财务报表分析外文文献及翻译

Financial Statement Analysis of Leverage and How It Informs About Protability and Price-to-Book Ratios

Doron Nissim, Stephen. Penman

Abstract

This paper presents a ?nancial statement analysis that distinguishes leverage that arises in ?nancing activities from leverage that arises in operations. The analysis yields two leveraging equations, one for borrowing to ?nance operations and one for borrowing in the course of operations. These leveraging equations describe how the two types of leverage affect book rates of return on equity. An empirical analysis shows that the ?nancial statement analysis explains cross-sectional differences in current and future rates of return as well as price-to-book ratios, which are based on expected rates of return on equity. The paper therefore concludes that balance sheet line items for operating liabilities are priced differently than those dealing with ?nancing liabilities. Accordingly, ?nancial statement analysis that distinguishes the two types of liabilities informs on future pro?tability and aids in the evaluation of appropriate price-to-book ratios.

Keywords: financing leverage; operating liability leverage; rate of return on equity; price-to-book ratio

Leverage is traditionally viewed as arising from ?nancing activities: Firms borrow to

raise cash for operations. This paper shows that, for the purposes of analyzing pro?tability and valuing ?rms, two types of leverage are relevant, one indeed arising from ?nancing activities but another from operating activities. The paper supplies a ?nancial statement analysis of the two types of leverage that explains differences in shareholder pro?tability and price-to-book ratios.

The standard measure of leverage is total liabilities to equity. However, while some liabilities—like bank loans and bonds issued—are due to ?nancing, other liabilities—like trade payables, deferred revenues, and pension liabilities—result from transactions with suppliers, customers and employees in conducting operations. Financing liabilities are typically traded in well-functioning capital markets where issuers are price takers. In contrast, ?rms are able to add value in operations because operations involve trading in input and output markets that are less perfect than capital markets. So, with equity valuation in mind, there are a priori reasons for viewing operating liabilities differently from liabilities that arise in ?nancing.

Our research asks whether a dollar of operating liabilities on the balance sheet is priced differently from a dollar of ?nancing liabilities. As operating and ?nancing liabilities are components of the book value of equity, the question is equivalent to asking whether price-to-book ratios depend on the composition of book values. The price-to-book ratio is determined by the expected rate of return on the book value so, if components of book value command different price premiums, they must imply different expected rates of return on book value. Accordingly, the paper also investigates whether the two types of liabilities are associated with differences in future book rates of return.

Standard ?nancial statement analysis distinguishes shareholder pro?tability that arises from operations from that which arises from borrowing to ?nance operations. So, return on assets is distinguished from return on equity, with the difference attributed to leverage. However, in the standard analysis, operating liabilities are not distinguished from ?nancing liabilities. Therefore, to develop the speci?cations for the empirical analysis, the paper presents a ?nancial statement analysis that identi?es the effects of operating and ?nancing liabilities on rates of return on book value—and so on price-to-book ratios—with explicit leveraging equations that explain when leverage from each type of liability is favorable or unfavorable.

The empirical results in the paper show that ?nancial statement analysis that distinguishes leverage in operations from leverage in ?nancing also distinguishes differences in contemporaneous and future pro?tability among ?rms. Leverage from operating liabilities typically levers pro?tability more than ?nancing leverage and has a higher frequency of favorable , for a given total leverage from both sources, ?rms with higher leverage from operations have higher price-to-book ratios, on average. Additionally, distinction between contractual and estimated operating liabilities explains further differences in ?rms’ pro?tability and their price-to-book ratios.

Our results are of consequence to an analyst who wishes to forecast earnings and book rates of return to value ?rms. Those forecasts—and valuations derived from them—depend, we show, on the composition of liabilities. The ?nancial statement analysis of the paper, supported by the empirical results, shows how to exploit information in the balance sheet for forecasting and valuation.

