毕业论文外文翻译-通过比较现金流量和权责发生制模型给股权定价.doc

毕业设计（论文）译文及原稿译文题目：通过比较现金流量和权责发生制模型给股权定价原稿题目：On Comparing Cash Flow and Accrual Accounting ModelsFor Use In Equity Valuation原稿出处：Stephen H Penman.On comparing cash flow and accrual accounting models for use in equity valuation J. Contemporary Accounting Research ,2001,Vol.18(4)：81-692 .浙江工业大学之江学院毕业设计（论文） 外文翻译通过比较现金流量和权责发生制模型给股权定价【摘要】我们普遍认为，无论是现金流量还是权责发生制会计，在给股权定价时评估的价值总是一致的。Lundholm & OKeefe (2001)最近的一份研究报告指出,正因为以上等价理论,定价模型的实证对比研究将变得毫无意义。所以他们并不认同最近的一项研究，这项研究表明，在一定的条件范围内，按权责发生制会计计算的剩余收益模型和收益资本化模型优于现金流或股利折现模型。本文通过举例说明,我们的普遍认为是被误导的。实证研究必然包括建立模型，在有限的范围内预测会计数据特别是在对比现金与权责发生制时这些数据在有限的预测范围内与定价相关。事实上，选择定价模型的问题就是指定模拟会计信息的问题。因此，在有限的预测范围内，我们不能忽视会计信息。1. 现金会计，权责发生制会计以及股权的定价Penman & Sougiannis的论文只是简单地阐述了股权定价的观点而不是在讨论储蓄账户。如果当前的财务报告不包含账面价值或收益的话，那么储蓄账户的定价研究会变得更加困难，同样我们也不能很好地分析企业的股权价值。但是，权责发生制会计对于企业来说当然不可能 (不像储蓄帐户那样)是完美的。通用会计准则中指出权责发生制会计比较不利于运作，Penman & Sougiannis的论文也确实验证了这个说法。剩余收益模型是利用账面价值计价这种方法完全适用于储蓄账户对于本案例的估价却不适合账面价值。账面价值分析是本案例的起点，超出剩余账面价值的溢价由预测剩余收益补充。Ohlson 和 Juettner-Nauroth (2001)近期的一篇文章，采取资本化向前的每股收益建立的一个模型非常适合储蓄账户作为股权分析的起点，同时增加了预测异常每股盈余的发展价值。为了说明对储蓄账户的分析方法同样适用于股权这个观点，以Home Depot公司为例，计算财政年度为1997- 2001年的税后营业收入，经营净资产(两者都实施权责发生制)，自由现金流量，股利支付净额，Home Depot公司： 百万美元年份 1997 1998 1999 2000 2001营业收入 (OI) 941 1,129 1,585 2,323 2,565经营净资产(NOA) 6,722 8,333 10,248 12,993 16,419自由现金流量(OI NOA) (149) (482) (330) (422) (861)股利支付 110 139 168 255 371市场发行 104 122 167 267 351股利支付净额 4 17 1 (12) 20 OI和NOA数据来自重新计算过的报表，自由现金流量经推导计算而得，并非来自现金流量表。见Penman (2001，第9，10章)。红利和分配发行的数据来自Home Depot公司的现金流量表。无论是在财务报表分析还是在价值评估的课程上，Home Depot公司的案例都经常被引应用。Lundholm & OKeefe也曾用过该公司的数据来阐述他们的观点。我尝试着做一个预测，首先假设在财政年度1996年的年末，提供一套五年内（1997-2001）的模拟数据，确保是实际报表中的数据。再次假设，按权责发生制会计计算的数据（预测营业收入和经营净流量）和按现金流量表计算的数据，两组数据我们必须选择其中之一做研究。如果是对储蓄账户的分析，那我们是可以做出明确的选择的。我们可以通过模拟数据中的经营净资产指标计算出自由现金流量，但非反之亦然。然而，为了计算2001年年末的一个持续价值，负自由现金流量的预测将遇到一个极其困难的问题。这些年来股利净额接近于零，就像储蓄账户不能提款一样。就目前的目的而言，通用会计准则中的权责发生制会计可能不是最好的权责发生制会计，但营业收入的预测是可取的，同样在合理预算资本成本的情况下，剩余收益的预测也是可取的。所以持续价值小于100%的原本价值，即不等于按贴现现金净流量计算的值。在有限的预测范围内比较估价的百分数时，Francis，Olsson以及Oswald都认可这一观点。Home Depot公司是说明这一观点的特别案例。在某些情况下，对于同样的预测层面选择两个不同的模型也会得出同样的估计价值，正如Penman（1997）在等价中的阐述。参见Penman2001，章19，附录。Lundholm & OKeefe在广义稳态中有个像这样的实例。2. 支持权责发生制会计的观点我已经提出了关于实际应用的问题，但也包括概念的问题。为什么在基于有限的层面预测股利和现金流量会遇到困难？Miller & Modigliani的讨论说明了股息支付净现值是零的原因(税务问题暂且不谈)。但自由现金流量也遭遇到了概念性的问题。自由现金流量当然也就是营运现金流减去现金投资。营运现金被看作是一个正的评价指标。如果投资的净现值为正，现金投入也会是一个正的评价指标，但投资会减少自由现金流量。当公司为了增值去投资而造成自由现金流量的减少时，自由现金流量会是一个有偏差的评价指标。自由现金流量是一个部分清算的概念，清算投资为公司增加现金流量。通过以上所有的说明(包括收入相对的账面价值)，Home Depot公司可以为股东增加价值，但会产生负的自由现金流动。当然，增值投资预计最终将会导致正的自由现金流，但是预测者必须扩大预测层面，使其长期占有现金流量。面对Home Depot公司的情况，我们可以理解从事现金净流量分析的人员在计算公司持续价值时使用营业收入而不是自由现金流量的行为。Copeland, Koller & Murrin (2000)，在明确“现金为王”的观点之后，却也同意以上分析员的行为(他们称营业收入NOPLAT为减去税收调整后的营业净利润)。但是正如Penman (1997)所说，引入营业收入来衡量持续价值，模型将会转换为权责发生制会计模型。现金为王，意思是说投资者最终寻找的是正现金流量，然而近期的现金流量不能完全作为长期现金流量的指标。对于现金投资来说，权责发生制会计至少在原则上不同于收付实现制会计。