财务报表分析外文文献及翻译Word下载.docx

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FinancialStatementAnalysisofLeverageandHowItInformsAboutProtabilityandPrice-to-BookRatios

DoronNissim,Stephen.Penman

Abstract

Thispaperpresentsafinancialstatementanalysisthatdistinguishesleveragethatarisesinfinancingactivitiesfromleveragethatarisesinoperations.Theanalysisyieldstwoleveragingequations,oneforborrowingtofinanceoperationsandoneforborrowinginthecourseofoperations.Theseleveragingequationsdescribehowthetwotypesofleverageaffectbookratesofreturnonequity.Anempiricalanalysisshowsthatthefinancialstatementanalysisexplainscross-sectionaldifferencesincurrentandfutureratesofreturnaswellasprice-to-bookratios,whicharebasedonexpectedratesofreturnonequity.Thepaperthereforeconcludesthatbalancesheetlineitemsforoperatingliabilitiesarepriceddifferentlythanthosedealingwithfinancingliabilities.Accordingly,financialstatementanalysisthatdistinguishesthetwotypesofliabilitiesinformsonfutureprofitabilityandaidsintheevaluationofappropriateprice-to-bookratios.

Keywords:

financingleverage;

operatingliabilityleverage;

rateofreturnonequity;

price-to-bookratio

Leverageistraditionallyviewedasarisingfromfinancingactivities:

Firmsborrowtoraisecashforoperations.Thispapershowsthat,forthepurposesofanalyzingprofitabilityandvaluingfirms,twotypesofleveragearerelevant,oneindeedarisingfromfinancingactivitiesbutanotherfromoperatingactivities.Thepapersuppliesafinancialstatementanalysisofthetwotypesofleveragethatexplainsdifferencesinshareholderprofitabilityandprice-to-bookratios.

Thestandardmeasureofleverageistotalliabilitiestoequity.However,whilesomeliabilities—likebankloansandbondsissued—areduetofinancing,otherliabilities—liketradepayables,deferredrevenues,andpensionliabilities—resultfromtransactionswithsuppliers,customersandemployeesinconductingoperations.Financingliabilitiesaretypicallytradedinwell-functioningcapitalmarketswhereissuersarepricetakers.Incontrast,firmsareabletoaddvalueinoperationsbecauseoperationsinvolvetradingininputandoutputmarketsthatarelessperfectthancapitalmarkets.So,withequityvaluationinmind,thereareapriorireasonsforviewingoperatingliabilitiesdifferentlyfromliabilitiesthatariseinfinancing.

Ourresearchaskswhetheradollarofoperatingliabilitiesonthebalancesheetispriceddifferentlyfromadollaroffinancingliabilities.Asoperatingandfinancingliabilitiesarecomponentsofthebookvalueofequity,thequestionisequivalenttoaskingwhetherprice-to-bookratiosdependonthecompositionofbookvalues.Theprice-to-bookratioisdeterminedbytheexpectedrateofreturnonthebookvalueso,ifcomponentsofbookvaluecommanddifferentpricepremiums,theymustimplydifferentexpectedratesofreturnonbookvalue.Accordingly,thepaperalsoinvestigateswhetherthetwotypesofliabilitiesareassociatedwithdifferencesinfuturebookratesofreturn.

Standardfinancialstatementanalysisdistinguishesshareholderprofitabilitythatarisesfromoperationsfromthatwhicharisesfromborrowingtofinanceoperations.So,returnonassetsisdistinguishedfromreturnonequity,withthedifferenceattributedtoleverage.However,inthestandardanalysis,operatingliabilitiesarenotdistinguishedfromfinancingliabilities.Therefore,todevelopthespecificationsfortheempiricalanalysis,thepaperpresentsafinancialstatementanalysisthatidentifiestheeffectsofoperatingandfinancingliabilitiesonratesofreturnonbookvalue—andsoonprice-to-bookratios—withexplicitleveragingequationsthatexplainwhenleveragefromeachtypeofliabilityisfavorableorunfavorable.

Theempiricalresultsinthepapershowthatfinancialstatementanalysisthatdistinguishesleverageinoperationsfromleverageinfinancingalsodistinguishesdifferencesincontemporaneousandfutureprofitabilityamongfirms.Leveragefromoperatingliabilitiestypicallyleversprofitabilitymorethanfinancingleverageandhasahigherfrequencyoffavorable,foragiventotalleveragefrombothsources,firmswithhigherleveragefromoperationshavehigherprice-to-bookratios,onaverage.Additionally,distinctionbetweencontractualandestimatedoperatingliabilitiesexplainsfurtherdifferencesinfirms’profitabilityandtheirprice-to-bookratios.

Ourresultsareofconsequencetoananalystwhowishestoforecastearningsandbookratesofreturntovaluefirms.Thoseforecasts—andvaluationsderivedfromthem—depend,weshow,onthecompositionofliabilities.Thefinancialstatementanalysisofthepaper,supportedbytheempiricalresults,showshowtoexploitinformationinthebalancesheetforforecastingandvaluation.

