مقاله ريسك سود مازاد، ارزش‌هاي ذاتي و قيمت‌هاي سهام -ترجمه مقاله +متن اصلي

ريسك سود مازاد، ارزش‌هاي ذاتي و قيمت‌هاي سهام

ريسك سود مازاد، ارزش‌هاي ذاتي و قيمت‌هاي سهام:
از استفن پي باجينسكي و جيمز ام والن ـ
تحقيقات تجربي حسابداري شواهد نسبتاً كمي در مورد اين كه آيا از نظر ريسك ، اختلافات مقطعي سودي حسابداري با اختلافات مقطعي در قيمت‌هاي سهام، ارتباط دارند يا نه؟ ارائه مي‌دهد. ما با توجه به ريسك يا خطر مربوط به ارقام حسابداري دو پرسش را مطرح مي‌كنيم:
1 ـ آيا ارزيابي‌هاي خطر مربوط به حسابداري (يعني خطر نظام مند و تغيير پذيري كل در مجموعه زماني بهره مازاد حقوق صاحبان سهام شركت) با ارزيابي بازار و برآورد خطر حقوق صاحبان سهام ارتباطي دارد يا نه؟
2 ـ اگر اين چنين است، پس آيا اين ارزيابي‌ها به صورت افزايشي با ارزشيابي بازار و ارزيابي خطر حقوق صاحبان سهام در وراي ديگر عوامل قابل بررسي و مشاهده، نظير عوامل موجود در الگوي سه عامل French, Fama (1992) ارتباط دارند؟ ما بر مبناي يك معيار اساسي حسابداري در مورد ريسك قيمت بازار اختلاف ميان قيمت واقعي سهام و الگوي ارزشيابي سود مازاد بر پايه برآورد ارزش سهام و با استفاده از نرخ بهره بد ون ريسك را ارزيابي مي‌كنيم.
نتايج ما حاكي از آن است كه هم ريسك سيستماتيك و هم مجموع تغيير پذيري در بهره مازاد حقوق صاحبان سهام به طور ناقص تفاوت قيمت گذاري را نشان مي‌دهد، و تأثير توضيحي مجموع تغيير پذيري به عوامل فاما و فرنچ ـ بقاي بازار، اندازه شركت و نسبت ارزش بازار به ارزش دفتري ـ افزوده مي‌شود.


Fundamental valuation of equity shares requires estimation of expected future payoffs and the risk inherent in those
payoffs. Existing research on the usefulness of accounting earnings numbers has devoted far more attention to their role
as payoff-relevant information than to their role as risk-relevant information. One exception is the seminal Beaver et al.
(1970) study, which shows that accounting-based risk measures are positively associated with market model beta, but
which does not examine whether accounting-based risk measures explain share prices or returns. Thus far, the empirical
accounting research literature has surprisingly little to say about whether accounting earnings numbers capture
cross-sectional differences in risk that are associated with cross-sectional differences in share prices. In this study, we
investigate the risk-relevance of accounting numbers by addressing the question: Are accounting earnings-based risk
measures associated with the capital market’s assessment and pricing of firm risk? The answer to this question will inform
capital markets participants, as well as accounting researchers and teachers, about the fundamental usefulness of
accounting earnings numbers in assessing and pricing risk. The findings will also contribute to a better understanding of
how to specify accounting earnings-based valuation models, and how to use them in settings in which market-based risk
measures (e.g., market model beta) are not available.
We also address a second question: Are accounting earnings-based risk measures incrementally associated with the
market’s assessment and pricing of equity risk beyond other observable risk factors, such as the three factors in the Fama
and French (1992) model (market model beta, firm size, and book-to-market ratios)? Research by Fama and French
(1992) and others shows that the single factor capital asset pricing model may be incomplete because ad hoc factors
outside of the model (including factors based on accounting numbers, such as the book-to-market ratio) appear to explain
stock returns. Our investigation contributes evidence on whether accounting earnings-based risk measures capture
elements of priced risk that traditional measures of equity risk (e.g., market model beta) or factors identified by more
recent ad hoc approaches to risk (e.g., Fama and French 1992) do not capture.
Traditional theory on the role of accounting numbers in valuation, such as the residual income valuation models (e.g.,
Ohlson 1995; Feltham and Ohlson 1995), simplify the role of risk by assuming that investors are risk neutral and discount
rates are nonstochastic and flat. More recently, Feltham and Ohlson (1999) point out that equity values should price as
fundamental risk the nondiversifiable variability inherent in expected future residual income. Feltham and Ohlson (1999)
demonstrate analytically that (at least in principle) one can incorporate risk in residual income valuation by reducing
Accounting Review Jan 2003 v78 i1 p327(25) Page 1
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Residual income risk, intrinsic values, and share prices.
expected future abnormal earnings to certainty equivalents based on investors’ risk aversion across all possible events
and dates. (1) In this demonstration, Feltham and Ohlson (1999) measure abnormal earnings as earnings less a charge
for the cost of equity capital, basing the charge on the book value of equity and the term structure of risk-free interest
rates at the time of valuation. The pricing of risk therefore depends on the appropriate set of event-date-contingent prices
for future abnormal earnings measured as certainty equivalents. The Feltham and Orison (1999) demonstration is silent,
however, on how investors and empirical researchers should develop this complete set of event-date-contingent prices.
In the absence of implementable theoretical guidance, empirical applications of residual income valuation models have
incorporated risk into valuation by adding an ad hoc risk premium to a risk-free discount rate, with results that are
understandably sensitive to the risk premium assumption (e.g., Bernard 1994, 1995; Francis et al. 2000, 2001; Dechow et
al. 1999). Other recent studies invert the residual income valuation model to estimate the ex ante risk premia implicit in
discount rates, with mixed results (e.g., Claus and Thomas 2001; Gebhardt et al. 2001; Easton et al. 2000; Botosan and
Plumlee 2001, 2002). All of these prior studies use observed share values or stock returns to estimate the risk premia and
expected rates of return required by valuation models. Using observed share values or stock returns to assess risk
introduces a degree of circularity into valuation.
We develop a more direct approach that uses accounting numbers to assess firm risk and share values in a residual
income valuation context. First, we develop an accounting-based measure of the discount for risk inherent in share prices.
We estimate risk-free value based on the residual income model, analysts’ forecasts of earnings, and prevailing risk-free
rates of return. We then calculate the price differential--the risk-free value estimate minus share price. Conceptually, the
price differential is a simple yet theoretically defensible measure of the discount for risk implicit in share price. This
measure depends only on analysts’ expectations of earnings, the residual income valuation model, time value of money at
prevailing risk-free rates, and share price. The price differential is a potentially appealing firm-specific measure of the cost
of risk because it does not depend on any functional form of expected returns, or on explicit parameter estimates of
market risk measures (i.e., betas) or risk premia. As expected, price differentials are positive for nearly all firm-years
because risk-free values ignore the discounts for risk in share prices. As a practical matter, our estimates of price
differentials are highly positively correlated with estimates of expected rates of return implicit in share prices, but are
simpler to compute.


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