A ampla divulgação do conceito de valor econômico adicionado (EVA®) fez com que as empresas utilizassem essa medida de desempenho para evidenciar o quanto de valor foi adicionado aos seus proprietários. Essas empresas esperam que EVA®s positivos aumentem o valor da empresa no mercado. Nesse sentido, alguns estudos comprovaram uma relação forte entre o EVA® e o retorno das ações no mercado, confirmando que o EVA® positivo valoriza a empresa no mercado (FELTHAM et al, 2004; SILVEIRA et al, 2004). Entretanto, ao se analisarem as medidas contábeis tradicionais, como lucro líquido e fluxo de caixa operacional, encontra-se uma forte relação dessas medidas com o retorno das ações e uma fraca relação do EVA® com o retorno das ações (BIDDLE et al, 1997). Neste trabalho, foi aplicado o estudo de Biddle et al, para todas as empresas não-financeiras de capital aberto listadas na Bovespa, no período de 1997 a 2006. Foi apurado o lucro líquido, o fluxo de caixa operacional, o EVA® e o lucro residual (EVA® sem ajustes contábeis) e foi analisada a relação dessas medidas com o retorno das ações das empresas brasileiras. Foi analisada também a influência dos ajustes contábeis na explicação do retorno das ações, para o mesmo período. Os testes de regressões com efeito fixo e efeito aleatório para as amostras com as variáveis independentes ajustadas e não-ajustadas mostraram que o poder de explicação, medido pelo r-quadrado, encontrado nos testes foi muito baixo. Este resultado se aproximou do encontrado por Biddle et al e Feltham et al, fato este que não permitiu afirmar claramente o quanto as medidas de valor econômico e as medidas contábeis explicaram o retorno das ações e se afastou dos resultados encontrados por Silveira et al fato este que poderia evidenciar que o mercado brasileiro apresentou alguma eficiência na sua forma semi-forte. / The huge propagation of the EVA® (Economic Value Added) concept allows companies to use this performance measure to prove how much value was added for the owners. These companies hope positive EVA®s increase firm values in the market. In this direction, some studies prove a strong association between EVA® and stock returns, confirming that the positive EVA® valorizes companies in the market (Felthan et al, 2004; Silveira et al, 2004). However, when analyzing mandated performance measures, such as earning and operate cash flow, there is a strong association between these measures and the stock returns, and a weak association between EVA® and stock returns (Biddle et al, 1997). At this study, Biddle et al study was applied to all of no-financial companies with open capital listed at Bovespa, from 1997 to 2006. Earning, operate cash flow, EVA® and residual income (EVA® without accounting adjustments) were verified, and the association between these measures and Brazilian company stock returns was analyzed. The influence of accounting adjustments in the explanation of stock returns was analyzed too, in the same period of time. The tests of fixed effect regression and random effect regression for the samples with independent, adjusted and non-adjusted variables showed that the explanation power, measured by r-square, found in the tests, was very low. This result got closer to the results presented by Biddle et al, which did not allow clearly stating how much the economic value and accounting measures explain the stock returns. In the other hand, this result got far from the results presented by Silveira et al, which could prove that Brazilian market has some efficiency in its semistrong-form.

