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1、财务报表分析外文文献及翻译财务报表分析外文文献及翻译Review of accounting studies,2003,16(8):531-560Financial Statement Analysis of Leverage and How It Informs About Protability and Price-to-Book RatiosDoron Nissim, Stephen. PenmanAbstractThis paper presents a nancial statement analysis that distinguishes leverage that arises

2、 in nancing activities from leverage that arisesin operations. The analysis yields two leveraging equations, one for borrowing to nance operations and one for borrowing in the course of operations. These leveraging equations describe how the two types of leverage affect book rates of return on equit

3、y. An empirical analysis shows that the nancial statement analysis explains cross-sectional differences in current and future rates of return as wellas price-to-book ratios, which are based on expected rates of return on equity. The paper therefore concludes that balance sheet line items for operati

4、ng liabilities are priced differently than those dealing with nancing liabilities. Accordingly, nancial statement analysis that distinguishes the two types of liabilities informs on future protability and aids in the evaluation of appropriate price-to-book ratios.Keywords: financing leverage; operat

5、ing liability leverage; rate of return on equity; price-to-book ratioLeverage is traditionally viewed as arising from nancing activities: Firms borrow toraise cash for operations. This paper shows that, for the purposes of analyzing protability and valuing rms, two types of leverage are relevant, on

6、e indeed arising from nancing activities but another from operating activities. The paper supplies anancial statement analysis of the two types of leverage that explains differences in shareholder protability and price-to-book ratios.The standard measure of leverage is total liabilities to equity. H

7、owever, while some liabilitieslike bank loans and bonds issued are due to nancing, other liabilities like trade payables, deferred revenues, and pension liabilitiesresult from transactions with suppliers, customers and employees in conducting operations. Financing liabilities are typically traded in

8、 well-functioning capital markets where issuers are price takers. In contrast, rms are able to add value in operations because operations involve trading in input and output markets that are less perfect than capital markets. So, with equity valuation in mind, there are a priori reasons for viewing

9、operating liabilities differently from liabilities that arise in nancing.Our research asks whether a dollar of operating liabilities on the balance sheet is priced differently from a dollar of nancing liabilities. As operating and nancing liabilities are components of the book value of equity, the q

10、uestion is equivalent to asking whether price-to-book ratios depend on the composition of book values. The price-to-book ratio is determined by the expected rate of return on the book value so, if components of book value command different price premiums, they must imply different expected rates of

11、return on book value. Accordingly, the paper also investigates whether the two types of liabilities are associated with differences in future book rates of return.Standard nancial statement analysis distinguishes shareholder protability that arises from财务报表分析外文文献及翻译operations from that which ar ises

12、 from borrowing to nance operations. So, return on assets is distinguished from return on equity, with the difference attributed to leverage. However, in the standard analysis, operating liabilities are not distinguished from nancing liabilities. The refore, to develop the specications for the empir

13、ical analysis, the paper presents a nancial statement analysis that identies the effects of operating and nancing liabilities on rates of return on book valueand so on price-to-book ratioswith explicit leveraging equations that explain when leverage from each type of liability is favorable or unfavo

14、rable.The empirical results in the paper show that nancial statement analysis thatdistinguishesleverageinoperationsfromleverageinnancingalsodistinguishesdifferencesin contemporaneous and future protability among rms. Leverage from operating liabilities typically levers protability more than nancing

15、leverage and has a higher frequency of favorable effects.Accordingly, for a given total leverage from both sources, rms with higher leverage from operations have higher price-to-book ratios, on average. Additionally, distinction between contractual and estimated operating liabilities explains furthe

16、r differences in rms protability and their price-to-book ratios.Our results are of consequence to an analyst who wishes to forecast earnings and book rates of return to value rms. Those forecasts and valuations derived from them depend, we show, on the composition of liabilities. The nancial statem

17、ent analysis of the paper, supported by the empirical results, shows how to exploit information in the balance sheet for forecasting and valuation.The paper proceeds as follows. Section 1 outlines the nancial statements analysis that identies the two types of leverage and lays out expressions that t

