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公司系統性風險與會計變數關聯性之研究 / A study on the relationship between firm systematic risk and accounting variables邱垂昌, Chiou, Chei Chang Unknown Date (has links)
本研究旨在探討公司系統性風險與會計變數之關聯性。影響公司系統性風險之因素應包括公司內部因素與公司外部總體經濟因素,但過去文獻並未完全涵蓋到,致使其模式解釋力皆不高。為彌補過去文獻之不足,本研究先以理論推導方式將公司內部與外部因素納入系統性風險模式中,再以實證資料驗證之。
模型推導結果顯示,影響系統性風險之因素包括公司盈餘、營運槓桿度、財務槓桿度、帳面價值、股利、市場組合報酬率、無風險報酬率,以及其他總體經濟因素等。理論推導結果產生三大主要命題:
1. 在公司前期盈餘為正及當期銷貨成長率為正,以及公司當期之每股盈餘、每股帳面價值及每股現金股利對股價具有正向影響時,公司當期總槓桿程度(營運槓桿度與財務槓桿度之乘積)對系統性風險具有正向影響。
2. 在公司前期盈餘為正,以及公司當期之每股盈餘、每股帳面價值及每股現金股利對股價具有正向影響時,公司當期每股現金股利對系統性風險具有正向影響。
3. 當公司當期銷貨成長率為正時,營運槓桿度與財務槓桿度為正向相關;但當公司當期銷貨成長率為負時,營運槓桿度與財務槓桿度具有抵換關係。
根據上述命題,本研究設立三項假說。第一,公司總槓桿程度對系統性風險具有正向影響,而營運槓桿度與財務槓桿度對系統性風險之影響皆為正向(或負向)。第二,公司發放現金股利對系統性風險具有正向影響。第三,在系統性風險與盈餘皆不變的額外前提下,當銷貨成長率為負時,營運槓桿度與財務槓桿度具有抵換關係;當銷貨成長率為正時,營運槓桿度與財務槓桿度為正相關。
實證結果部分支持上述三項假說。首先,公司總槓桿程度、財務槓桿度及現金股利皆對系統性風險具有顯著正向影響。因此,公司可利用降低總槓桿程度、財務槓桿度及減少現金股利之策略來減低系統性風險。其次,市場組合報酬、通貨膨脹率及國民生產毛額成長率等總體經濟因素,對系統性風險皆具有負向顯著影響。此結果說明導致公司系統性風險上升之因素應該包括公司內部與外部因素。因此,公司欲降低風險時,除了利用總槓桿程度、財務槓桿度與股利政策外,尚須考慮其他總體經濟變化。最後,實證結果亦顯示,當公司正處於銷貨成長時期,以追求成長為目標,可能同時面臨高營運風險與高財務風險。然而,在銷貨衰退時,公司卻不必然會以風險控管為目標。因此,營運槓桿度與財務槓桿度並不存在抵換關係。 / This thesis examines the relationship between firm systematic risk and accounting variables. Potential determinants of firm systematic risk theoretically include accounting and macroeconomic variables, but prior research only explored part of them and most models yielded low explanatory power. This research analytically derives and empirically verifies a model of firm systematic risk.
The analytical results suggest that determinants of systematic risk at least include earnings, the degree of operating leverage, the degree of financial leverage, book value, dividend, market-portfolio return, risk-free return and other macroeconomic variables. Three main propositions are therefore derived as follows.
1. When a firm's prior year earnings and current year sales growth are both positive, if its current book value, cash dividend, and earnings all have a positive effect on its stock price, then its degree of total leverage, defined as the product of degree of operating leverage and degree of financial leverage, has a positive effect on its systematic risk.
2. When a firm's prior year earnings is positive, if its current book value, cash dividend, and earnings all have a positive effect on its stock price, then its current cash dividend has a positive effect on its systematic risk.
3. When a firm's current year sales growth is positive (negative), its degree of operating leverage is positively (negatively) related with its degree of financial leverage.
Three hypotheses are then tested empirically. First, a firm's degree of total leverage has a positive effect on its systematic risk; and its degree of operating leverage and degree of financial leverage both have a positive (or both negative) effect on its systematic risk. Second, a firm's cash dividend has a positive effect on its systematic risk. Third, if a firm's sales growth is positive (negative) without any change in its systematic risk or earnings, then its degree of operating leverage is positively (negatively) related with its degree of financial leverage.
