经济附加值与股票价格研究
|
摘要
在市场经济中，许多公司为股东创造价值。毫无疑问，也有一些公司的运营结果是不断损害股东权益。发现使公司价值涨跌的经济因素，对投资者及企业的运营者都是至关重要的。对于企业的运营者来说，创造财富，增加企业的价值是企业在市场中的立身之本。如果没有这种紧迫感，就会危及到他本人的职业生涯以及他所服务公司的生存。
投资经理的首要任务是挑选出那些好的企业以及行业。在同样风险情况下，一个好的财务工具能够帮助投资经理提高投资组合的回报率。EVA正是这样一种分析工具，它能够帮助企业的运营者和投资经理解决增加企业价值、遴选优秀企业的问题。
经济附加值的核心所在是它考虑资本成本，即由股本资本成本与债务资本成本加权平均得到的总资本成本，EVA由税后净利润减去资本成本得到。它简单而直白地把投资者所投入的资本与公司运营的税后净利润联系起来。而传统上衡量公司运营的指标并不考虑资本成本，实际上是忽视了股东投资的机会成本的存在。传统上的经济指标有每股收益，净资产收益率等。每股收益根本不考虑产生利润的资本成本。假设资本成本为15％，如果每股收益为14％，那么这样的收益实际上并不是收益而是亏损，因为所谓的收益连股东投入的资本成本都没有收回。净资产收益率是相对而言比较实际一点的经济指标，但是它也忽视了资本成本这个重要因素。假设某公司的净资产收益率是11％，如果它的资本成本为13％，这样的公司运营实际上是价值损害者!另外EVA把公司价值与股票价格联系起来，让投资者清楚地了解到EVA的变化与股票价格变化的关系。
本文作者引用了由G.Bennett Stewart提出的“一般意义上可以接受”的会计模板来计算公司的税后净利润以及投资资本。本文用某通讯公司的公开财务年报的数据计算了这家公司8年内的EVA值，然后用得到的EVA图与这家公司8年内的股票走势图进行比较，以此寻求EVA值与股票价格的关系。总体来说正的EVA值代表创造价值；负的EVA值代表破坏价值。正的EVA增长，会带来公司股票价格的上
摘要
扬;负的EVA增长，会带来公司股票价格的下跌。同时本文进一步探讨了在新的成
长机会下，如何计算△EVA，如何在理论上预测股票的价格变化。在得出EVA与股
票价格关系的基础上，进而引伸出什么样的管理决定能够创造公司价值，而什么样
的管理决定能够降低公司价值(EVA值)。这一工作具有实际应用意义。投资者可
以使用这种方法评估公司价值，预测股票价格的走势，遴选那些优秀企业，进而做
出正确的投资决定。
In a market-driven economy many companies will create wealth. Other firms however will undoubtedly destroy it. Discovering those economic factors that lead to wealth creation and destruction among companies is important to many constituencies, not the least of which is corporate officials and investment managers. For corporate managers wealth creation is fundamental to the economic survival of the firm. Manager that fail (or refuse) to see the importance of this imperative in an open economy do so at the peril of the organization and their own careers.
Finding the "best" companies and industries in the marketplace is of primary importance to investment managers. With the proper financial tools, portfolio managers may be able to enhance their active performance over-and-above the returns available on similar risk indexed-passive strategies. An analytical tool called EVA is now assisting this wealth-discovery and company -selection process. One thing that makes EVA so popular is that at its core, it is an almost embarrassingly basic concept. Take a company' s after-tax operating profit. Subtract the cost of capital used to make that profit. It tells us how efficient management is at turning investor money梒apital 梚nto profits. But traditional valuation methods do not look into cost of capital, which means the opportunity cost of investor' s capital is ignored. Traditional measure of economic performance includes earnings per share and return on assets, etc. Earnings per share tells nothing about the cost of generating those profit. If the cost of c
apital is, say, 15 percent, then a 14 percent earning is actually a reduction, not
Abstract
a gain, in economic value, because the earning does not cover the cost of capital. Return on assets is a more realistic measure of economic performance, but it ignores the cost of capital. In its most profitable year, for instance, a company' s return on assets is over 11 percent, but with a 13 percent cost of capital it is actually destroying the wealth!