18、ie leverage measures to protability. Section 2 links leverage to equity value and price-to-book ratios. The empirical analysis is in Section 3, with conclusions summarized in Section 4.1. Financial Statement Analysis of LeverageThe following nancial statement analysis separates the effects of nancin

19、g liabilities and operating liabilities on the protability of shareholders equity. The analysis yields explicit leveraging equations from which the specications for the empirical analysis are developed. Shareholder protability, return on common equity, is measured asReturn on common equity (ROCE) =

20、comprehensive net incomceommon equity(1) Leverage affects both the numerator and denominator of thi s protability measure. Appropriate nancial statement analysis disentangles the effects of leverage. The analysis below, which elaborates on parts of Nissim and Penman (2001), begins by identifying com

21、ponents of the balance sheet and income statement that involve operating and nancing activities. The protability due to each activity is then calculated and two types of leverage are introduced to explain both operating and nancing protability and overall shareholder protability.1.1 Distinguishing t

22、he Protability of Operations from the Protability of Financing ActiWith a focus on common equity (so that preferred equity is viewed as a nancial liability),the balance sheet equation can be restated as follows:Common equity =operating assets financial assets operating liabilities Financial liabilit

23、ies(2)The distinction here between operating assets(like trade receivables, inventory andproperty,plant and equipment) and nancial assets (the deposits and marketable securities thatabsorb excess cash) is made in other contexts. However, on the liability side, nancing liabilities are also distinguis

24、hed here from operating liabilities. Rather than treating all liabilities as nancing debt, only liabilities that raise cash for operationslike bank loans, short-term commercial paper and bondsare classied as such. Other liabilitiessuch as accounts payable, accrued expenses, deferred revenue, restruc

25、turing liabilities and pension liabilitiesarise from operations. The distinction is not as simple as current versus long-term liabilities; pension liabilities, for example, are usually long-term, and short-term borrowing is a current liability.Rearranging terms in equation (2),Common equity = (opera

26、ting assets operating liabilities)(financial liabilitiesfinancial assets)Or,Common equity = net operating assetsnet financing debt(3) This equation regroups assets and liabilities into operating and nancing activities. Net operating assets are operating assets less operating liabilities. So a rm mig

27、ht invest in inventories, but to the extent to which the suppliers of those inventories grant credit, the netinvestment in inventories is reduced. Firms pay wages, but to the extent to which the payment of wages is deferred in pension liabilities, the net investment required to run the business is r

28、educed. Net nancing debt is nancing debt (including preferred stock) minus nancial assets. So, a rm may issue bonds to raise cash for operations but may also buy bonds with excess cash from operations. Its net indebtedness is its net position in bonds. Indeed a rm may be a net creditor (with more na

29、ncial assets than nancial liabilities) rather than a net debtor.The income statement can be reformulated to distinguish income that comes from operatingand nancing activities:Comprehensive net income = operating income net financing expense(4)Operating income is produced in operations and net nancia

30、l expense is incurred in the nancing of operations. Interest income on nancial assets is netted against interest expense on nancial liabilities (including preferred dividends) in net nancial expense. If interest income is greater than interest expense, nancing activities produce net nancial income r

31、ather than net nancial expense. Both operating income and net nancial expense (or income) are after tax.3 Equations (3) and (4) produce clean measures of after-tax operating protability and the borrowing rate:Return on net operating assets (RNOA) = operating income net operating assets(5) andNet bor

32、rowing rate (NBR) = net financing expense net financing debt(6)RNOA recognizes that protability must be based on the net assets invested in operations.So rms can increase their operating protability by convincing suppliers, in the course of business, to grant or extend credit terms; credit reduces t

33、he investment that shareholders would otherwise have to put in the business. Correspondingly, the net borrowing rate, by excluding non-interest bearing liabilities from the denominator, gives the appropriate borrowing rate for the nancing activities.Note that RNOA differs from the more common return

