经济增加值与上市公司价值评价

[e-mail]12200131661065072%5056%45.......................................................................3.......................................5...................................................5.................................................8..............................................18......................................................18..................................................22..............................................27..................................27............................................33..............................................37..................................37..........................43..................48......................................................................50..................................................................5122EconomicValueAdded1000EVAEVAAl.EVA-EVAEVAEVA3320011074200144EconomicValueAddedEVA®ResidualIncomeEconomicProfitEVA®EVANOPATC%TC1-1EVANOPATC%TCSternStewartCo.GAAP160EVA55AlEhrbarEVAEVABasicEVADisclosedEVAEVAEVAEVATrueEVAEVA151777(Hamilton)1896MarshallSolomons1965Anthony1973[2]ROEROIEVA®MM19EVA1000EVA[1][]AlEhrbar2001228230[2]EVA®[1]ExternalEfficiency1967H.Roberts[1][]200234881994BoxPierce199529(1993199410)19961990121994121919931997199319951997DickeyFuller19911993199320021997200219901220023276619914200212673991.P/E×[1][]C1999238[2][]20016010102.1DtksDtks2FCFFFreeCashFlowofFirm[1][]C19992381111FCFF1-11-112121-1BulkleyHarris1997[1]IPO103NOPAT[1]Bulkley,I.George,andRichardD.F.Harris,IrrationalAnalysts'ExpectationsasaCauseofExcessStockPriceVolatility,EconomicJournal,1997,P359-371.1313EVA1.2.3.4.1414101-1EVACreditSuisseFirstBostonEVA[1]1515[1][]AlEhrbar2001111EVAEVAEVAEVA19931994[2]199619972002199720002.9199720007.7[2]K16161717EconomicProfit[1]=2-1[1][]H19924024041818AdamSmith[1]10%10%=-2-2=-=2-32-22-3[1][]1972,2621919PeterDrucker1995EVA[2]1.ABAB2-1ABAB1001001001001120.5-10.5ABBA2.[2][]AlEhrbar200122020RD2030Solomons[1]2-4RealizedRealizable2121[1]Solomons,“EconomicandAccountingConceptsofIncome”.,TheAccountingReview200063[2]1990MertonH.MillerHarryMarkowitzWilliamSharpeMMMMMMMertonH.MillerFrancoModigliani2001958[1]19601961MM[2]200211[1][]L20023212222MM[2]MMNPVnetpresentvalueNPVNPVNPVrequiredrateonreturnforriskcostofcapitalMertonH.MillerFrancoModiglianiNPVMMNPVNPV∑t=1NEBITt1-T+DEPt(1+WACC)tC∑t=1NEBITt(1-T)(1+WACC)t∑t=1NDEPt(1+WACC)tC2-52323NPVEBITttDEPttTWACCCNPV∑t=1NDEPt(1+WACC)t∑t=1NWACCBVt-1(1+WACC)tC02-6BVt-1t-1C∑t=1NDEPt(1+WACC)t∑t=1NWACCBVt-1(1+WACC)t2-72-72-5NPV∑t=1NEBITt(1-T)(1+WACC)t∑t=1NDEPt(1+WACC)tC∑t=1NEBITt(1-T)(1+WACC)t∑t=1NDEPt(1+WACC)t∑t=1NDEPt(1+WACC)t∑t=1NWACCBVt-1(1+WACC)t∑t=1NEBITt(1-T)(1+WACC)t∑t=1NWACCBVt-1(1+WACC)t∑t=1NEBITt1-TWACCBVt-1(1+WACC)t∑t=1NEVA(1+WACC)t2-82424[2][]AlEhrbar20014MM(cashflow)CAPM1952MarkowitzCAPM(Sharpe1964)(Lintner1965)(Mossin1966)CAPMCAPMCAPMCAPME(Rj)-Rf=(Rm-Rf)j2-9E(Rj)RfRmE(Rm)j=sjm/sRmjsRmsjmj2525CAPMCAPMCAPMCAPMCAPMCAPMCAPMCAPMCAPMCAPMCAPMCAPMCAPMCAPMCAPM262616427271.28282.3.29294.3-1120004000660220004000132032000400019804200040002640520004000330062000+20004000072000+200040000123-1520000303051033%5RDROEROAROEROA6RDRDRD3131RDRDRDRDRDRD7893232++3-1+++++++3-23333++3-33-43434++8+-++3-5+--3-61-3-73-535353-83-23636373720012001IPO2001IPO200110741074200120015.85%20014-13320010500010000150002000038384-1A20012.25%A20012001/0.0510744-13939R20.004F4.1733.84t2.0431.96P0.0410.05DW2.0004-24-2404012824339543854463776083295410168111021212813521467152316842016Casewise6003770004290009496001466006330006860007526001320004164-34-3R2FF/2tt/2PDW0.0010.0354.23-0.1882.060.8521.6280.0522.2364.061.4952.020.1421.9420.24329.8843.955.4671.9901.7960.0110.3914.12-0.6252.030.5361.4200.1285.8454.072.4202.020.022.0240.0381.4154.131.1902.030.2422.0870.0120.6954.010.8342.010.4082.0860.0250.7564.170.8692.040.3921.4120.0462.5354.031.5922.010.1171.9220.0010.0493.900.2211.960.8262.0690.0020.2073.94-0.4551.970.6501.7840.0161.9383.921.3921.980.1662.0120.20712.5094.033.5372.0101.8560.1208.7673.992.9612.000.0041.9440.0070.1404.32-0.3742.080.7122.42800.0013.96-0.0292.000.9772.0171.4141R20.2510.1060.2850.119FtPDW221GDP23420015200120014242Top-down20014-44343177547651141290151500561272490746.322501734331954485177418674403224.33160168465266947.44793427611842.196-17762617-34158.97-33785838-62566.48-68765139-18585212-784570410-82586.410-1274858311-75884.49-1514472012-18029411-1709562913-74328814-2150723314-76811515-2409649515-63411813-7118522316-2224538161661064-420012001143338.52%2001200120012001504-5504444EVA1600028-7539369455260001135305950383000539112986782946000989796043675000859-75382967866006427044438067600018-6682540308600104-6562741089600019-64481032810600005-5917510521100002755771289912000063-53675985013000959-45763819614600006-4520