The paper proceeds as follows. Section 1 outlines the ?nancial statements analysis that identi?es the two types of leverage and lays out expressions that tie leverage measures to pro?tability. Section 2 links leverage to equity value and price-to-book ratios. The empirical analysis is in Section 3, with conclusions summarized in Section 4.

1. Financial Statement Analysis of Leverage

The following ?nancial statement analysis separates the effects of ?nancing liabilities and operating liabilities on the pro?tability of shareholders’ equity. The analysis yields explicit leveraging equations from which the speci?cations for the empirical analysis are developed. Shareholder pro?tability, return on common equity, is measured as

Return on common equity (ROCE) = comprehensive net income ÷common equity (1)

Leverage affects both the numerator and denominator of this pro?tability measure. Appropriate ?nancial statement analysis disentangles the effects of leverage. The analysis below, which elaborates on parts of Nissim and Penman (2001), begins by identifying components of the balance sheet and income statement that involve operating and ?nancing activities. The pro?tability due to each activity is then calculated and two types of leverage are introduced to explain both operating and ?nancing pro?tability and overall shareholder pro?tability.

Distinguishing the Protability of Operations from the Protability of Financing Activities With a focus on common equity (so that preferred equity is viewed as a ?nancial liability), the balance sheet equation can be restated as follows:

Common equity =operating assets＋financial assets－operating liabilities－Financial liabilities

(2)

The distinction here between operating assets (like trade receivables, inventory and property,plant and equipment) and ?nancial assets (the deposits and marketable securities that absorb excess cash) is made in other contexts. However, on the liability side, ?nancing liabilities are also distinguished here from operating liabilities. Rather than treating all liabilities as ?nancing debt, only liabilities that raise cash for operations—like bank loans, short-term commercial paper and bonds—are classi?ed as such. Other liabilities—such as accounts payable, accrued expenses, deferred revenue, restructuring liabilities and pension liabilities—arise from operations. The distinction is not as simple as current versus long-term liabilities; pension liabilities, for example, are usually long-term, and short-term borrowing is a current liability.

Rearranging terms in equation (2),

Common equity = (operating assets－operating liabilities)－(financial liabilities－financial assets)

Or,

Common (3)

equity = net operating assets－net financing debt

This equation regroups assets and liabilities into operating and ?nancing activities. Net operating assets are operating assets less operating liabilities. So a ?rm might invest in inventories, but to the extent to which the suppliers of those inventories grant credit, the net investment in inventories is reduced. Firms pay wages, but to the extent to which the payment of wages is deferred in pension liabilities, the net investment required to run the business is reduced. Net ?nancing debt is ?nancing debt (including preferred stock) minus ?nancial assets. So, a ?rm may issue bonds to raise cash for operations but may also buy bonds with excess cash from operations. Its net indebtedness is its net position in bonds. Indeed a ?rm may be a net creditor (with more ?nancial assets than ?nancial liabilities) rather than a net debtor.

The income statement can be reformulated to distinguish income that comes from operating and ?nancing activities:

Comprehensive net income = operating income－ net financing expense (4)

Operating income is produced in operations and net ?nancial expense is incurred in the ?nancing of operations. Interest income on ?nancial assets is netted against interest expense on ?nancial liabilities (including preferred dividends) in net ?nancial expense. If interest income is greater than interest expense, ?nancing activities produce net ?nancial income rather than net ?nancial expense. Both operating income and net ?nancial expense (or income) are after Equations (3) and (4) produce clean measures of after-tax operating pro?tability and the borrowing rate:

Return on net operating assets (RNOA) = operating income ÷net operating assets (5)

and

Net borrowing rate (NBR) = net financing expense ÷net financing debt (6)

RNOA recognizes that pro?tability must be based on the net assets invested in operations. So ?rms can increase their operating pro?tability by convincing suppliers, in the course of business, to grant or extend credit terms; credit reduces the investment that shareholders would otherwise have to put in the business. Correspondingly, the net borrowing rate, by excluding non-interest bearing liabilities from the denominator, gives the appropriate borrowing rate for the ?nancing activities.

