剩余收益分析 Implementing Residual Income Valuation With Linear Information Dynamics
论文作者：留学生论文论文属性：thesis登出时间：2010-08-29编辑：vshellyn点击率：125
论文字数：论文编号：org201008292033186402语种：English地区：U.K.价格：$ 120
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关键词：Residual income Valuation, Linear information dynamics Con- servatism
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剩余收益分析 Implementing Residual Income Valuation With Linear Information Dynamics
剩余收益是指投资中心获得的利润，扣减其投资额（或净资产占用额）按规定（或预期）的最低收益率计算的投资收益后的余额。是一个部门的营业利润超过其预期最低收益的部分。即：剩余收益＝部门边际贡献－部门资产应计报酬＝部门边际贡献－部门资产×资本成本
剩余收益指标能够反映投入产出的关系，能避免本位主义，使个别投资中心的利益与整个企业的利益统一起来。
ABSTRACT:
Residual income (RI) valuation is a method of estimating firm value based on expected future accounting numbers. This study documents the necessity of using linear information models (LIMs) of the time series of accounting numbers in valuation. I find that recent studies that make ad hoc modifications to the LIMs contain internal inconsistencies and violate the no arbitrage assumption. I outline a method for modifying the LIMs while pre- serving internal consistency. I also find that when estimated as a time series, the LIMs of OhIson (1995), and Feltham and Ohlson (1995) provide value es- timates no better than book value alone. By comparing the implied price co- efficients to coefficients from a price level regression, I find that the models imply inefficient weightings on the accounting numbers. Furthermore, the me- dian conservatism parameter of Feltham and Ohlson (1995) is significantly negative, contrary to the model's prediction, for even the most conservative firms. To explain these failures, I estimate a LIM from a more carefully modeled accounting system that provides two parameters of conservatism (the income parameter and the book value parameter). However, this model also fails to capture the true stochastic relationship among accounting variables. More complex models tend to provide noisier estimates of firm value than more parsimonious models.
Key Words: Residual income, Valuation, Linear information dynamics, Con- servatism.
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