetweenoperatingassets（liketradereceivables,inventoryandproperty,plantandequipment）and?

nancialassets（thedepositsandmarketablesecuritiesthatabsorbexcesscash）ismadeinothercontexts.However,ontheliabilityside,?

nancingliabilitiesarealsodistinguishedherefromoperatingliabilities.Ratherthantreatingallliabilitiesas?

nancingdebt,onlyliabilitiesthatraisecashforoperations—likebankloans,short-termcommercialpaperandbonds—areclassi?

edassuch.Otherliabilities—suchasaccountspayable,accruedexpenses,deferredrevenue,restructuringliabilitiesandpensionliabilities—arisefromoperations.Thedistinctionisnotassimpleascurrentversuslong-termliabilities;pensionliabilities,forexample,areusuallylong-term,andshort-termborrowingisacurrentliability.

Rearrangingtermsinequation

（2）,

Commonequity=（operatingassets－operatingliabilities）－（financialliabilities－financialassets）

Or,

Commonequity=netoperatingassets－netfinancingdebt（3）

Thisequationregroupsassetsandliabilitiesintooperatingand?

nancingactivities.Netoperatingassetsareoperatingassetslessoperatingliabilities.Soa?

rmmightinvestininventories,buttotheextenttowhichthesuppliersofthoseinventoriesgrantcredit,thenetinvestmentininventoriesisreduced.Firmspaywages,buttotheextenttowhichthepaymentofwagesisdeferredinpensionliabilities,thenetinvestmentrequiredtorunthebusinessisreduced.Net?

nancingdebtis?

nancingdebt（includingpreferredstock）minus?

nancialassets.So,a?

rmmayissuebondstoraisecashforoperationsbutmayalsobuybondswithexcesscashfromoperations.Itsnetindebtednessisitsnetpositioninbonds.Indeeda?

rmmaybeanetcreditor（withmore?

nancialassetsthan?

nancialliabilities）ratherthananetdebtor.

Theincomestatementcanbereformulatedtodistinguishincomethatcomesfromoperatingand?

nancingactivities:

Comprehensivenetincome=operatingincome－netfinancingexpense（4）

Operatingincomeisproducedinoperationsandnet?

nancialexpenseisincurredinthe?

nancingofoperations.Interestincomeon?

nancialassetsisnettedagainstinterestexpenseon?

nancialliabilities（includingpreferreddividends）innet?

nancialexpense.Ifinterestincomeisgreaterthaninterestexpense,?

nancingactivitiesproducenet?

nancialincomeratherthannet?

nancialexpense.Bothoperatingincomeandnet?

nancialexpense（orincome）areafterEquations（3）and（4）producecleanmeasuresofafter-taxoperatingpro?

tabilityandtheborrowingrate:

Returnonnetoperatingassets（RNOA）=operatingincome÷netoperatingassets（5）

and

Netborrowingrate（NBR）=netfinancingexpense÷netfinancingdebt（6）

RNOArecognizesthatpro?

tabilitymustbebasedonthenetassetsinvestedinoperations.So?

rmscanincreasetheiroperatingpro?

tabilitybyconvincingsuppliers,inthecourseofbusiness,tograntorextendcreditterms;creditreducestheinvestmentthatshareholderswouldotherwisehavetoputinthebusiness.Correspondingly,thenetborrowingrate,byexcludingnon-interestbearingliabilitiesfromthedenominator,givestheappropriateborrowingrateforthe?

nancingactivities.