Note that RNOA differs from the more common return on assets (ROA), usually de?ned as income before after-tax interest expense to total assets. ROA does not distinguish operating and ?nancing activities appropriately. Unlike ROA, RNOA excludes ?nancial assets in the denominator and subtracts operating liabilities. Nissim and Penman (2001) report a median ROA for NYSE and AMEX ?rms from 1963–1999 of only %, but a median RNOA of %—much closer to what one would expect as a return to business operations.

Financial Leverage and its Effect on Shareholder Protability

From expressions (3) through (6), it is straightforward to demonstrate that ROCE is a weighted average of RNOA and the net borrowing rate, with weights derived from equation (3):

ROCE= [net operating assets ÷common equity× RNOA]－[net financing debt÷

common equity ×net borrowing rate (7)

Additional algebra leads to the following leveraging equation:

ROCE = RNOA＋[FLEV× ( RNOA－net borrowing rate )] (8)

where FLEV, the measure of leverage from ?nancing activities, is

Financing (9)

leverage (FLEV) =net financing debt ÷common equity

The FLEV measure excludes operating liabilities but includes (as a net against ?nancing debt) ?nancial assets. If ?nancial assets are greater than ?nancial liabilities, FLEV is negative. The leveraging equation (8) works for negative FLEV (in which case the net borrowing rate is the return on net ?nancial assets).

This analysis breaks shareholder pro?tability, ROCE, down into that which is due to operations and that which is due to ?nancing. Financial leverage levers the ROCE over RNOA, with the leverage effect determined by the amount of ?nancial leverage (FLEV) and the spread between RNOA and the borrowing rate. The spread can be positive (favorable)

or negative (unfavorable).

Operating Liability Leverage and its Effect on Operating Protability While ?nancing debt levers ROCE, operating liabilities lever the pro?tability of operations, RNOA. RNOA is operating income relative to net operating assets, and net operating assets are operating assets minus operating liabilities. So, the more operating liabilities a ?rm has relative to operating assets, the higher its RNOA, assuming no effect on operating income in the numerator. The intensity of the use of operating liabilities in the investment base is operating liability leverage:

Operating liability leverage (OLLEV) =operating liabilities ÷net operating assets (10)

Using operating liabilities to lever the rate of return from operations may not come for free, however; there may be a numerator effect on operating income. Suppliers provide what nominally may be interest-free credit, but presumably charge for that credit with higher prices for the goods and services supplied. This is the reason why operating liabilities are inextricably a part of operations rather than the ?nancing of operations. The amount that suppliers actually charge for this credit is dif?cult to identify. But the market borrowing rate is observable. The amount that suppliers would implicitly charge in prices for the credit at this borrowing rate can be estimated as a benchmark:

Market interest on operating liabilities= operating liabilities×market borrowing rate

where the market borrowing rate, given that most credit is short term, can be approximated by the after-tax short-term borrowing rate. This implicit cost is benchmark, for it is the cost that makes suppliers indifferent in supplying cred suppliers are fully compensated if they charge implicit interest at the cost borrowing to supply the credit. Or, alternatively, the ?rm buying the goods or services is indifferent between trade credit and ?nancing purchases at the borrowin rate.

To analyze the effect of operating liability leverage on operating pro?tability, we de?ne:

Return on operating assets (ROOA) =(operating income＋market interest on operating liabilities)÷operating assets

(11)

The numerator of ROOA adjusts operating income for the full implicit cost of trad credit. If suppliers fully charge the implicit cost of credit, ROOA is the return of operating assets that would be earned had the ?rm no operating liability leverage. suppliers do not fully charge for the credit, ROOA measures the return fro operations that includes the favorable implicit credit terms from suppliers.