Thepaperproceedsasfollows.Section1outlinesthefinancialstatementsanalysisthatidentifiesthetwotypesofleverageandlaysoutexpressionsthattieleveragemeasurestoprofitability.Section2linksleveragetoequityvalueandprice-to-bookratios.TheempiricalanalysisisinSection3,withconclusionssummarizedinSection4.

1.FinancialStatementAnalysisofLeverage

Thefollowingfinancialstatementanalysisseparatestheeffectsoffinancingliabilitiesandoperatingliabilitiesontheprofitabilityofshareholders’equity.Theanalysisyieldsexplicitleveragingequationsfromwhichthespecificationsfortheempiricalanalysisaredeveloped.Shareholderprofitability,returnoncommonequity,ismeasuredas

Returnoncommonequity（ROCE）=comprehensivenetincome÷

commonequity

（1）

Leverageaffectsboththenumeratoranddenominatorofthisprofitabilitymeasure.Appropriatefinancialstatementanalysisdisentanglestheeffectsofleverage.Theanalysisbelow,whichelaboratesonpartsofNissimandPenman（2001）,beginsbyidentifyingcomponentsofthebalancesheetandincomestatementthatinvolveoperatingandfinancingactivities.Theprofitabilityduetoeachactivityisthencalculatedandtwotypesofleverageareintroducedtoexplainbothoperatingandfinancingprofitabilityandoverallshareholderprofitability.

DistinguishingtheProtabilityofOperationsfromtheProtabilityofFinancingActivities

Withafocusoncommonequity（sothatpreferredequityisviewedasafinancialliability）,thebalancesheetequationcanberestatedasfollows:

Commonequity=operatingassets＋financialassets－operatingliabilities－Financialliabilities

（2）Thedistinctionherebetweenoperatingassets（liketradereceivables,inventoryandproperty,plantandequipment）andfinancialassets（thedepositsandmarketablesecuritiesthatabsorbexcesscash）ismadeinothercontexts.However,ontheliabilityside,financingliabilitiesarealsodistinguishedherefromoperatingliabilities.Ratherthantreatingallliabilitiesasfinancingdebt,onlyliabilitiesthatraisecashforoperations—likebankloans,short-termcommercialpaperandbonds—areclassifiedassuch.Otherliabilities—suchasaccountspayable,accruedexpenses,deferredrevenue,restructuringliabilitiesandpensionliabilities—arisefromoperations.Thedistinctionisnotassimpleascurrentversuslong-termliabilities;

pensionliabilities,forexample,areusuallylong-term,andshort-termborrowingisacurrentliability.

Rearrangingtermsinequation

（2）,

Commonequity=（operatingassets－operatingliabilities）－（financialliabilities－financialassets）

Or,

Commonequity=netoperatingassets－netfinancingdebt（3）

Thisequationregroupsassetsandliabilitiesintooperatingandfinancingactivities.Netoperatingassetsareoperatingassetslessoperatingliabilities.Soafirmmightinvestininventories,buttotheextenttowhichthesuppliersofthoseinventoriesgrantcredit,thenetinvestmentininventoriesisreduced.Firmspaywages,buttotheextenttowhichthepaymentofwagesisdeferredinpensionliabilities,thenetinvestmentrequiredtorunthebusinessisreduced.Netfinancingdebtisfinancingdebt（includingpreferredstock）minusfinancialassets.So,afirmmayissuebondstoraisecashforoperationsbutmayalsobuybondswithexcesscashfromoperations.Itsnetindebtednessisitsnetpositioninbonds.Indeedafirmmaybeanetcreditor（withmorefinancialassetsthanfinancialliabilities）ratherthananetdebtor.

Theincomestatementcanbereformulatedtodistinguishincomethatcomesfromoperatingandfinancingactivities:

Comprehensivenetincome=operatingincome－netfinancingexpense（4）

Operatingincomeisproducedinoperationsandnetfinancialexpenseisincurredinthefinancingofoperations.Interestincomeonfinancialassetsisnettedagainstinterestexpenseonfinancialliabilities（includingpreferreddividends）innetfinancialexpense.Ifinterestincomeisgreaterthaninterestexpense,financingactivitiesproducenetfinancialincomeratherthannetfinancialexpense.Bothoperatingincomeandnetfinancialexpense（orincome）areafterEquations（3）and（4）producecleanmeasuresofafter-taxoperatingprofitabilityandtheborrowingrate:

Returnonnetoperatingassets（RNOA）=operatingincome÷

netoperatingassets（5）

and

Netborrowingrate（NBR）=netfinancingexpense÷

netfinancingdebt（6）

RNOArecognizesthatprofitabilitymustbebasedonthenetassetsinvestedinoperations.Sofirmscanincreasetheiroperatingprofitabilitybyconvincingsuppliers,inthecourseofbusiness,tograntorextendcreditterms;

creditreducestheinvestmentthatshareholderswouldotherwisehavetoputinthebusiness.Correspondingly,thenetborrowingrate,byexcludingnon-interestbearingliabilitiesfromthedenominator,givestheappropriateborrowingratefor