剩余收益模型及其在中国的应用
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摘要
权益估值是一个重大的理论问题。全球股市的飞速发展和急剧膨胀使得资产泡沫化趋势加剧,对于泡沫的解释和研究成为新世纪金融理论研究的迫切任务。权益估值是股市泡沫研究的开端和重要组成部分。只有准确度量了权益的价值,泡沫研究才能付诸实施。
权益估值研究可以减少股市波动,降低金融风险。经济管理者制定金融政策时,必须了解股市的估值水平,避免制定了错误的政策,推波助澜,加剧金融风险。权益估值是投资者打开成功之门的钥匙。贪婪和恐惧是股市投资的天敌。机构投资者的羊群效应、个人投资者的追涨杀跌都是贪婪和恐惧的直接体现。告别贪婪和恐惧的最好办法是直接计算出股票的价值,坚持价值投资,在市场价格高于价值时卖出股票,在市场价格低于价值时买入股票。权益估值是股市投资成功的第一步,也是最关键的一步。
传统的权益估值方法有红利贴现模型、现金流贴现模型等。这两个估值模型存在着三个致命的缺陷。第一,这两个估值模型使用的数据都是未来值,人们实际估值时需要预测企业未来的经营状况和经营数据。在不确定性条件下,我们很难准确估计出企业未来的经营情况,估值误差通常很大。第二,这两个估值模型中都存在无穷求和公式。无穷求和公式的存在使得经典的计量经济学方法不能直接用来检验模型的真伪;同时,人们计算股票价值时必须选择一个截断面,形成截断误差。第三,这两个估值模型使用的估值信息太少,没有充分利用会计报表中的数据。现代会计信息观研究发现,净资产、每股盈余、会计应计项等都含有大量有用的估值信息。如何将这些会计数据整合到权益估值模型中?
会计学家Ohlson提出的现代剩余收益模型克服了红利贴现模型和现金流贴现模型的上述三个缺陷。剩余收益,英文名称为Residual Income(简称RI,下文所有的简写RI都表示剩余收益),指的是企业盈余减去正常的资本成本后的剩余值。剩余收益=企业盈余-企业的资本成本。剩余收益模型指的是通过会计净资产和剩余收益来度量股票价值的权益估值模型。剩余收益模型可以表示成:股票价值=会计净资产+剩余收益的现值和。Ohlson认为,实际经济活动中,由于市场竞争的存在,企业的剩余收益遵循均值回复过程,企业不可能长久地获得超过市场平均水平的收益。Ohlson将这个思想表述成线性信息动态化假定,即剩余收益等于自身滞后项和其他非会计信息变量v的和。通过数学变换,股票价值最终可以表示成会计净资产、当期剩余收益和非会计信息变量v的代数和。
本文使用我国的数据检验了Ohlson提出的线性信息动态化假定和现代剩余收益模型。我们比较了五种剩余收益线性信息动态化假定的区别,研究了资本成本的不同对剩余收益线性信息动态化假定的影响;比较了五种现代剩余收益模型对股票价格解释能力的差异以及现代剩余收益模型和盈余资本化模型、现金流贴现模型对股票价格解释能力的差异;研究了现代剩余收益模型和盈余资本化模型、现金流贴现模型对股票未来收益预测能力的差异和现代剩余收益模型与市盈率、市净率、市销率等相对价值指标对股票未来收益预测能力的不同。
实证研究发现,剩余收益除了和自己的滞后项有关外,还和净资产的滞后项有关;这表明我国的会计政策整体上符合Ohlson的稳健性假定。但是剩余收益服从AR2过程的假定未通过实证检验,AR2过程中的二阶滞后项回归系数统计上不显著。分析表明,资本成本对剩余收益模型有很大影响,在检验剩余收益线性信息动态化假定时,必须考虑各个公司资本成本的差异。
实际检验发现,包含净资产的线性信息动态化假定推导出的剩余收益模型对股票价格的解释能力超过不包含净资产的线性信息动态化假定推导出的剩余收益模型;通过AR2过程推导出的现代剩余收益模型其对股票价格的解释能力非常差,估值误差很大。同时,现代剩余收益模型对股票价格的解释能力超过盈余资本化模型、现金流贴现模型;当我们延长现金流增长的持续时间时,现金流贴现模型的估值误差会减小。
中国市场数据的实证结果表明,现代剩余收益模型的预测区分度、预测稳定性远高于盈余资本化模型、股权自由现金流贴现模型。相对于现代剩余收益模型来说,市盈率、市净率、市销率等相对价值指标的预测能力容易受到极端值的影响。在行业内,市盈率指标更象是一个反向指标,现在市盈率高的股票平均意义上未来收益低,现在市盈率低的股票未来平均收益高。市销率能够挑选出极端优秀和极端劣质的公司,但是预测的稳定性和区分度都很低,不适宜于单独作为股票未来收益的预测指标。市净率指标预测稳定性较高,但是预测区分度低,通过市净率战略获得的套利收益较剩余收益模型低。
Equity Valuation is a major theoretical issue. Global stock markets’rapid development and expansion intensified the asset bubble. The explanation and research for the bubble is an urgent task. Equity valuation is the beginning and major component of stock’s bubble research. After accurately measuring the equity value, bubble research could be implemented.