权责发生制下营业收入是，营业收入=自由现金流量+现金投资+应计项目。如果要在权责发生制会计下计算营业收入，那么增加过去的投资会造成自由现金流量的下降。除此之外，我们发现应计项目下的价值流量 (如应收账款)和之前提到的自由现金流量不是同一个时期的现金流。权责发生制会计以股票投资的价值登记在资产负债表中(而不是现金流)，同时认为在资产负债表中的应计项目，比如：经营净资产的变化=现金投资+应计项目虽然这个公式只是会计101的做法，但是它好在能够提醒我们权责发生制会计是如何核算评估企业的实际业务。投资要记在资产负债表而不是利润表中，而且应计项目(改变了现金流量的时间)也要一并计入资产负债表。对于权责发生制会计能够帮助我们估值定价这个想法，Lundholm & OKeefe说“这就是我们想要反驳的错误想法。”储蓄账户和Home Depot公司的例子表明，权责发生制会计的时间观念并不是错误的。(事实上，Lundholm & OKeefe否认了以上论断，他们证明预测的账面价值和短期收入等同于预期的无限制的股息。) 有这样一个实际问题，一个会计公正地记录应计退休金负债，另一个会计预测现金退休金30年后的收益(或者为了稳态需要更长时间)，分析师不是更愿意选择前者？ Penman & Sougiannis明确地看待应计项目的作用，他们的研究结果表明答案是肯定的，选择前者。 当然退休金负债的报出不可能完全是公正的，从更一般的意义上讲，现在存在问题的是权责发生制会计的质量难以保证。正是这一原因，这三篇实证论文研究了通用会计原则存在的缺点和不足分。事实上，Penman & Sougiannis表明当通用会计原则更接近现金会计的时候，基于通用会计原则建立的估价模型在有限的研究范围内是不准确的(就像研究和发展投资一样)。3. 实证研究中的误差对于这些相互矛盾的实证研究，Lundholm & OKeefe归纳了出以下三个“误差”：“预测不一致的误差”，“折现率不一致的误差”，“忽视现金流量的误差。”他们指出预测不一致而造成误差的观点是正确的。Penman & Sougiannis在方程10中指出，当持续价值在T层面上时，预测计算持续价值时增长率应该采用T + 1。此外，给出一系列完整的模拟数据，其中会计关系意味着使用不同模型计算的持续价值是一致的，在这些模型中的会计数据和会计关系是密不可分的关系。我们一直认为这个观点能很好地在实际中应用，却对实证研究造成了误导。Lundholm & OKeefe认为广义稳态需要考虑需求模型的一致性。这两点请参照以上第二章第三点(关于一系列完整的模拟财务报表)、储蓄帐户和Home Depot公司的例子来看，另外此观点是以模拟为条件，不同于广义稳态和寄给笔者、Sougiannis的会计问题。 Lundholm & OKeefe认为折现率适用于标准型公司有关资本成本的金融理论。不幸地是，尽管理论研究十分先进，却很难理解有效的资本成本的估计。以会计为基础的定价研究是创新的，因为它侧重于报酬的说明和预测，而不是报酬的贴现(或者学生称之为“打击”)。在我看来，预测报酬是第一阶段。对于主要成本不可知所采取的措施，Penman & Sougiannis应用标准技术，一个普通的权宜之计来进行实证分析，考察结果的敏感性来轮流估计。然而，他们不会像理论指示的那样为预测资本成本的变化作调整。但是他们得出的结论能被解释为改进报酬的贴现确实令人费解。我们需要观点支撑。经验主义者认为合理的交易应面对计量问题，评论家有责任说明不同的决策会造成结果的改变。把Penman & Sougiannis的论文分成几部分来看，一部分是会计报酬之间的区别，一部分是第一阶段的问题，由于风险评估的存在每部分结果都(在我的脑海里)不能完全让人相信。忽视现金流的误差是一种保持以净盈余进行会计核算的行为，这种行为将财务报表的数据用经营和筹资活动的形式表达。这些问题在评估公司价值时十分重要。但是根据美国通用会计原则，大多数非净盈余计算下的利润项目期望值为零。此外，还有些误差是对实证研究的结果解释不合理造成的。4. 结论Lundholm & OKeefe在他们论文的最后提出了以下建议：对于定价的研究，我们应该花时间在如何更精准地预测财务数据上，而不是在计算价值流量的折现上。我不完全同意他们的看法。定价模型需要有详细的会计报酬信息。Lundholm & OKeefe无意中向我们透露了他们的想法，他们怀疑不精确的会计信息使得会计研究人员降低了研究工作的效率。我在这里提出的观点更正面些，我认为就定价的目的而言应该考虑什么是有用的会计信息。Lundholm & OKeefe不认同的这篇实证论文证明，通用会计原则下的权责发生制会计比起现金会计具有多优势。但是通用会计原则的解释可能不标准。为了得出这一结论，在Penman & Sougiannis (1998)的案例里，验证了通用会计准则解释的相对优劣。许多会计问题依旧存在，包括无形资产的会计处理,对股票报酬的会计处理（通用会计准则处理的不好），通用会计准则报出的透明度，通用会计准则报出的收入质量，还有具有相关性和可靠性之间的交易。这些问题都会在实证分析设计中被解决。研究工作需要更多的理论支撑。但是除了净盈余会计（Ohlson1995）和股息置换所有权（Penman & Sougiannis 1997，在通用会计原则中有明显的解释）之外，其他实证研究的文章并没有给出依据会计原则的理论支撑。绩效评价理论(例如见Dutta & Reichelstein1999)中有对权责发生制会计原则的研究，还有一些评估定价的文章也描述了权责发生制系统的特征(例如见Feltham & Ohlson 1995，Ohlson & Zhang 1998)，但是我们还有大量的研究工作需要做。