The empirical results provide partial support for the above hypotheses. First, the degree of total leverage, degree of financial leverage, and cash dividend each has a positive effect on the systematic risk. Therefore, a firm can reduce its systematic risk by lowering its degree of total leverage, degree of financial leverage and the cash dividend. Second, macroeconomic factors such as the market-portfolio return, inflation and GNP growth have a negative effect on the systematic risk. Hence, a firm attempting to control its systematic risk should consider the changes of macroeconomics besides the leverage and dividend policy. Finally, a firm with growing sales takes a high degree of operating leverage and financial leverage, but a firm does not necessarily take a high (low) degree of operating leverage and a low (high) degree of financial leverage as target when its sales are declining. In other words, these two leverages have no offset relationship.
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Įmonės pelno-išlaidų-veiklos apimties vertinimas / The cost-volume-profit evaluation of the companyMarčiulionytė, Asta 26 June 2014 (has links)
Pelningumo siekimas yra pagrindinis verslo įmonės tikslas, dažnai lemiantis vadovų pasirinkimą sprendžiant problemas susijusias su pardavimo kainomis, įvairiomis išlaidomis. Pelno-išlaidų-veiklos apimties vertinimas teikia apibendrinantį planavimo proceso vaizdą ir išlaidų kitimo supratimą, todėl gauta informacija yra nepakeičiama, siekiant užtikrinti racionalų įmonės valdymą. Šio darbo tikslas – išanalizavus pelno-išlaidų-veiklos apimties metodologiją, atlikti įmonės pelno-išlaidų-veiklos apimties vertinimą ir sudaryti modelį, leidžiantį efektyviai planuoti ir analizuoti įmonės kaštų, veiklos apimties ir pelno ryšį. Taigi, šio darbo objektas-įmonės pelningumas, jo priklausomybė nuo įmonės pajamų, kaštų ir veiklos apimties. Siekiant įgyvendinti darbo tikslą, keliami tokie uždaviniai: išanalizuoti pelno-išlaidų-veiklos apimties vertinimo metodologiją, suformuoti prielaidas pelno-išlaidų-veiklos apimties vertinimo modeliavimui, atlikti įmonės pelno-išlaidų-veiklos apimties vertinimą, bei sudaryti pelno-išlaidų-veiklos apimties vertinimo modelį. Darbą sudaro trys pagrindinės dalys: metodologinė, analitinė ir rezultatų. Pirmojoje darbo dalyje nagrinėjami pelno-išlaidų-veiklos apimties vertinimo metodologijos aspektai-pateikiamos analizės prielaidos, vertinimo reikšmė ir galimybės. Antrasis darbo skyrius apima prielaidų pelno-išlaidų-veiklos apimties vertinimo modeliavimui analizę: tiriami ir lyginami pelno-išlaidų-veiklos apimties vertinimo modeliavimo metodai, bei pateikiama... [toliau žr. visą tekstą] / The main purpose of business enterprise is striving for profitability and this purpose usually decides the head‘s of enterprise choice when he tackles the problems about prices of sales and different expenses. Cost-volume-profit evaluation gives resumptive view about planning process and understanding of costs range so given information is irreplaceable because of trying to ensure rational management. The purpose of this work is to do cost-volume-profit evaluation and make a model according the analysis of cost-volume-profit methodology. This model will let to plan and analyse enterprise‘s cost, activity‘s size and profit‘s relation in effective way. So the object of this work is the profitability of an enterprise, its dependence from enterprises revenue, cost and activity‘s volume. In purpose to realize work‘s aim there are these objectives: to analyse cost-volume-profit evaluation methodology, to structure presumptions for cost-volume-profit evaluation modeling, to do enterprises cost-volume-profit evaluation and to make cost-volume-profit evaluation model. Three main parts makes this work: methodological, analytical, results. In the first part of this work there is an analyses of cost-volume-profit evaluation methodology‘s aspects, there are analysis presumptions, evaluations mean and possibilities. The second part includes presumptions analysis to cost-volume-profit evaluation modeling: here are researched and compared cost-volume-profit evaluation modeling methods and is... [to full text]
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