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KAKEN_16K04001seika.pdf
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Title |
Title |
企業価値評価の理論的基礎の探求
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Kana |
キギョウ カチ ヒョウカ ノ リロンテキ キソ ノ タンキュウ
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Romanization |
Kigyō kachi hyōka no rironteki kiso no tankyū
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A study on the theoretical foundation of equity valuation
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太田, 康広
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Kana |
オオタ, ヤスヒロ
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Romanization |
Ōta, Yasuhiro
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Affiliation |
慶應義塾大学・経営管理研究科 (日吉) ・教授
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Research team head
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科研費研究者番号 : 70420825
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2019
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科学研究費補助金研究成果報告書
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2018
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Abstract |
企業会計上の資本と利益の予測数値とクリーン・サープラス関係とから企業価値評価を行なう残余利益モデルをベースに企業価値評価モデルの構築を行なった。ベースとするのは四半期データである。具体的には四半期利益の成長率や株主資本の成長率を基にして四半期利益と株主資本を推計する時系列モデルを作り、標本外の将来予測で自由度調整済み決定係数で8割を超える良好な結果を得た。しかし、クリーン・サープラス関係を媒介として計算した株式価値が実際の企業の時価総額とはかなり乖離する結果となった。会計情報のダイナミクスの記述と企業価値評価を直接リンクさせることは難しい。
The current study constructs an equity valuation model based on forecasts of earnings and equity capitals and the clean surplus relation between earnings and equities. An earnings forecast model and an equity forecast model were developed on the relations among earnings growth rates and equity growth rates with quarterly data. The models correctly capture more than ninety percent of the variations in multivariate regressions of the current quarterly earnings and equity on the past quarterly earnings and equities. However, an equity valuation model based on the accounting dynamics fails to explain the significant portion of the actual equity market capitalization. It is difficult to reconcile the accounting dynamics with the actual market capitalization.
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研究種目 : 基盤研究 (C) (一般)
研究期間 : 2016~2018
課題番号 : 16K04001
研究分野 : 会計学
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