Similar to the leveraging equation (8) for ROCE, RNOA can be expressed as:

RNOA = ROOA＋[ OLLEV ×(ROOA－market borrowing rate )] (12)

where the borrowing rate is the after-tax short-term interest ROOA, the effect of leverage on pro?tability is determined by the level of operating liability leverage and the

spread between ROOA and the short-term after-tax interest rate. Like ?nancing leverage, the effect can be favorable or unfavorable: Firms can reduce their operating pro?tability through operating liability leverage if their ROOA is less than the market borrowing rate. However, ROOA will also be affected if the implicit borrowing cost on operating liabilities is different from the market borrowing rate.

Total Leverage and its Effect on Shareholder Protability Operating liabilities and net ?nancing debt combine into a total leverage measure:

Total leverage (TLEV) = ( net financing debt＋operating liabilities)÷common equity

The borrowing rate for total liabilities is:

Total borrowing rate = (net financing expense＋market interest on operating liabilities) ÷

net financing debt＋operating liabilities

ROCE equals the weighted average of ROOA and the total borrowing rate, where the weights are proportional to the amount of total operating assets and the sum of net ?nancing debt and operating liabilities (with a negative sign), respectively. So, similar to the leveraging equations (8) and (12):

ROCE = ROOA ＋[TLEV×(ROOA － total borrowing rate)] (13)

In summary, ?nancial statement analysis of operating and ?nancing activities yields three leveraging equations, (8), (12), and (13). These equations are based on ?xed accounting relations and are therefore deterministic: They must hold for a given ?rm at a given point in time. The only requirement in identifying the sources of pro?tability appropriately is a clean separation between operating and ?nancing components in the ?nancial statements.

2. Leverage, Equity Value and Price-to-Book Ratios

The leverage effects above are described as effects on shareholder pro?tability. Our interest is not only in the effects on shareholder pro?tability, ROCE, but also in the effects on shareholder value, which is tied to ROCE in a straightforward way by the residual income valuation model. As a restatement of the dividend discount model, the residual income model expresses the value of equity at date 0 (P0) as:

B is the book value of common shareholders’ equity, X is comprehensive income to common shareholders, and r is the required return for equity investment. The price premium over book value is determined by forecasting residual income, Xt – rBt-1. Residual income is determined in part by income relative to book value, that is, by the forecasted ROCE. Accordingly, leverage effects on forecasted ROCE (net of effects on the required equity return) affect equity value relative to book value: The price paid for the book value depends on the expected pro?tability of the book value, and leverage affects pro?tability.

So our empirical analysis investigates the effect of leverage on both pro?tability and

price-to-book ratios. Or, stated differently, ?nancing and operating liabilities are distinguishable components of book value, so the question is whether the pricing of book values depends on the composition of book values. If this is the case, the different components of book value must imply different pro?tability. Indeed, the two analyses (of pro?tability and price-to-book ratios) are complementary.

Financing liabilities are contractual obligations for repayment of funds loaned. Operating liabilities include contractual obligations (such as accounts payable), but also include accrual liabilities (such as deferred revenues and accrued expenses). Accrual liabilities may be based on contractual terms, but typically involve estimates. We consider the real effects of contracting and the effects of accounting estimates in turn. Appendix A provides some examples of contractual and estimated liabilities and their effect on pro?tability and value.

Effects of Contractual liabilities The ex post effects of ?nancing and operating liabilities on pro?tability are clear from leveraging equations (8), (12) and (13). These expressions always hold ex post, so there is no issue regarding ex post effects. But valuation concerns ex ante effects. The extensive research on the effects of ?nancial leverage takes, as its point of departure, the Modigliani and Miller (M&M) (1958) ?nancing irrelevance proposition: With perfect capital markets and no taxes or information asymmetry, debt ?nancing has no effect on value. In terms of the residual income valuation model, an increase in ?nancial leverage due to a substitution of debt for equity may increase expected ROCE according to expression (8), but that increase is offset in the valuation (14) by the reduction in the book value of equity that

earns the excess pro?tability and the increase in the required equity return, leaving total value ., the value of equity and debt) unaffected. The required equity return increases because of increased ?nancing risk: Leverage may be expected to be favorable but, the higher the leverage, the greater the loss to shareholders should the leverage turn unfavorable ex post, with RNOA less than the borrowing rate.