Equity valuation is the stock market’s micro-foundation, which could reduce the stock market’s fluctuations and the financial risk. The economic managers may execute appropriate policy to screed the stock market’s fluctuations after measuring the stock’s value correctly. Otherwise, the managers would execute the inappropriate policy, and which would intensify the stock market’s fluctuation, strengthen the financial risk, and lead to a financial crisis and an economic recession. Equity valuation is the investor’s key to open the door of success. Greed and fear is the natural enemy of the stock market investment. Institutional investors’herding, individual investors’buying rising and selling falling is the most direct embodiment of greed and fear. The best way to overcome greed and fear is to calculate the value of the stock, persist on value investment, and sell when the market price is higher than the value of the stock, buy at prices below market value. Equity valuation is the first step to successful investment, is also the most crucial step.
There are two traditional equity valuation methods, dividend discount model and cash flow discount model. They have three fatal flaws. First, they use the future data, which need the forecast. In conditions of uncertainty, we can not accurately estimate the future operation of the enterprise, usually a wide valuation error. Secondly, there are sum formula for endless peace in the two valuation models, which lead us can’t directly testing the model by econometrics, meanwhile, would form truncation error. Thirdly, the two models fail to make full use of accounting data and enough information. Modern Accounting Information View found that the net assets per share, accounting surplus and count items contain a wealth of useful information. How do we have these accounting data to integrate equity valuation?
Ohlson, accountant scientist, had the residual income model, and overcame the defects of dividend discount model and cash flow model. Residual income refers to the difference accounting earning and normal cost of capital. Residual Income = Earnings-the cost of capital. Residual income model refers to measuring the equity value by adding up the net assets and residual income. Ohlson thought that residual income was mean return, and enterprise couldn’t make excess profit for ever because of the market competition. Ohlson had the idea into the hypothesis of linear information dynamic, and the residual income is the sum of its lag items and non-accounting information variable. Through mathematical transform, stock values could be expressed as a sum of accounting net assets, the remaining residual income and non-accounting information variable v.
The dissertation tested the Ohlson’s linear information dynamics and residual income model by our national data. We tested the five remaining proceeds of linear information dynamics, and studied the cost of capital’s effect to linear information dynamics. We compared the explaining ability of five residual income models and the difference of between residual income model and earning capitalization model, cash flow model, and compared the difference of residual income model and the rate of price-earning, price-book value and price-sale.
Our empirical results showed that the residual income was affected by the book value’s lag items except for its lag items and that our accounting policies are stable as to Ohlson’s hypothesis. And our data didn’t support the assumption that residual income proceeds AR2 process. It, AR2 items’regression coefficient, is statistically insignificant. Our analysis showed that the cost of capital has a great impact on the residual income model. So we must consider the cost of capital’s difference when we test the linear information dynamics.
We found that the residual income model derived from linear information dynamics including net assets exceed the residual income model derived from linear information dynamics including no net assets on the explaining stock price’s ability. And the error is great, the explaining ability is poor when we get the residual income model through the residual income’s AR2 process. Meanwhile, we found that the residual income model exceed the earning capitalization model and cash flow model on the explaining ability to stock price, and the error would reduce when we lengthen the duration of cash flow growth.
Our data results showed that the distinction ability and stability of residual income model was far higher than earnings capitalization model and cash flow model. The predicting stability would be vulnerable to extreme values for the rate of price- earning, price-book value and price-sale comparative to residual income model. In industry, the rate of price-earning looked more like a reverse indicator, the income was low when the nowadays average price-earnings ratio was high and the income was high when nowadays low. The rate of price-sale quantity could find out the extremist outstanding and poor company, but the rate was not stable and useful, so it was not appropriate that using the rate lonely. The rate of price-book vale could forecast the future income stably, but the distinction was low, we could get less arbitrage through the price-book rate than through the residual income model.
