财务报表分析的杠杆左右以及如何体现盈利性和值比率-外文文献及翻译.pdf

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1、 1 Financial Statement Analysis of Leverage and How It Informs About Profitability and Price-to-Book Ratios DORON NISSIM,STEPHEN H.PENMAN ABSTRACT This paper presents a financial statement analysis that distinguishes leverage that arises in financing activities from leverage that arises in operation

2、s.The analysis yields two leveraging equations,one for borrowing to finance 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 equity.An empirical analysis shows that the financial statement an

3、alysis explains cross-sectional differences in current and future rates of return as well as price-to-book ratios,which are based on expected rates of return on equity.The paper therefore concludes that balance sheet line items for operating liabilities are priced differently than those dealing with

4、 financing liabilities.Accordingly,financial statement analysis that distinguishes the two types of liabilities informs on future profitability and aids in the evaluation of appropriate price-to-book ratios.Keywords:financing leverage;operating liability leverage;rate of return on equity;price-to-bo

5、ok ratio Leverage is traditionally viewed as arising from financing activities:Firms borrow to raise cash for operations.This paper shows that,for the purposes of analyzing profitability and valuing firms,two types of leverage are relevant,one indeed arising from financing activities but another fro

6、m operating activities.The paper supplies a financial statement analysis of the two types of leverage that explains differences in shareholder profitability and price-to-book ratios.The standard measure of leverage is total liabilities to equity.However,while some liabilitieslike bank loans and bond

7、s issuedare due to financing,other liabilitieslike trade payables,deferred revenues,and pension liabilitiesresult from transactions with suppliers,customers and employees in conducting operations.Financing liabilities are typically traded in well-functioning capital markets where issuers are price t

8、akers.In contrast,firms 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 operating liabilities differently from liabilities that arise

9、in financing.河南理工大学 2014 届本科毕业生论文 2 Our research asks whether a dollar of operating liabilities on the balance sheet is priced differently from a dollar of financing liabilities.As operating and financing liabilities are components of the book value of equity,the question is equivalent to asking whe

10、ther 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 return on book value.Accordingly,the p

11、aper also investigates whether the two types of liabilities are associated with differences in future book rates of return.Standard financial statement analysis distinguishes shareholder profitability that arises from operations from that which arises from borrowing to finance operations.So,return o

12、n assets is distinguished from return on equity,with the difference attributed to leverage.However,in the standard analysis,operating liabilities are not distinguished from financing liabilities.Therefore,to develop the specifications for the empirical analysis,the paper presents a financial stateme

13、nt analysis that identifies the effects of operating and financing 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 unfavorable.The empirical results in the paper show t

14、hat financial statement analysis that distinguishes leverage in operations from leverage in financing also distinguishes differences in contemporaneous and future profitability among firms.Leverage from operating liabilities typically levers profitability more than financing leverage and has a highe

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

16、itability 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 firms.Those forecastsand valuations derived from themdepend,we show,on the composition of liabilities.The financial statement analysis of the paper,

17、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 financial statements analysis that 3 identifies the two types of leverage and lays out expressions that tie leverage measures to

18、 profitability.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.河南理工大学 2014 届本科毕业生论文 4 1 Financial Statement Analysis of Leverage The following financial statement analysis separates the effects of finan

19、cing liabilities and operating liabilities on the profitability of shareholders equity.The analysis yields explicit leveraging equations from which the specifications for the empirical analysis are developed.Shareholder profitability,return on common equity,is measured as Return on common equity(ROC

20、E)=comprehensive net income common equity (1)Leverage affects both the numerator and denominator of this profitability measure.Appropriate financial statement analysis disentangles the effects of leverage.The analysis below,which elaborates on parts of Nissim and Penman(2001),begins by identifying c

21、omponents of the balance sheet and income statement that involve operating and financing activities.The profitability due to each activity is then calculated and two types of leverage are introduced to explain both operating and financing profitability and overall shareholder profitability.1.1 Disti

22、nguishing the Profitability of Operations from the Profitability of Financing Activities With a focus on common equity(so that preferred equity is viewed as a financial liability),the balance sheet equation can be restated as follows:Common equity=operating assetsfinancial assetsoperating liabilitie

23、sFinancial liabilities (2)The distinction here between operating assets(like trade receivables,inventory and property,plant and equipment)and financial assets(the deposits and marketable securities that absorb excess cash)is made in other contexts.However,on the liability side,financing liabilities