In this article, a "generally accepted" boilerplate of accounting adjustment provided by G. Bennett Stewart is deployed to estimate a company' s NOPAT and invested capital.
By using a telecommunication company's annual report, the author calculated this company's EVA value throughout total 8 years. Then the author compared this telecommunication company's EVA value chart with its stock price chart over the 8 years to research the relationship between EVA and its stock price. Basically a positive EVA means value creation while a negative EVA means value destruction. A positive EVA growth is a good sign that a stock will soar while a negative EVA growth is a bad sign that a stock will fall down. The author also explores how to calculate AEVA with a new growth opportunity and the theoretically possible changes of its stock price. Upon reaching the relationship between EVA and stock price, the author then discussed what kinds of management decisions that corporate manager make to bring up EVA value. Such research work has practical meaning to investors and corporate managers. It can be used to evaluate corporate value, forecast the trend of stock price and select outstanding
companies for a better investment decision.
Xu Weizhen (Finance) Directed by: Professor Yang Chunpeng
投资经理的首要任务是挑选出那些好的企业以及行业。在同样风险情况下，一个好的财务工具能够帮助投资经理提高投资组合的回报率。EVA正是这样一种分析工具，它能够帮助企业的运营者和投资经理解决增加企业价值、遴选优秀企业的问题。
经济附加值的核心所在是它考虑资本成本，即由股本资本成本与债务资本成本加权平均得到的总资本成本，EVA由税后净利润减去资本成本得到。它简单而直白地把投资者所投入的资本与公司运营的税后净利润联系起来。而传统上衡量公司运营的指标并不考虑资本成本，实际上是忽视了股东投资的机会成本的存在。传统上的经济指标有每股收益，净资产收益率等。每股收益根本不考虑产生利润的资本成本。假设资本成本为15％，如果每股收益为14％，那么这样的收益实际上并不是收益而是亏损，因为所谓的收益连股东投入的资本成本都没有收回。净资产收益率是相对而言比较实际一点的经济指标，但是它也忽视了资本成本这个重要因素。假设某公司的净资产收益率是11％，如果它的资本成本为13％，这样的公司运营实际上是价值损害者!另外EVA把公司价值与股票价格联系起来，让投资者清楚地了解到EVA的变化与股票价格变化的关系。
本文作者引用了由G.Bennett Stewart提出的“一般意义上可以接受”的会计模板来计算公司的税后净利润以及投资资本。本文用某通讯公司的公开财务年报的数据计算了这家公司8年内的EVA值，然后用得到的EVA图与这家公司8年内的股票走势图进行比较，以此寻求EVA值与股票价格的关系。总体来说正的EVA值代表创造价值；负的EVA值代表破坏价值。正的EVA增长，会带来公司股票价格的上
摘要
扬;负的EVA增长，会带来公司股票价格的下跌。同时本文进一步探讨了在新的成
长机会下，如何计算△EVA，如何在理论上预测股票的价格变化。在得出EVA与股
票价格关系的基础上，进而引伸出什么样的管理决定能够创造公司价值，而什么样
的管理决定能够降低公司价值(EVA值)。这一工作具有实际应用意义。投资者可
以使用这种方法评估公司价值，预测股票价格的走势，遴选那些优秀企业，进而做
出正确的投资决定。
In a market-driven economy many companies will create wealth. Other firms however will undoubtedly destroy it. Discovering those economic factors that lead to wealth creation and destruction among companies is important to many constituencies, not the least of which is corporate officials and investment managers. For corporate managers wealth creation is fundamental to the economic survival of the firm. Manager that fail (or refuse) to see the importance of this imperative in an open economy do so at the peril of the organization and their own careers.