权益估值研究可以减少股市波动,降低金融风险。经济管理者制定金融政策时,必须了解股市的估值水平,避免制定了错误的政策,推波助澜,加剧金融风险。权益估值是投资者打开成功之门的钥匙。贪婪和恐惧是股市投资的天敌。机构投资者的羊群效应、个人投资者的追涨杀跌都是贪婪和恐惧的直接体现。告别贪婪和恐惧的最好办法是直接计算出股票的价值,坚持价值投资,在市场价格高于价值时卖出股票,在市场价格低于价值时买入股票。权益估值是股市投资成功的第一步,也是最关键的一步。
传统的权益估值方法有红利贴现模型、现金流贴现模型等。这两个估值模型存在着三个致命的缺陷。第一,这两个估值模型使用的数据都是未来值,人们实际估值时需要预测企业未来的经营状况和经营数据。在不确定性条件下,我们很难准确估计出企业未来的经营情况,估值误差通常很大。第二,这两个估值模型中都存在无穷求和公式。无穷求和公式的存在使得经典的计量经济学方法不能直接用来检验模型的真伪;同时,人们计算股票价值时必须选择一个截断面,形成截断误差。第三,这两个估值模型使用的估值信息太少,没有充分利用会计报表中的数据。现代会计信息观研究发现,净资产、每股盈余、会计应计项等都含有大量有用的估值信息。如何将这些会计数据整合到权益估值模型中?
会计学家Ohlson提出的现代剩余收益模型克服了红利贴现模型和现金流贴现模型的上述三个缺陷。剩余收益,英文名称为Residual Income(简称RI,下文所有的简写RI都表示剩余收益),指的是企业盈余减去正常的资本成本后的剩余值。剩余收益=企业盈余-企业的资本成本。剩余收益模型指的是通过会计净资产和剩余收益来度量股票价值的权益估值模型。剩余收益模型可以表示成:股票价值=会计净资产+剩余收益的现值和。Ohlson认为,实际经济活动中,由于市场竞争的存在,企业的剩余收益遵循均值回复过程,企业不可能长久地获得超过市场平均水平的收益。Ohlson将这个思想表述成线性信息动态化假定,即剩余收益等于自身滞后项和其他非会计信息变量v的和。通过数学变换,股票价值最终可以表示成会计净资产、当期剩余收益和非会计信息变量v的代数和。
本文使用我国的数据检验了Ohlson提出的线性信息动态化假定和现代剩余收益模型。我们比较了五种剩余收益线性信息动态化假定的区别,研究了资本成本的不同对剩余收益线性信息动态化假定的影响;比较了五种现代剩余收益模型对股票价格解释能力的差异以及现代剩余收益模型和盈余资本化模型、现金流贴现模型对股票价格解释能力的差异;研究了现代剩余收益模型和盈余资本化模型、现金流贴现模型对股票未来收益预测能力的差异和现代剩余收益模型与市盈率、市净率、市销率等相对价值指标对股票未来收益预测能力的不同。
实证研究发现,剩余收益除了和自己的滞后项有关外,还和净资产的滞后项有关;这表明我国的会计政策整体上符合Ohlson的稳健性假定。但是剩余收益服从AR2过程的假定未通过实证检验,AR2过程中的二阶滞后项回归系数统计上不显著。分析表明,资本成本对剩余收益模型有很大影响,在检验剩余收益线性信息动态化假定时,必须考虑各个公司资本成本的差异。
实际检验发现,包含净资产的线性信息动态化假定推导出的剩余收益模型对股票价格的解释能力超过不包含净资产的线性信息动态化假定推导出的剩余收益模型;通过AR2过程推导出的现代剩余收益模型其对股票价格的解释能力非常差,估值误差很大。同时,现代剩余收益模型对股票价格的解释能力超过盈余资本化模型、现金流贴现模型;当我们延长现金流增长的持续时间时,现金流贴现模型的估值误差会减小。
中国市场数据的实证结果表明,现代剩余收益模型的预测区分度、预测稳定性远高于盈余资本化模型、股权自由现金流贴现模型。相对于现代剩余收益模型来说,市盈率、市净率、市销率等相对价值指标的预测能力容易受到极端值的影响。在行业内,市盈率指标更象是一个反向指标,现在市盈率高的股票平均意义上未来收益低,现在市盈率低的股票未来平均收益高。市销率能够挑选出极端优秀和极端劣质的公司,但是预测的稳定性和区分度都很低,不适宜于单独作为股票未来收益的预测指标。市净率指标预测稳定性较高,但是预测区分度低,通过市净率战略获得的套利收益较剩余收益模型低。
Equity Valuation is a major theoretical issue. Global stock markets’rapid development and expansion intensified the asset bubble. The explanation and research for the bubble is an urgent task. Equity valuation is the beginning and major component of stock’s bubble research. After accurately measuring the equity value, bubble research could be implemented.
