2005 hde@refe.co.jp Ohlson
EQV EV [ ] E d+ EQV = = 1 ( 1+ r ) Clean Surplus Concep) BVE = BVE 1 + NI RI NI r BVE = 1 d EQV BVE + E [ RI+ ] ( + r ) = 1 1 + BVE lm = 0 ( 1 r ) + +
RIV EVA FCF = EBIT (1 T ) + Dep CapX [ ] E FCF + EV = = 1 1+ R = NOPAT R BVT 1 ( ) EV = BVT + E [ EVA + ] ( + R ) = 1 1 + EV = BVT + MVA ( 1 R ) WC BVT lm = 0 + +
EBIT ( 1 T ) = NOPAT
1995 RI, = ω RI 1 + ν 1 + ε1 = γν 1 ε 2, ν + EQV BVE + EQV = α1 RI + α 2 Frankle and Lee 1998V/P ν ( ϕni d ) + ( 1 κ ) BVE + α ν κ 2 BVE ω = 0 ν = 0 RI BVE + = 1 ( 1 + r) ω = 1 ν = 0 RI ω = 1, γ = 0 f 1 BVE + = 1 ( 1 + r) ω = 0, γ = 1 ωri + 1 BVE + 1 1 + r ν = 0 ( ) = 1 BVE + BVE + = ω0 + ω1ri + ( 1+ r) ω0 + ω1ri 1 ( 1+ r) 1 + 1 ν = ω 0 0 γ 1 -
- P1 = b0 + b1 BPS + ε P2 = b0 + b1 BPS + b2 RI + ε P3 P4 P5 P6 = b0 + b1 BPS + b2ri f 1 = b0 + b1 BPS + b2 EPS + ε + ε = b0 + b1 BPS + b2eps f + ε = b0 + b1 BPS + b2eps + b3 EPS f + ε - P3
2002 1998 Collns e al.(1997) relevance P R 2
EVA 税 営 NOPAT WACC ROIWACC
- ( ) k p = λ cov CF, R m = CF - CF CF - -
( ) 1+ r (1 + r k ) k = 1
1.7 1.0 1.7