Cette thèse de doctorat s’intéresse fondamentalement au traitement de la question suivante : quelle forme d’association entre les données comptables et les valeurs de marché subsiste dans le contexte de forte volatilité et de haut risque propre aux marchés émergents ? Pour atteindre ce but, deux modèles ont été utilisés dans ce travail : le modèle d’évaluation par les résultats résiduels (ou residual income model R.I.M) et celui de l’évaluation par la croissance anormale des résultats (ou abnormal earnings growth A.E.G).Dans cette étude, un modèle de type R.I.M. est développé avec des hypothèses particulières concernant la capacité de l’entreprise à créer de la valeur et ses implications ont été testées empiriquement sur un échantillon comprenant des entreprises provenant d’Amérique du Nord, d’autres pays développés et d’un ensemble de pays émergents sur la période2000-2007. Les résultats obtenus soulignent que le degré d’association entre les valeurs comptables et les valeurs de marché dépend du stade de croissance et des modes de financement utilisés par les firmes. Si les indicateurs comptables de croissance et d’endettement apportent une information complémentaire significative dans les pays développés, leur contribution est très modeste dans le cas des pays émergents.Le développement d’un modèle d’évaluation de type AEG (initialement proposé par Ohlson & Juettner-Nauroth), incluant une modélisation de l’évolution des rentes attendues compatible avec des conditions de concurrence pure et parfaite nous permet de proposer une relation testable entre la valeur de marché d’une action, le résultat net par action attendu dans un an,son taux de croissance à court terme et un ensemble de variables comptables composant un indicateur synthétique de croissance de l’entreprise. Nos résultats montrent (1) que l’accroissement attendu du bénéfice par action est associé significativement au cours boursier (surtout pour les pays développés), (2) mais que, comme le suggère notre modèle, la persistance de ses effets est limitée (surtout pour les pays émergents), (3) que lorsque la dynamique de la croissance est plus complexe, l’inclusion d’une variable synthétique apporte un terme correctif significatif (4) et enfin que le coût du capital implicite est sensiblement plus élevé pour les pays émergents que pour les pays développés / This dissertation on emerging markets is driven by one fundamental question, i.e., is there any association between accounting data and market values in high risk and volatile emerging markets. To this end, two models, residual incomevaluation (R.I.M) and abnormal earnings growth (A.E.G), have been explored in this work.In the first study, a model of type Residual Income Valuation is developed and its implications are empirically tested on sample consisting of American companies, developed countries apart from USA and emerging countries over the period2000-2007. The results show that in most of countries studied, the association between the book value and market value ofequity significantly depends on the stage of growth and the method of financing characterizing the company.The development of a valuation model of type Abnormal Earnings Growth Model ( by Ohlson & Juettner-Nauroth),including modeling of evolution of expected relationship between market value of a share, expected earnings per share in ayear, its rate of growth in short-term and a set of accounting variable composing a synthetic indicator of growth of company,is studied in the second research work of this dissertation. Our results show that (1) expected increase in earnings per shareare significantly associated with stock prices ( especially for developed countries), (2) but, as suggested by our model, the persistence of its effects is limited ( especially for emerging countries), (3) when the dynamics of growth are more complex,inclusion of a synthetic variable can make a significant correction term (4) and finally the implied cost of capital issignificantly higher for emerging countries than for developed countries

This thesis proposes a theory of inefficient markets that uses limited rational choice as a central trait and I call it the theory of Homo comperiens. The theory limits the alternatives and states that the subjects are aware of and only allow them to have rational preference relations on the limited action set and state set, i.e. limited rationality is introduced. With limited rational choice, I drive a wedge between the market price and the intrinsic value and thus create an arbitrage market. In the theory, the subjects are allowed to gain knowledge about something that they previously were unaware of. As the discovery proceeds, the arbitrage opportunities disappear, and the market prices regress towards the intrinsic values. The theory is applied to firms and market-pricing models for a Homo comperiens environment is a result. The application of the theory to firms also leads to testable propositions that I test on a uniquely comprehensive Swedish accounting database that cover the years 1978—1994. Hypotheses are tested which argues that risk-adjusted residual rates-of-returns exist. The null hypotheses argue that risk-adjusted residual rates-of-returns do not exist (since they assume a no-arbitrage market). The null hypotheses are rejected in favor of their alternatives at a 0.0 percent significance level. The tests use approximately 22,200 observations. I also test hypotheses which argue that risk-adjusted residual rates-of-returns regress to zero with time. The null hypotheses are randomly walking risk-adjusted residual rates-of-returns, which are rejected in favor of the alternative hypotheses. The hypotheses are tested using panel regression models and goodness-of-fit tests. I reject the null hypotheses of random walk at a 0.0 percent significance level. Finally, the results are validated using out-of-sample predictions where my models compete with random-walk predictions. It finds that the absolute prediction errors from my models are between 12 to 24 percent less than the errors from the random walk model. These results are significant at a 0.0 percent significance level.