In the face of the M&M proposition, research on the value effects of ?nancial leverage has proceeded to relax the conditions for the proposition to hold. Modigliani and Miller (1963) hypothesized that the tax bene?ts of debt increase after-tax returns to equity and so increase equity value. Recent empirical evidence provides support for the hypothesis ., Kemsley and Nissim, 2002), although the issue remains controversial. In any case, since the implicit cost of operating liabilities, like interest on ?nancing debt, is tax deductible, the composition of leverage should have no tax implications.

Debt has been depicted in many studies as affecting value by reducing transaction and contracting costs. While debt increases expected bankruptcy costs and introduces agency costs between shareholders and debtholders, it reduces the costs that shareholders must bear in monitoring management, and may have lower issuing costs relative to equity. One might expect these considerations to apply to operating debt as well as ?nancing debt, with the effects differing only by degree. Indeed papers have explained the use of trade debt rather than ?nancing debt by transaction costs (Ferris, 1981), differential access of suppliers and buyers to ?nancing (Schwartz,1974), and informational advantages and comparative costs of monitoring (Smith, 1987; Mian and Smith, 1992; Biais and Gollier, 1997). Petersen and Rajan (1997) provide some tests of these explanations.

In addition to tax, transaction costs and agency costs explanations for leverage, research has also conjectured an informational role. Ross (1977) and Leland and Pyle (1977) characterized ?nancing choice as a signal of pro?tability and value, and subsequent papers (for example, Myers and Majluf, 1984) have carried the idea further. Other studies have ascribed an informational role also for operating liabilities. Biais and Gollier (1997) and Petersen and Rajan (1997), for example, see suppliers as having more information about ?rms than banks and the bond market, so more operating debt might indicate higher value. Alternatively, high trade payables might indicate dif?culties in paying suppliers and declining fortunes.

Additional insights come from further relaxing the perfect frictionless capital markets assumptions underlying the original M&M ?nancing irrelevance proposition. When it comes to operations, the product and input markets in which ?rms trade are typically less competitive than capital markets. Indeed, ?rms are viewed as adding value primarily in operations rather than in ?nancing activities because of less than purely competitive product and input markets. So, whereas it is difficult to ‘‘make money off the debtholders,’’ ?rms can be seen as ‘‘making money off the trade creditors.’’ In operations, ?rms can exert monopsony power, extracting value from suppliers and employees. Suppliers may provide cheap implicit ?nancing in exchange for information about products and markets in which the ?rm operates. They may also bene?t from ef?ciencies in the ?rm’s supply and distribution chain, and may grant credit to capture future business.

Effects of Accrual Accounting Estimates

Accrual liabilities may be based on contractual terms, but typically involve estimates. Pension liabilities, for example, are based on employment contracts but involve actuarial estimates. Deferred revenues may involve obligations to service customers, but also involve estimates that allocate revenues to periods. While contractual liabilities are typically carried on the balance sheet as an unbiased indication of the cash to be paid, accrual accounting estimates are not necessarily unbiased. Conservative accounting, for example, might overstate pension liabilities or defer more revenue than required by contracts with customers.

Such biases presumably do not affect value, but they affect accounting rates of return and the pricing of the liabilities relative to their carrying value (the price-to-book ratio). The effect of accounting estimates on operating liability leverage is clear: Higher carrying values for operating liabilities result in higher leverage for a given level of operating assets. But the effect on pro?tability is also clear from leveraging equation (12): While conservative accounting for operating assets increases the ROOA, as modeled in Feltham and Ohlson (1995) and Zhang (2000), higher book values of operating liabilities lever up RNOA over ROOA. Indeed, conservative accounting for operating liabilities amounts to leverage of book rates of return. By leveraging equation (13), that leverage effect ?ows through to shareholder pro?tability, ROCE.