Finding the "best" companies and industries in the marketplace is of primary importance to investment managers. With the proper financial tools, portfolio managers may be able to enhance their active performance over-and-above the returns available on similar risk indexed-passive strategies. An analytical tool called EVA is now assisting this wealth-discovery and company -selection process. One thing that makes EVA so popular is that at its core, it is an almost embarrassingly basic concept. Take a company' s after-tax operating profit. Subtract the cost of capital used to make that profit. It tells us how efficient management is at turning investor money梒apital 梚nto profits. But traditional valuation methods do not look into cost of capital, which means the opportunity cost of investor' s capital is ignored. Traditional measure of economic performance includes earnings per share and return on assets, etc. Earnings per share tells nothing about the cost of generating those profit. If the cost of c
apital is, say, 15 percent, then a 14 percent earning is actually a reduction, not
Abstract
a gain, in economic value, because the earning does not cover the cost of capital. Return on assets is a more realistic measure of economic performance, but it ignores the cost of capital. In its most profitable year, for instance, a company' s return on assets is over 11 percent, but with a 13 percent cost of capital it is actually destroying the wealth!
In this article, a "generally accepted" boilerplate of accounting adjustment provided by G. Bennett Stewart is deployed to estimate a company' s NOPAT and invested capital.
By using a telecommunication company's annual report, the author calculated this company's EVA value throughout total 8 years. Then the author compared this telecommunication company's EVA value chart with its stock price chart over the 8 years to research the relationship between EVA and its stock price. Basically a positive EVA means value creation while a negative EVA means value destruction. A positive EVA growth is a good sign that a stock will soar while a negative EVA growth is a bad sign that a stock will fall down. The author also explores how to calculate AEVA with a new growth opportunity and the theoretically possible changes of its stock price. Upon reaching the relationship between EVA and stock price, the author then discussed what kinds of management decisions that corporate manager make to bring up EVA value. Such research work has practical meaning to investors and corporate managers. It can be used to evaluate corporate value, forecast the trend of stock price and select outstanding
companies for a better investment decision.
Xu Weizhen (Finance) Directed by: Professor Yang Chunpeng
引文
1 Tully Shawn, "The EVA advantage", Fortune Mar 29, 1999, 21-26
2 Topkis Maggie, "A new way to find bargains", Fortune Dec 9, 1996, 33
3 Hamel Gary, "Debate: Duking it out over EVA", Fortune Aug 4, 1997, 41-43
4 Teitelbaum Richard, "America's greatest wealth creators", Fortune Nov 10, 1997, 55-58
5 Lieber Ronald B, "Who are the real wealth creators?", Fortune Dec 9, 1996, 26-28
6 Stewart G Bennett Ⅲ, "EVA works-But not if you make these common mistakes", Fortune May 1, 1995, 41
7 Martin Justin, "Another GE veteran rides to the rescue", Fortune Dec 29, 1997, 36-37
8 Colvin Goeffrey, "Reality check: Are tech stocks sill insanely valued?", Fortune Nov 13, 2000, 70-74
9 Martin Justin, "Eli Lilly is making shareholders rich. How? By linking pay to EVA", Fortune September, 1996, 52-53
10 Tully Shawn, "America's wealth creators", Fortune Nov 22, 1999, 66-69