In this paper we examine the short and long-term relations between stock price, book value and residual income.  We employ a panel error correction model, estimated with Engle & Granger’s (1987) two-step procedure and the single equation methodology. The models are estimated with FE-OLS and the MG-estimator. We find that stock prices adjust previous periods equilibrium error. Further, we find that book value has short and long-term effects on stock prices. Finally, this paper finds mixed results regarding residual incomes impact on stock prices. The MG-estimator finds evidence for a short-term relationship, while the FE-OLS provides insignificant or weak support for short-term effects. FE-OLS and MG-estimator find insignificant or weak support regarding residual incomes long-term effects.

H παρούσα διατριβή προσφέρει, για πρώτη φορά, μια ολοκληρωμένη ανάλυση της επίδοσης των τραπεζών σε επίπεδο υποκαταστημάτων (branch level). Αξιολογήθηκε η επίδοση ενός ομοιογενούς δικτύου υποκαταστημάτων μεγάλης Ελληνικής Τράπεζας για την περίοδο Ιανουάριος 2006 - Ιούνιος 2009, στη βάση δύο λειτουργικών κριτηρίων, λαμβάνοντας υπόψη και την επίδραση της πρόσφατης κρίσης: στην αξία που παράγουν τα υποκαταστήματα για το μέτοχο της τράπεζας (shareholder value), όπως αυτή μετράται με το Υπολειμματικό Εισόδημα (residual income -RI), και στο βαθμό αποτελεσματικότητας κέρδους και παραγωγής (profit and production efficiency). Αναφορικά με τη διαχείριση της αξίας, βρέθηκε ότι οι λειτουργικοί παράγοντες αξίας (operational value drivers) που σχετίζονται με τη διαφοροποίηση του εισοδήματος, τη διαχείριση του ελεγχόμενου κόστους, την ικανότητα διαχείρισης του πιστωτικού κινδύνου, το spread των δανείων, και την ικανότητα του υποκαταστήματος να δημιουργεί έσοδα από καταθέσεις χαμηλού κόστους, συνδέονται στατιστικά σημαντικά με το RI. Η κρίση επηρεάζει στατιστικά σημαντικά μόνο τη διαχείριση του πιστωτικού κινδύνου, καταστρέφοντας περαιτέρω αξία για το μέτοχο και υποδεικνύοντας χαμηλότερη ικανότητα διαχείρισης του πιστωτικού κινδύνου. Επιπρόσθετα, αυτό το εμπειρικό εύρημα αποκαλύπτει και την αδυναμία του τρέχοντος λογιστικού πλαισίου σύμφωνα με το ΔΛΠ 39, να αναγνωρίζει και να καταγράφει νωρίτερα (την περίοδο της πιστωτικής ανάπτυξης) ζημιές απομείωσης της αξίας των δανείων. Όσον αφορά στη μέτρηση της αποτελεσματικότητας, βρέθηκε ότι η κρίση μειώνει στατιστικά σημαντικά μόνο τη μέση αποτελεσματικότητα κέρδους του δικτύου, απόρροια της χορήγησης κακών δανείων την περίοδο της πιστωτικής επέκτασης. / This thesis offers, for the first time, a comprehensive analysis of the performance of banks at the branch level. We evaluated the performance of a homogenous retail branch network of a large private Greek bank for the period January 2006-June 2009, based on two operational criteria, taking into account the impact of the recent crisis: the shareholder value that branches generate as measured by the Residual Income (RI) and the profit and production efficiency in branch operations. Regarding the value management, we found that diversified income, cost management, credit risk capabilities, income on core deposits and loan spread are all statistically significant associated with the RI. In addition, the value driver of credit risk capabilities is incrementally negatively associated with residual income at the branch level during the recent crisis, indicating lower ability to manage credit risk. Moreover, this finding reveals the inability of the current accounting framework under IAS 39 to recognize and record earlier (in the expansion period) impaired loans. Regarding the efficiency measurement, we found that during the crisis only the average profit-oriented efficiency of the branch network reduced significantly. We located the roots of the efficiency loss in the expansion period, in which over-optimism leads to the granting of bad quality loans.