Equity valuation is the stock market’s micro-foundation, which could reduce the stock market’s fluctuations and the financial risk. The economic managers may execute appropriate policy to screed the stock market’s fluctuations after measuring the stock’s value correctly. Otherwise, the managers would execute the inappropriate policy, and which would intensify the stock market’s fluctuation, strengthen the financial risk, and lead to a financial crisis and an economic recession. Equity valuation is the investor’s key to open the door of success. Greed and fear is the natural enemy of the stock market investment. Institutional investors’herding, individual investors’buying rising and selling falling is the most direct embodiment of greed and fear. The best way to overcome greed and fear is to calculate the value of the stock, persist on value investment, and sell when the market price is higher than the value of the stock, buy at prices below market value. Equity valuation is the first step to successful investment, is also the most crucial step.
There are two traditional equity valuation methods, dividend discount model and cash flow discount model. They have three fatal flaws. First, they use the future data, which need the forecast. In conditions of uncertainty, we can not accurately estimate the future operation of the enterprise, usually a wide valuation error. Secondly, there are sum formula for endless peace in the two valuation models, which lead us can’t directly testing the model by econometrics, meanwhile, would form truncation error. Thirdly, the two models fail to make full use of accounting data and enough information. Modern Accounting Information View found that the net assets per share, accounting surplus and count items contain a wealth of useful information. How do we have these accounting data to integrate equity valuation?
Ohlson, accountant scientist, had the residual income model, and overcame the defects of dividend discount model and cash flow model. Residual income refers to the difference accounting earning and normal cost of capital. Residual Income = Earnings-the cost of capital. Residual income model refers to measuring the equity value by adding up the net assets and residual income. Ohlson thought that residual income was mean return, and enterprise couldn’t make excess profit for ever because of the market competition. Ohlson had the idea into the hypothesis of linear information dynamic, and the residual income is the sum of its lag items and non-accounting information variable. Through mathematical transform, stock values could be expressed as a sum of accounting net assets, the remaining residual income and non-accounting information variable v.
The dissertation tested the Ohlson’s linear information dynamics and residual income model by our national data. We tested the five remaining proceeds of linear information dynamics, and studied the cost of capital’s effect to linear information dynamics. We compared the explaining ability of five residual income models and the difference of between residual income model and earning capitalization model, cash flow model, and compared the difference of residual income model and the rate of price-earning, price-book value and price-sale.
Our empirical results showed that the residual income was affected by the book value’s lag items except for its lag items and that our accounting policies are stable as to Ohlson’s hypothesis. And our data didn’t support the assumption that residual income proceeds AR2 process. It, AR2 items’regression coefficient, is statistically insignificant. Our analysis showed that the cost of capital has a great impact on the residual income model. So we must consider the cost of capital’s difference when we test the linear information dynamics.
We found that the residual income model derived from linear information dynamics including net assets exceed the residual income model derived from linear information dynamics including no net assets on the explaining stock price’s ability. And the error is great, the explaining ability is poor when we get the residual income model through the residual income’s AR2 process. Meanwhile, we found that the residual income model exceed the earning capitalization model and cash flow model on the explaining ability to stock price, and the error would reduce when we lengthen the duration of cash flow growth.
Our data results showed that the distinction ability and stability of residual income model was far higher than earnings capitalization model and cash flow model. The predicting stability would be vulnerable to extreme values for the rate of price- earning, price-book value and price-sale comparative to residual income model. In industry, the rate of price-earning looked more like a reverse indicator, the income was low when the nowadays average price-earnings ratio was high and the income was high when nowadays low. The rate of price-sale quantity could find out the extremist outstanding and poor company, but the rate was not stable and useful, so it was not appropriate that using the rate lonely. The rate of price-book vale could forecast the future income stably, but the distinction was low, we could get less arbitrage through the price-book rate than through the residual income model.
引文
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