On Comparing Cash Flow and Accrual Accounting ModelsFor Use In Equity Valuation【Abstract】 A claim is commonly made that cash flow and accrual accounting methods for valuing equities must always yield equivalent valuations. A recent paper by Lundholm and OKeefe (2001), for example, claims that, because of this equivalence, there is nothing to be learned from empirical comparison of valuation models. So they dismiss recent research that has shown that accrual accounting residual income models and earnings capitalization models perform, over a range of conditions, better than cash flow or dividend discount models. This paper demonstrates, with examples, that the claim is misguided. Practice inevitably involves forecasting over finite, truncated horizons and the accounting specified in a model cash versus accrual accounting in particular is pertinent to valuation with finite horizon forecasting. Indeed, the issue of choosing a valuation model is an issue of specifying pro forma accounting, and so, for finite horizon forecasts, one cannot be indifferent to the accounting.1.Cash Accounting and Accrual Accounting and the Valuation of EquitiesThe Penman and Sougiannis paper is simply a demonstration of these points for the valuation of equities rather than the savings account. With an appreciation of the difficulties of valuing a savings account without a report containing book value or earnings, there is little to be added as insight when moving to business firms and equities. Except, of course, that the accrual accounting for business firms might not (unlike the saving account) be perfect (and usually is not). Indeed, the Penman and Sougiannis paper identifies situations where GAAP accrual accounting works relatively poorly. The residual income model adapts the valuation from book value that works perfectly for a savings account to the case where value is not equal to book value. Book value is the starting point, but a premium over book value is added by forecasting residual income.The recent paper by Ohlson and Juettner-Nauroth (2001) presents a model that takes capitalized forward earnings per share that works perfectly for a savings account as a starting point for equities, and adds value by forecasting abnormal earnings-per-share growth.To be persuaded that the points made for the savings account apply to equities, consider the numbers for after-tax operating income, net operating assets (both accrual measures), free cash flows, and net dividends for Home Depot for fiscal years, 1997 2001 (in millions of dollars):Home Depot Inc.Year 1997 1998 1999 2000 2001Operating income (OI) 941 1,129 1,585 2,323 2,565Net operating assets (NOA) 6,722 8,333 10,248 12,993 16,419Free cash flow (OI - NOA) (149) (482) (330) (422) (861)Dividends paid 110 139 168 255 371Share issues 104 122 167 267 351Net dividends paid 4 17 1 (12) 20OI and NOA numbers are from reformulated statements, and free cash flow is calculated by deduction rather than from cash flow statements. See Penman (2001, Chapters 9 and 10). Dividend and share issue numbers are from Home Depots cash flow statements.Home Depot is a case commonly used in financial statement analysis and valuation courses. Lundholm and OKeefe use this firm to demonstrate