本研究以台灣證券交易所編製之修正股價平均數為研究對象，衡量股價平均數之理論隱含價值，並加以預測。文中假設股票市價與真實價值間靜態均衡無法成立，改以連續收斂型態的動態調整過程，才能對於此種現象加以描述，並假設股價平均數之市價與模型評估值為共整合關係，利用V/P比率來預測股價平均數報酬率，且將投資大眾經常使用之變數（例如E/P、B/P、利率等等）加以比較，所得出之結論如下： (1) V/P比率一階自我相關係數較低，顯示V/P偏離平均值時，較其他比率返回平均數速度快，較能反映市場的走勢與變動。 (2) 短期下並無任一財務比率可以對於股價平均數走勢加以預測，但長期下（未來一年之後），V/P 比率具有相當顯著的預測能力。 (3) 將E/P與B/P納入迴歸式，V/P 比率在未來一至八季期間，仍具有顯著預測能力，可見V/P比率即使與E/P或B/P比率有某種程度的相關，並不影響到V/P 比率的預測能力。 (4) 將總體經濟變數納入迴歸式中，V/P 比率預測能力在短期中會受到些許影響，但經過一年之後，V/P 比率仍然具有相當顯著的預測能力。 (5) 若以過去公司每股盈餘、淨值、股東權益報酬率等財務相關歷史資料，作為未來公司盈餘收益以及成長的預測，會使得V/P 比率受到影響（在短期時預測能力大為降低），但就長期而言（未來第五季之後），此項指標仍然具有預測能力，對於股價平均數水準之評估，仍有一定程度的參考作用。 (6) 分別選取15%、13%、11%、9%及7%等固定折現率，依序求出修正股價平均數的V/P比率，檢定結果與隨時間變動折現率所計算之比率數值相比較，並沒有產生相當明顯的變化。雖然V/P比率的預測能力隨著折現率的下降而減弱，但其變化的趨勢並無絕對穩定的關係，對於「長期下」的預測能力，並不會產生極大的影響。 綜合以上結論，本研究發現：利用Ohlson（1990）剩餘所得模型（residual income model）來估算台灣證券交易所編製之修正股價平均數水準，較易以一般市場上獲取的會計資訊來加以衡量，也較能反映股市基本面價值。即使短期內V/P比率預測能力並不十分明顯，但長期下（一年後）採用V/P比率此項指標，仍能預測未來股價平均數之走勢，且與其他變數比較而言，此預測能力呈現一較穩定之關係。由於國內相關研究甚少直接對股市股價指數做直接的衡量與評估，因此，實務上可以將此估算方法作為一種參考指標，並以此分析未來股價指數水準在長期下之走勢與變動。 第一章 緒論 1 第一節 研究背景 1 第二節 研究動機與目的 2 第三節 研究架構 5 第四節 研究流程 6 第二章 文獻探討 7 第一節 國外部分 7 第二節 國內部分 10 第三章 研究方法與設計 13 第一節 研究設計 13 第二節 剩餘所得模型 15 第三節 資料收集與整理 18 第四節 研究方法與實證模式 25 第四章 實證結果與分析 30 第一節 修正股價平均數之檢視 30 第二節 基本面比率對於股價平均數報酬率之預測 32 第三節 V/P衡量方法之優劣比較 36 第五章 結論與建議 50 第一節 研究結論 50 第二節 研究限制與建議 52 參考文獻 54 英文部分 54 中文部分 56