24、are also distinguished here from operating liabilities.Rather than treating all liabilities as financing debt,only liabilities that raise cash for operationslike bank loans,short-term commercial paper and bondsare classified as such.Other liabilitiessuch as accounts payable,accrued expenses,deferred

25、 revenue,restructuring 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 equit

26、y=(operating assetsoperating liabilities)(financial liabilitiesfinancial assets)Or,5 Common equity=net operating assetsnet financing debt (3)This equation regroups assets and liabilities into operating and financing activities.Net operating assets are operating assets less operating liabilities.So a

27、 firm might invest in inventories,but to the extent to which the suppliers of those inventories grant credit,the net investment 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

28、 is reduced.Net financing debt is financing debt(including preferred stock)minus financial assets.So,a firm 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 firm may be a net creditor(with

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

30、d net financial expense is incurred in the financing of operations.Interest income on financial assets is netted against interest expense on financial liabilities(including preferred dividends)in net financial expense.If interest income is greater than interest expense,financing activities produce n

31、et financial income rather than net financial expense.Both operating income and net financial expense(or income)are after tax.3 Equations(3)and(4)produce clean measures of after-tax operating profitability and the borrowing rate:Return on net operating assets(RNOA)=operating income net operating ass

32、ets (5)and Net borrowing rate(NBR)=net financing expense net financing debt (6)RNOA recognizes that profitability must be based on the net assets invested in operations.So firms can increase their operating profitability by convincing suppliers,in the course of business,to grant or extend credit ter

33、ms;credit reduces the 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 financing activities.Note that RNOA differs from the m

34、ore common return on assets(ROA),usually defined as income before after-tax interest expense to total assets.ROA does not distinguish operating and 河南理工大学 2014 届本科毕业生论文 6 financing activities appropriately.Unlike ROA,RNOA excludes financial assets in the denominator and subtracts operating liabiliti

35、es.Nissim and Penman(2001)report a median ROA for NYSE and AMEX firms 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 Profitability From expressions(3)through(6),it is st

36、raightforward to demonstrate 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 debt common equity net borrowing rate (7)Additional algebra leads to the following leveraging equation:ROCE=

37、RNOAFLEV(RNOAnet borrowing rate)(8)where FLEV,the measure of leverage from financing activities,is Financing leverage(FLEV)=net financing debt common equity (9)The FLEV measure excludes operating liabilities but includes(as a net against financing debt)financial assets.If financial assets are greate

38、r than financial liabilities,FLEV is negative.The leveraging equation(8)works for negative FLEV(in which case the net borrowing rate is the return on net financial assets).This analysis breaks shareholder profitability,ROCE,down into that which is due to operations and that which is due to financing

39、.Financial leverage levers the ROCE over RNOA,with the leverage effect determined by the amount of financial 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 Pro

40、fitability While financing debt levers ROCE,operating liabilities lever the profitability 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 firm has relative to op

41、erating assets,the higher 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:7 Operating liability leverage(OLLEV)=operating liabilities net operating assets (10)Using operating lia

42、bilities to lever the 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

43、 reason why operating liabilities are inextricably a part of operations rather than the financing of operations.The amount that suppliers actually charge for this credit is difficult to identify.But the market borrowing rate is observable.The amount that suppliers would implicitly charge in prices f

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

45、cost is benchmark,for it is the cost that makes suppliers indifferent in supplying credit suppliers are fully compensated if they charge implicit interest at the cost borrowing to supply the credit.Or,alternatively,the firm buying the goods or services is indifferent between trade credit and financi

46、ng purchases at the borrowing rate.To analyze the effect of operating liability leverage on operating profitability,we define:Return on operating assets(ROOA)=(operating incomemarket interest on operating liabilities)operating assets (11)The numerator of ROOA adjusts operating income for the full im

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

48、implicit credit terms 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 of leverage on profitability is determined by the level o

49、f operating liability leverage and the spread between ROOA and the short-term after-tax interest rate.Like financing leverage,the effect can be favorable or unfavorable:Firms can reduce their operating profitability through operating 河南理工大学 2014 届本科毕业生论文 8 liability leverage if their ROOA is less th

50、an the market borrowing rate.However,ROOA will also be affected if the implicit borrowing cost on operating liabilities is different from the market borrowing rate.1.4 Total Leverage and its Effect on Shareholder Profitability Operating liabilities and net financing debt combine into a total leverag