77 割引現在価値モデルの理論と有効性 Theory and Efficiency of Discounted Present Value Model Toru Katori FCF EVA FCF EVA RI 1 はじめに 1980 Free Cash Flow: FCF Copeland et. Al 19901990 Economic Value Added: EVA Stewart 1991 Residual Income: RI Ohlson 1995 Return on Investment: ROI EVA FCFEVA RI 1998 2 FCFモデル Price Earnings Ratio: PER Return on Equity: ROE discounted dividend model
78 d j j r P o V D D j j FCF FCF j j R j j I j j Weighted Average Cost of Capital: WACC 3 EVA モデルと残余利益 (RI) モデル EVARI Stewart 1991Market Value Added: MVA MVAEVA Net Operating Profit after Tax: NOPAT capital charge MVA EVA MVA MVA L j j E j j i EVA
79 1990RI EBO Edward-Bell-Ohlson RI clean surplus RI b j j x j j d j j Ohlson 1995RI RI Ohlson 1995 RIEVA RI 4 FCF モデルと EVA モデル RI RI j j NP j j E j j r f FCF EVA Ohlson 1998 19982001a 1998 s j j e j j d j j o j js j e j d j w j j I o i z j ATCF j j s j e j w j o j z o j d j w j o j z o j 1 z d j w j EVA EVA j j EVA
80 NPV EVA FCFEVA 5 モデルの有効性に関する研究 1 Penman & Sougiannis 1998 FCFRI RI FCF 2 19991998 3 6 3171983 1998 Ohlson FCF Ohlson FCF Ohlson 3 Francis et al 2000 FCF RI RI 4 2004 3 12,943 1980 2000 FCFRI RI FCF RI FCF Dechow et al. 1998 2001 RI Ohlson RIFCF 5 Rappaport 1986
81 61992,1993Rappaport 1986 72007Rappaport 1986 Rappaport & Mauboussin 2001 NEED 225 57 1978 2003 Rappaprot 6 管理会計におけるモデルの有効性 Discounted Cash Flow: DCF19 1970 2008 FCF FCF OhlsonEVA RI 1ATCF NPV EVA NPVFCF EVA EVA RI 1 ATCF NPV EVA NPV ATCF(NPV) 0 1 2 3 4 5 1 1,000 1,500 3,000 5,000 2,000 2 750 1,125 2,250 3,750 1,500 3 200 100 300 400-600 -400 4 1,000 5 1,200 100 300 400-600 -400 6CF -1,200 150 75 350 1,850 900 7 500 250 125 63 63 8-250 125 625 1,188 438 9-130 65 325 618 228 10CF -1,200 280 10 25 1,233 673 ATCF(NPV) 652
82 EVA(NPV) 0 1 2 3 4 5 1 1,000 1,500 3,000 5,000 2,000 2 750 1,125 2,250 3,750 1,500 7 500 250 125 63 63 8-250 125 625 1,188 438 11 200 300 600 1,000 400 0 12 1,000 500 250 125 63 0 13 1,200 800 850 1,125 463 0 14 120 80 85 113 46 15-370 45 540 1,075 391 16-192 23 281 559 203 17 EVA -178 22 259 516 188 EVA(NPV) 652 1960 Return on Investment: ROI1980 ROI RI RI Kaplan & Atkinson 1982RI EVA 1994 Stewart 1994ROI EVA EVA RI 2001b1,2378 FCF FCF FCF FCF FCF FCF 7 むすび 1980 1990 RI FCF EVAOhlson RI FCF RI EVARI FCF
83 EVA Stern Stewart 参考文献 Francis 2000 R.Francis, P.Olsson and D.Oswald, "Comparing Accuracy and Explainability of Dividend, Free Cash Flow, and Abnormal Earnings Equity Value Estimates," Journal of Accounting Research, Vol.38, No.1, Spring, 2000, pp.45-70. Ohlson 1995 J.A.Ohlson, "Earning, Book Values, and Dividends in Equity Valuation," Contemporary Accounting Research, Vol.11, No.2, Spring, 1995, pp.661-687. Penman & Sougiannis 1998 S.H.Penman and T.Sougiannis, "A Comparison of Dividend, Cash Flow, and Earnings Approaches to Equity Valuation," Contemporary Accounting Research, Vol.15, No.3, pp.343-383, 1998. Dechow et al. 1998 P.M.Dechow, S.P.Kothari and R.L.Watts, "The Relation between Earnings and Cash Flow," Journal of Accounting and Economics Vol.25, No.2, May, 1998, pp.133-168. Stewart 1994 G.B.Stewart, "EVA: Fact and Fantasy", Journal of Applied Corporate Finance, Summer, 1994, p73. Copeland et. al. 1990 T.Copeland, T.Koller & J.Murrin, Valuation, 1990, 1993 Stewart 1991 G.B.Stewart, The Quest for Value: The EVA Management Guide, Harper Collins Pub. 1991, EVA 1998 Rappaport 1986 A.Rappaport, Creating Shareholder Value: The New Standard for business Performance, Free Press, November, 1986, 1989 Rappaport & Mauboussin 2001 A.Rappaport and M.J.Mauboussin, Expectations Investing: Reading Stock Prices for Better Returns, Harvard Business School Press, September, 2001, 2003 Kaplan & Atkinson 1998 R.S.Kaplan and A.A.Atkinson, Advanced Management Accounting, Prentice-Hall International, Inc, p508, 1989 1998NPV EVA 69 1998 8 pp.39-49 2008 2001 2001 2001a 2001 2001b 159 4 pp.45-58 2004 5 2004 pp.23-35 1999 Vol.156 2 pp.14-29 2000 EVAOhlson Vol.8 No.1/2 pp.157-167 2001 Vol.160 2 pp.213-219 1998 EVA 1998.3 pp.21-35 1997EVA 1997.11 pp.17-36 1992 Vol.142 10 1992 pp.35-47 1993 Vol.45 12 1993 pp.132-136 2006 6 2007 pp.117-126