And higher anticipated ROCE implies a higher price-to-book ratio.

The potential bias in estimated operating liabilities has opposite effects on current and future pro?tability. For example, if a ?rm books higher deferred revenues, accrued expenses or other operating liabilities, and so increases its operating liability leverage, it reduces its

current pro?tability: Current revenues must be lower or expenses higher. And, if a ?rm reports lower operating assets (by a write down of receivables, inventories or other assets, for example), and so increases operating liability leverage, it also reduces current pro?tability: Current expenses must be higher. But this application of accrual accounting affects future operating income: All else constant, lower current income implies higher future income. Moreover, higher operating liabilities and lower operating assets amount to lower book value of equity. The lower book value is the base for the rate of return for the higher future income. So the analysis of operating liabilities potentially identi?es part of the accrual reversal phenomenon documented by Sloan (1996) and interprets it as affecting leverage, forecasts of pro?tability, and price-to-book ratios.

3. Empirical Analysis

The analysis covers all ?rm-year observations on the combined COMPUSTAT (Industry and Research) ?les for any of the 39 years from 1963 to 2001 that satisfy the following requirements: (1) the company was listed on the NYSE or AMEX; (2) the company was not a ?nancial institution (SIC codes 6000–6999), thereby omitting ?rms where most ?nancial assets and liabilities are used in operations; (3) the book value of common equity is at least $10 million in 2001 dollars; and (4) the averages of the beginning and ending balance of operating assets, net operating assets and common equity are positive (as balance sheet variables are measured in the analysis using annual averages). These criteria resulted in a sample of 63,527 ?rm-year observations.

Appendix B describes how variables used in the analysis are measured. One measurement issue that deserves discussion is the estimation of the borrowing cost for

operating liabilities. As most operating liabilities are short term, we approximate the borrowing rate by the after-tax risk-free one-year interest rate. This measure may understate the borrowing cost if the risk associated with operating liabilities is not trivial. The effect of such measurement error is to induce a negative correlation between ROOA and OLLEV. As we show below, however, even with this potential negative bias we document a strong positive relation between OLLEV and ROOA.

4. Conclusion

To ?nance operations, ?rms borrow in the ?nancial markets, creating ?nancing leverage. In running their operations, ?rms also borrow, but from customers, employees and suppliers, creating operating liability leverage. Because they involve trading in different types of markets, the two types of leverage may have different value implications. In particular, operating liabilities may re?ect contractual terms that add value in different ways than ?nancing liabilities, and so they may be priced differently. Operating liabilities also involve accrual accounting estimates that may further affect their pricing. This study has investigated the implications of the two types of leverage for pro?tability and equity value.

The paper has laid out explicit leveraging equations that show how shareholder pro?tability is related to ?nancing leverage and operating liability leverage. For operating liability leverage, the leveraging equation incorporates both real contractual effects and accounting effects. As price-to-book ratios are based on expected pro?tability, this analysis also explains how price-to-book ratios are affected by the two types of leverage. The empirical analysis in the paper demonstrates that operating and ?nancing liabilities imply

different pro?tability and are priced differently in the stock market.

Further analysis shows that operating liability leverage not only explains differences in pro?tability in the cross-section but also informs on changes in future pro?tability from current pro?tability. Operating liability leverage and changes in operating liability leverage are indicators of the quality of current reported pro?tability as a predictor of future pro?tability.

Our analysis distinguishes contractual operating liabilities from estimated liabilities, but further research might examine operating liabilities in more detail, focusing on line items such as accrued expenses and deferred revenues. Further research might also investigate the pricing of operating liabilities under differing circumstances; for example, where ?rms have ‘‘market power’’ over their suppliers.