their point. Suppose, however, that one were standing at the end of fiscal year 1996, attempting to make a forecast, and were offered a set of pro forma numbers for the five forward years, 1997-2001 with the guarantee that these numbers would be the actual reported numbers. And suppose one had to choose between the accrual accounting numbers (forecasted operating income and net operating assets) or cash flow numbers. The choice, as with the savings account, is clear. One can calculate free cash flow from forecasts of net operating assets, as indicated in the pro forma, but not vice versa. But the negative free cash flow forecast would pose a particularly difficult problem for calculating a continuing value at the end of 2001. And the net dividend is close to zero for these years, just like the savings accounting with no withdrawals. The GAAP accrual accounting numbers may not be the best accrual accounting for the purpose at hand, but operating income is forecasted to be positive, as is residual income under any reasonable estimate of the cost of capital. So the continuing value is less than 100% of the value, unlike that for discounting free cash flows. It is this point that Francis, Olsson and Oswald make when comparing the percentage of the valuation that is captured by finite horizon forecasts. Home Depot is a particular case to illustrate a point. There are cases where alternative models will give the same valuation for the same forecast horizon, as laid out in the equivalences in Penman (1997). See also Penman 2001, Chapter 19, appendix. Indeed the case of generalized steady state to which Lundholm and OKeefe restrict themselves is one such case.2. The Concepts Behind Accrual AccountingI have couched the issue as a matter of practical application. But conceptual issues are also involved. Why is it that difficulties arise in forecasting dividends and cash flows over finite horizons? Miller and Modigliani make the arguments as to why paying dividends is a zero net present value activity (tax issues aside). But free cash flow also suffers from conceptual problems. Free cash flow is, of course, cash flow from operations minus cash investment. Cash from operations is viewed as a positive valuation attribute.Cash investment is also a positive valuation attribute if the investment is positive net present value, yet investment reduces free cash flow. Free cash flow is a perverse valuation attribute, for firms reduce free cash flow when they invest to add value. Free cash flow is partially a liquidation concept, for firms increase cash flow by liquidating investments. Home Depot is, by all indications (including earnings relative to book value), a firm that has added value for shareholders, but it generates negative free cash flow. Of course, value-adding investment is expected to