11 Rohwer Jim, "The numbers game", Fortune Nov 22, 1999, 54-57
12 Lieber Ronald B, "Stern Stewart and KPMG go to war", Fortune Feb 2, 1998, 44-48
13 Tully Shawn, "America's best wealth creators", Fortune Nov 28, 1994, 82-85
14 Anonymous, "Do you know your EVA?", Fortune May 1, 1995, 22-27
15 Tully Shawn, "America's greatest wealth creators", Fortune Nov 9, 1998, 65-67
16 Useem Jerry, "A manager for all seasons", Fortune Apr 30, 2001, 53
17 James L. Grant, "Foundations of Economic Value Added", New Jersey, John Wiley & Sons, Inc. 2003. 1～311
18 Joel M. Stern, "Earnings Per Share Don't Count", Financial Analyst Journal, July/August, 1974, 86-91
19 James A. Abate, "American Focus Equity Investment Strategy Profile", Global Asset Management, January 2001, 76-79
20 James L. Grant and James A. Abate, "Focus on Value: A Corporate and Investor Guide to Wealth Creation", New York, John Wiley & Sons, Inc. 2001, 23～98
21 Stern Stewart, "About EVA", Working paper, www.sternstewart.com, 2003
22 Stern Stewart, "Becoming an EVA company", Working paper, www.sternstewart.com, 2003
23 Stern Stewart, "EVA companies", Working paper, www.sternstewart.com, 2003
24 Stern Stewart, "EVA in Europe", Working Paper, www.sternstewart.com, 2003
25 James L. Grant, "Foundations of EVA for Investment Managers", Journal of Portfolio Management, Fall 1996, 55-59
26 Al Ehrbar, "EVA: The Real Key to Creating Wealth", New York, John Wiley & Sons, Inc. 1998, 1～67
27 Pablo Fernandez, "Valuation Methods and Shareholder Value Creation", London, UK, Academic Press. 2002, 101-165
28 S. G. Bennett, "The Quest for Value", New York, Harper Business, 1991, 34～65
29 Stern Stewart, "Research the Equity Risk Measurement Handbook", EVAluation, 2001, 3(3), 1～7
30 Peter Keen, "Economic Value-Add(EVA)", Working paper, www.peterkeen.com. 1999
31 William F. Sharpe, Gordon J. Alexander and Jeffery V. Bailey, "Investments", US, Prentice Hall, Inc. 1995, 108～139
32 Mark Grinblatt and Sheridan Titman, "Financial Markets and Corporate Strategy", US, McGraw-Hill Companies, Inc. 1997, 130～175
33 Aswath Damodaran, "Security Analysis for Investment and Corporate Fiance", New York, John Wiley & Sons, Inc. 1994, 1～30
34 John C. Hull, "Options, Futures, and Other Derivatives", US, Prentice Hall, Inc. 1989, 168～218
35 Kenneth C. Yook and George M. McCabe, "An Examination of MVA in the Cross-Section of Expected Stock Returns", Journal of Portfolio Management, Spring 2001, 68-71
36 Myron J.Gordon, "The Investment, Financing, and Valuation of the Corporation", Homewood IL, Irwin, 1962, 2～31
37 Xavier Adsera & Pere Vinolas, "FEVA: A Financial and Economic Approach to Valuation", Financial Analysts Journal, March/April 2003, 89-94
38 Copeland, Tom, Tim Koller and Jack Murrin, "Valuation: Measuring and Managing the Value of Companies", New York, John Wiley & Sons, 1990, 56～78
39 Charlottesville V. A, "Franchise Value and the Price/Earnings ratio", Research Foundation of the Institute of Chartered Financial Analysts, 1994, 89-92
40 杜胜利．基于价值的管理—经济增加值(EVA)．中华财会网(www.e521.com)2001-12-30
41 闫康，苗荣祥．经济附加值在管理层激励中的应用及其优势．www.chinahrd.net．2003
42 黄奕林，饶刚，孟军，易林明，陆成来．创业板市场新股发行定价模型之—经济附加值(EVA)定价法．www.stock2000.com.cn，2003
43 冷洪川．一种新的价值评估标准——经济增加值(EVA)．www.szsmart.com．2003
2 Topkis Maggie, "A new way to find bargains", Fortune Dec 9, 1996, 33
3 Hamel Gary, "Debate: Duking it out over EVA", Fortune Aug 4, 1997, 41-43
4 Teitelbaum Richard, "America's greatest wealth creators", Fortune Nov 10, 1997, 55-58
5 Lieber Ronald B, "Who are the real wealth creators?", Fortune Dec 9, 1996, 26-28
6 Stewart G Bennett Ⅲ, "EVA works-But not if you make these common mistakes", Fortune May 1, 1995, 41