会计研究综述，2003,16(8):531-560

财务报表分析的杠杆左右以及如何体现盈利性和值比率

摘要

本文提供了区分金融活动和业务运营中杠杆作用的财务报表分析。这些分析得出了两个杠杆作用等式。一个用于金融业务中的借贷，一个用于运营过程的借贷。这些等式描述了两种杠杆效应如何影响股本收益率。实证分析表明，财务报表分析解释了当前和未来的回报率以及股价与账面价值比率具有代表性的差异。因此文章得出如下结论，资产负债表项目的运营负债定价不同于融资负债。因此，财务报表的分析能够区分两种类型的负债对未来盈利能力和提升适当的股价与账面价值

比率的影响。

关键词：财政杠杆；运营债务杠杆；股本回报率；值比率

前言

传统观点认为，杠杆效应是从金融活动中产生的：公司通过借贷来增加运营的资金。本文表明，在分析企业盈利和价值中，有两种相关杠杆起作用，一个的确是从金融活动产生的，另一种是是从运营过程中产生的。本文提供了两种类型杠杆的财务分析报表来解释股东盈利能力和价格与账面比率的差异。

杠杆作用的衡量标准是负债总额与股东权益。然而，一些负债——如银行贷款和发行的债券，是由于资金筹措，其他一些负债——如贸易应付账款，预收收入和退休金负债， 是由于在运营过程中与供应商的贸易，与顾客和雇佣者在结算过程中产生的负债。融资负债通常交易运作良好的资本市场其中的发行者是随行就市的商人。与此相反，在运营中公司能够实现高增值。因为业务涉及的是与资本市场相比，不太完善的贸易的输入和输出的市场。

因此，考虑到股票估值，运营负债和融资负债的区别的产生有一些先验的原因。我们研究在资产负债表上，运营负债中的一美元是否与融资中的一美元等值这个问题。因为运营负债和融资负债是股票价值的组成部分，这个问题就相当于问是否股价与账面价值比率是否取决于账面净值的组成。价格与账面比率是由预期回报率的账面价值决定的。所以，如果部分的账面价值要求不同的溢价，他们必须显示出不同的账面价值的预期回报率。因此，本文还研究了是否两类负债与将来的账面收益率的区别有关。

标准的财务报表分析的能够区分股东从运营中和借贷的融资业务中产生的利润。因此，资产回

报有别于股本回报率，这种差异是由于杠杆作用。然而，在标准的分析中，经营负债不区别于融资负债。因此，为了制定用于实证分析的规范，本文提出了一份财务报表的分析来明确运营债务和融资债务对账面价值回报率的影响以及价格与账面比率，利用方程精确解释各种类型的债务中的杠杆作用何时起到有利作用，何时起到不利的作用。

本文的实证结果表明，能够区分运营中的杠杆作用和融资中的杠杆作用的财务报表分析也能够区分公司当前和未来的盈利情况。运营债务与融资债务相比，通常能在杠杆作用中使企业获得更大的利益，并且获得有利结果的频率更高。 因此，在运营方面杠杆更高的公司有更高的股价与账面价值比率。此外，合同和预期经营负债的区别进一步说明不同企业的盈利能力和他们的价格账面价值的比率。

我们的研究结果是用于愿意分析预期公司的收益和账面收益率。这些预测和估值依赖于负债的组成。本文从实证结果得出的财务报表分析文件显示，如何利用资产负债表中的信息进行预测和估价。

这篇文章结构如下。第一部分概述并指出了了能够判别两种杠杆作用类型，连接杠杆作用和盈利的财务报表分析第二节将杠杆作用，股票价值和价格与账面比率联系在一起。第三节中进行实证分析，第四节进行了概述与结论。