34、 on assets (ROA), usually dened as income before after-tax interest expense to total assets. ROA does not distinguish operating and nancing activities appropriately. Unlike ROA, RNOA excludes nancial assets in the denominator and subtracts operating liabilities. Nissim and Penman (2001) report a med

35、ian ROA财务报表分析外文文献及翻译for NYSE and AMEX rms from 19631999 of only 6.8%, but a median RNOA of 10.0%much closer to what one would expect as a return to business operations.1.2 Financial Leverage and its Effect on Shareholder ProtabilityFrom expressions (3) through (6), it is straightforward to demonstra

36、te that ROCE is a weighted average of RNOA and the net borrowing rate, with weights derived from equation (3):ROCE= net operating assets common equity RNOAnet financing debtcommon equity net borrowing rate(7)Additional algebra leads to the following leveraging equation:ROCE = RNOAFLEV ( RNOAnet borr

37、owing rate )(8)where FLEV, the measure of leverage from nancing activities, isFinancing leverage (FLEV) =net financing debt common equity(9)The FLEV measure excludes operating liabilities but includes (as a net against nancing debt) nancial assets. If nancial assets are greater than nancial liabilit

38、ies, FLEV is negative.The leveraging equation (8) works for negative FLEV (in which case the net borrowing rate isthe return on net nancial assets).This analysis breaks shareholder protability, ROCE, down into that which is due to operations and that which is due to nancing. Financial leverage lever

39、s the ROCE over RNOA, with the leverage effect determined by the amount of nancial leverage (FLEV) and the spread between RNOA and the borrowing rate. The spread can be positive (favorable) or negative (unfavorable).1.3 Operating Liability Leverage and its Effect on Operating ProtabilityWhile nancin

40、g debt levers ROCE, operating liabilities lever the protability of operations, RNOA. RNOA is operating income relative to net operating assets, and net operating assets are operating assets minus operating liabilities. So, the more operating liabilities a rm has relative to operating assets, the hig

41、her its RNOA, assuming no effect on operating income in the numerator. The intensity of the use of operating liabilities in the investment base is operating liability leverage:Operating liability leverage (OLLEV) =operating liabilities net operating assets(10) Using operating liabilities to lever th

42、e rate of return from operations may not come for free,however; there may be a numerator effect on operating income. Suppliers provide what nominally may be interest-free credit, but presumably charge for that credit with higher prices for the goods and services supplied. This is the reason why oper

43、ating liabilities are inextricably a part of operations rather than the nancing of operations. The amount that suppliers actually charge for this credit is difcult to identify. But the market borrowing rate is observable. The amount that suppliers would implicitly charge in prices for the credit at

44、this borrowing rate can be estimated as a benchmark:Market interest on operating liabilities= operating liabilitiesmarket borrowing ratewhere the market borrowing rate, given that most credit is short term, can be approximated by the after-tax short-term borrowing rate. This implicit cost is benchma

45、rk, for it is the cost that makes suppliers indifferent in supplying cred suppliers are fully compensated if they charge implicit interest at the costborrowing to supply the credit. Or, alternatively, the rm buying the goods or services is indifferent between trade credit and nancing purchases at th

46、e borrowin rate.To analyze the effect of operating liability leverage on operating protability, we dene: Return on operating assets (ROOA) =(operating incomemarket interest on operatingliabilities)operating assets(11)The numerator of ROOA adjusts operating income for the full implicit cost of trad c

47、redit. If suppliers fully charge the implicit cost of credit, ROOA is the return of operating assets that would be earned had the rm no operating liability leverage. suppliers do not fully charge for the credit, ROOA measures the return fro operations that includes the favorable implicit credit term

48、s from suppliers.Similar to the leveraging equation (8) for ROCE, RNOA can be expressed as:RNOA = ROOA OLLEV (ROOAmarket borrowing rate )(12) where the borrowing rate is the after-tax short-term interest rate.Given ROOA, the effect ofleverage on protability is determined by the level of operating liability leverage and the spread between ROOA and the short-term after-tax interest rate. Like nancing leverage, the effect can be favorable or unfavorable: Firms can reduce their operating protability through operating liability l