中国证券公司资本配置绩效的EVA评价(1)

EVAD21.EVA....................................................61.1EVA..........................................................................61.2EVA.............................91.3EVA................112......................................................152.1...................................................................................152.2...................................................................................183.EVA......................................203.1...................................213.2EVA............................224..............................................264.1...................264.3EVA.......................345........................................................................425.1........................................435.2.......................446.EVA......................................................467.......................................................................................................493WTOEVAEVAEVAEVAEVAEVAEVAEVA4EVAEVAEVAEVAEVAEVAEVAEVAEVAEVA5EVAEVAEVA6EVA2001(20012002)EVAEVA1.EVA1.1EVAEVAMertonH.MillerFrancoModiglianiNPVEVA7AL·2001(JoelM.Stern)GG·BennettStewartStern.J.M.,G.B.Stewart1995Stern&StewartEVAEVAEVA20012002EVANOPATWACCNAEVA=NOPAT-WACCNAWACC=1-+1-EVAEVAEVAAL·8EVAEVAEVAIttNItt-1tCttCt=NIt+It-1-It(1)RIWACCrtRIt=NIt-(rt*It-1)(2)Ct=RIt+(1+rt)It-1-It(3)Ct+n=RIt+n+(1+rt+n)It+n-1-It+n(4)Vt(Ct)Vt=∑∞=+++1)1(nnntntrC(5)123Vt=∑∞=+++−+++−++11)1()1(nnntntntntntrIRIIr=It+∑∑∑∞=∞=++++∞=−+−++++−+11211)1()1()1(nnnntntnntntnnntntrRIrIrI=It+∑∞=+++1)1(nnntntrRI(6)SternStewartEVA69Vt=It+∑∞=+++1)1(nnntntrEVA77EVAEVA1.2EVA1EVAEVAEVA2EVAGAAPGAAP160101-1EVA20011110EVA1-1EVA3EVAEVA300EVA1-2500EVABOLSECASCADEAT&TFLEMINGBESTBUYBONSANTOFEDERALMOGUL11RYDERSYSTEMSHAWINDUSTUYBALLCSXCASESternStewart4EVAEVAEVA1.3EVA12EVAEVA1EVAEVA2EVAEVAEVA3EVA13EVAEVAEVAEVAEVA4EVAEVADCFEVA5EVA14EVA6EVAEVAEVAEVAEVAEVAEVAEVAEVAEVAEVA152.2.119993.92%3.36%552.54%2-11999%90.2087.6779.3290.3195.0587.8948.0358.2339.2160.7870.7352.5421.7011.4725.046.840.4615.952.794.280.000.0010.593.089.936.9025.0416.8012.2813.438.0310.2318.268.664.2010.333.555.968.074.171.934.952-2•1999•%72.4581.353.923.361.962.6566.5675.3427.5518.6516•18.3215.571.011.118.221.9719991.01%1.11%6%200211850%6%171999873081.20876.8828.46%662.7875.58%”182.211*******192-3199948.76%41.64%15.98%16.30%29.00%32.18%19.86%30.50%3.00%4.06%7.32%10.10%17.77%15.95%6.24%19.50%10%22%36.39%----1.47%6.16%5.21%1.60%100%100%100%100%SIA•J.P90%20WTOEVA——EVA3.EVAWTO21EVA3.13.1.1WTO3.1.2EVAEVA22EVAEVA3.2EVA233.2.13-1199920023-1//145703242379340.06328437/328534.5289626262725.15/18982473923.1766102249http//::“”“”10252002EVAEVA26EVA4.EVAEVAEVA4.14.2.12778.34%2-22-14-1200195.4%78.3%6.0%6.7%0.5%3.9%4.6%0.2%2.6%1.8%20014.2.24-250%20%282.95%4-22001/%63%11%2%21%3%100%20014.2.3EVAEVA29EVAEVAEVA4.2.3.1EVANOPATWACCNAEVA=NOPAT-WACCNAWACC=1-+1-EVA30GAAPEVA=*1-+-++++2001EVAEVAEVA=-*3110%20012001=++-++EVA4-32001EVAEVAEVA16%-20147691.58-14.86%7%3249916.6616.24%8%-5060079.68-39.10%5%-15338380.96-2.16%10%-40683311.61-4.62%2001324.2.3.2EVAEVAEVAEVAROEROEROE1,ROE1EVA4-4ROEEVAROE2WACCWACCROE2ROE1ROEROE2ROE1EVA0EVAEVA0WACCROE2334-4EVAROEEVAEVAEVAROE4-52001ROEEVAROEEVAEVA1.59%3-20147691.584-14.86%22.74%13249916.66116.24%-31.34%4-5060079.682-39.10%3.31%2-15338380.963-2.16%5.38%-40683311.61-4.62%4-5EVAEVAEVA20012001344-32001EVAEVA20014.3EVAEVA4.3.1EVAEVAEVA351.EVAEVAEVAEVA2.EVANOPAT3.4.5.EVA4.3.2EVAEVAEVAEVAEVAEVAEVAEVA36EVAEVA20012001EVAEVAWTO4.3.34.3.3.14-619972000374-619972000(%)•19.023.736.926.523.012.120.227.320.627.614.036.541.529.93.342.93.8-3.611.620.411.730.720.912.523.414.616.812.917.525.840.424.24-620%15%50%1/34-4382001%··4.3.3.2220012001WTO394-72001EVAEVAEVA/A5%-1801255.80-2.31%B5%267945.190.34%C5%-3637080.14-4.64%D5%2182287.652.81%F5%-1778747.49-2.28%G5%-3422382.29-4.49%H5%-1027095.06-1.32%I5%-1913005.46-2.22%J5%-3389173.97-4.23%5%-15338380.96-2.16%20014-72001EVABDEVA40EVA4-81998-20014-819982001%19981999200020011998-2001-4757102-1225-63-3295-6-1.5--23-2734-5-63-3147121182404432133112-52158841419982001EVA1.412.10303EVAEVAEVA42EVAEVAEVA5.“”“”EVAEVA435.1EVAVAPEVAEVAVAPEVA5-1EVAVAP5-1EVAEVA+/44--BCG5.2EVAVAP1234450%20%40%60%80%100%ROEROAVAPVAPVAPVAP46VAPVAPVAPVAPVAPVAP6.EVAEVA47EVAEVAEVAEVAEVAEVAEVAEVAEVAEVAEVAEVAEVA4855-10EVAEVAEVAEVAEVA12493EVAEVAEVAEVA7.WTOEVAEVAEVAEVAEVA50EVAEVAEVAEVAEVAEVAEVAEVAEVAEVA[]1.BiddleG.,Bowen,R.&Wallace,J.,DoesEVAbeatearnings?EvidenceonassociationswithstockreturnsandfirmvaluesJournalofAccountingandEconomics,Vol.24,1997512.GeraldT.Garvey,ToddT.MilbournEVAversusEarnings:Doesitmatterwhichismorehighlycorrelatedwithstockreturns?”CurrentDraft20003.IgnacioVelez-Pareja,PolitecnicoGrancolombiano(1999)ValueCreationanditsMeasurement:ACriticalLookatEVA”,[e-mail]rethinkingcorporategovernanceforthe21stcenturyTheBrookingInstitution,19955.O’ByrneEVAandmarketvalue.JournalofAppliedCorporateFinance,1996;Spring;116—1256.Stern.J.M.,G.B.Ste