7 Martin Justin, "Another GE veteran rides to the rescue", Fortune Dec 29, 1997, 36-37
8 Colvin Goeffrey, "Reality check: Are tech stocks sill insanely valued?", Fortune Nov 13, 2000, 70-74
9 Martin Justin, "Eli Lilly is making shareholders rich. How? By linking pay to EVA", Fortune September, 1996, 52-53
10 Tully Shawn, "America's wealth creators", Fortune Nov 22, 1999, 66-69
11 Rohwer Jim, "The numbers game", Fortune Nov 22, 1999, 54-57
12 Lieber Ronald B, "Stern Stewart and KPMG go to war", Fortune Feb 2, 1998, 44-48
13 Tully Shawn, "America's best wealth creators", Fortune Nov 28, 1994, 82-85
14 Anonymous, "Do you know your EVA?", Fortune May 1, 1995, 22-27
15 Tully Shawn, "America's greatest wealth creators", Fortune Nov 9, 1998, 65-67
16 Useem Jerry, "A manager for all seasons", Fortune Apr 30, 2001, 53
17 James L. Grant, "Foundations of Economic Value Added", New Jersey, John Wiley & Sons, Inc. 2003. 1～311
18 Joel M. Stern, "Earnings Per Share Don't Count", Financial Analyst Journal, July/August, 1974, 86-91
19 James A. Abate, "American Focus Equity Investment Strategy Profile", Global Asset Management, January 2001, 76-79
20 James L. Grant and James A. Abate, "Focus on Value: A Corporate and Investor Guide to Wealth Creation", New York, John Wiley & Sons, Inc. 2001, 23～98
21 Stern Stewart, "About EVA", Working paper, www.sternstewart.com, 2003
22 Stern Stewart, "Becoming an EVA company", Working paper, www.sternstewart.com, 2003
23 Stern Stewart, "EVA companies", Working paper, www.sternstewart.com, 2003
24 Stern Stewart, "EVA in Europe", Working Paper, www.sternstewart.com, 2003
25 James L. Grant, "Foundations of EVA for Investment Managers", Journal of Portfolio Management, Fall 1996, 55-59
26 Al Ehrbar, "EVA: The Real Key to Creating Wealth", New York, John Wiley & Sons, Inc. 1998, 1～67
27 Pablo Fernandez, "Valuation Methods and Shareholder Value Creation", London, UK, Academic Press. 2002, 101-165
28 S. G. Bennett, "The Quest for Value", New York, Harper Business, 1991, 34～65
29 Stern Stewart, "Research the Equity Risk Measurement Handbook", EVAluation, 2001, 3(3), 1～7
30 Peter Keen, "Economic Value-Add(EVA)", Working paper, www.peterkeen.com. 1999
31 William F. Sharpe, Gordon J. Alexander and Jeffery V. Bailey, "Investments", US, Prentice Hall, Inc. 1995, 108～139
32 Mark Grinblatt and Sheridan Titman, "Financial Markets and Corporate Strategy", US, McGraw-Hill Companies, Inc. 1997, 130～175
33 Aswath Damodaran, "Security Analysis for Investment and Corporate Fiance", New York, John Wiley & Sons, Inc. 1994, 1～30
34 John C. Hull, "Options, Futures, and Other Derivatives", US, Prentice Hall, Inc. 1989, 168～218
35 Kenneth C. Yook and George M. McCabe, "An Examination of MVA in the Cross-Section of Expected Stock Returns", Journal of Portfolio Management, Spring 2001, 68-71
36 Myron J.Gordon, "The Investment, Financing, and Valuation of the Corporation", Homewood IL, Irwin, 1962, 2～31
37 Xavier Adsera & Pere Vinolas, "FEVA: A Financial and Economic Approach to Valuation", Financial Analysts Journal, March/April 2003, 89-94
38 Copeland, Tom, Tim Koller and Jack Murrin, "Valuation: Measuring and Managing the Value of Companies", New York, John Wiley & Sons, 1990, 56～78
39 Charlottesville V. A, "Franchise Value and the Price/Earnings ratio", Research Foundation of the Institute of Chartered Financial Analysts, 1994, 89-92
40 杜胜利．基于价值的管理—经济增加值(EVA)．中华财会网(www.e521.com)2001-12-30
41 闫康，苗荣祥．经济附加值在管理层激励中的应用及其优势．www.chinahrd.net．2003
42 黄奕林，饶刚，孟军，易林明，陆成来．创业板市场新股发行定价模型之—经济附加值(EVA)定价法．www.stock2000.com.cn，2003
43 冷洪川．一种新的价值评估标准——经济增加值(EVA)．www.szsmart.com．2003