deliver positive free cash flow ultimately, but a forecaster must extend the forecast horizon to the long run to capture that flow.It is understandable, then, that practitioners of discounted cash flow analysis, faced with the Home Depot situation, use operating income rather than free cash flows in continuing value calculations. Copeland, Koller, and Murrin (2000), after declaring that “cash is king,” do so (they call operating income NOPLAT, net operating profits less adjusted taxes). But, as demonstrated in Penman (1997), introduction of operating income into a continuing value converts the model to an accrual accounting model. Cash is king in the sense that investors look for positive cash flows ultimately, but near-term cash flows may not be a good indicator of the long-term cash flows. Accrual accounting, as least in principle, treats cash investment differently from cash accounting. Operating income under accrual accounting is,Operating Income = Free cash flow + Cash Investment + Accruals.The flow measure in accrual accounting, income, adds back investment to the troubling free cash flow and, in addition, recognizes accruals for value flows (like receivables) for which there is not a contemporaneous cash flow. Correspondingly, accrual accounting books the investment as a stock of value in the balance sheet (rather than a flow) and also recognizes the accruals in the balance sheet, such thatChanges in Net Operating Assets = Cash Investment + AccrualsThis formulation, of course, is just Accounting 101, but it is good to remind ourselves what the accrual accounting is doing for the practical task of valuing firms. Not only are investments in the balance sheet rather than the income statement, but accruals (which change the timing of cash flows) are also incorporated. Lundholm and OKeefe say that the idea that accrual accounting assists in valuation by bringing the recognition of value forward in time is a “misconception we want to refute.” The savings account and Home Depot examples would suggest that this timing notion of accrual accounting is not misconceived. (Indeed, Lundholm and OKeefes demonstration that forecasted book value and earnings in the short term can equate expected infinite-horizon dividends negates their assertion.) Surely an analyst prefers, as a practical matter, an accounting that records an unbiased accrued pension liability rather than an accounting that requires forecasting cash pension benefits 30 years hence (or longer for steady state)? Penman and Sougiannis look explicitly at the effect of accruals and their findings indicate that the answer is yes.Of course reported pension liabilities may not be unbiased and, more generally, there is a question of the quality of accrual accounting. It is for this reason that GAAP accounting, because of its warts and all,