一、 杠杆作用的财务报表分析

以下财务报表分析将融资债务和运营债务对股东权益的影响区别开。这个分析从实证的详细分析中得出了精确的杠杆效应等式

普通股产权资本收益率=综合所得÷普通股本 （1）

杠杆影响到这个盈利等式的分子和分母。适当的财务报表分析解析了杠杆作用的影响。以下分析是通过确定经营和融资活动中的资产负债表和损益表的组成开始分析。计算每一项活动所获得的利润，然后引入两种类型的杠杆作用来解释运营和融资的盈利以及股东的总体盈利。

（一） 区分运营和融资过程中的盈利

普通股权=经营资产＋金融负债－经营负债－金融负债 （2）

侧重于普通股（以便优先股被视为融资债务），资产负债表方程可重申如下：经营性资产的区别（如贸易应收款，库存和物业，厂房及设备）和金融资产（存款及可出售证券吸收多余现金）在其他方面。然而，债务方面，融资负债也区别于经营负债。不应该把所有负债都当作融资负债来处理，相反，只有从运营中得到的现金，就像银行贷款，短期商业票据和债券属于这种类型。其他负债，如应付账款，累计费用，预收收入，重组债务和养老金负债，产生于业务。这种区别并不像当前与长远负债那么简单;养老金负债，例如，通常是长期，短期的借款是一种当前的负债。

等式的重排（2）

普通股权=（经营资产－经营负债）－（金融资产－金融负债）

或者，

普通股权=净经营资产－净金融负债 （3）

这个等式的重排将资产和负债纳入经营和融资活动。净经营资产等于经营性资产减去经营负债。因此，一个公司可能在投资清单上的投资，但是投资清单上的投资者可以一定程度上给予信贷，投资清单上的投资就会减少。

企业支付工资，但在多大程度上工资的支付在退休金负债中递延，公司运营净投资就会减少。净融资债务是融资债务（包括优先股）减去金融资产。因此，一个公司可能会发行债券，以筹集资金，但也可能购买债券超额现金业务。事实上一个公司的可能是一个净债权者（更多的金融资产与金融负债比），而不是净债务者。损益表可以重新区分来自运营和融资的收入。

综合净收入=运营收入－净额融资费用 （4）

运营收入是在生产经营中产生的，净额融资费用是在融资过程中产生的。金融资产的利息收入是与净财政收入中金融负债（包括优先股股息）的利息支出相抵消的。如果利息收入大于利息支出，融资活动产生净财政收入，而不是净财务支出。两种运营收入和净财务支出（或收入）是按照税后计算的。

等式（3）和（4）清楚的计算了税后的运营利润和借贷率

净资产回报率=运营收入÷运营净资产 （5）

可供营运的资产净额=净资产支出÷净资产债务 （6）

净资产回报率显示出收益必须是在净资产投资基础上。因此，公司可以通过说服供应商在业务过程中给予或延长信贷条件提高其经营盈利，信贷会减少投资股东本来要在业务上的投资。相应地，从分母排除不计息负债后，净借款利率给出了适当的融资活动贷款利率。

值得注意的是，净资产收益率不同于较常见的资产收益率（资产回报率），通常被定义为总资产在税后利息前的收入。资产收益率没有很好的区分运营和融资过程。不像资产收益率，净资产收益率不包括分母中的金融资产，并且减去了运营负债。尼萨姆和彭曼（2001）报告中指出纽约证券交易所和美国证券交易公司在1963-1999年间的平均资产收益率只有%，但平均净资产收益率

是%，后者更接近人们在商业运营中所期望的回报值。

（二）财务杠杆作用和其对股东盈利的影响

从式（3）到式（6）可以推算出来运用资本报酬率是净资产收益率和净借贷率平均值。

资本收益率=[净经营资产÷普通股权×净资产回报率]－[净金融负债÷普通股权×

净借款利率] （7）

另外代数方程式可以得出下列杠杆：

资本收益率=净资产收益率＋[财务杠杆×（净资产收益率－境借款利率）] （8）

从金融活动出发计算财务杠杆如下：

财务杠杆=净金融负债÷普通股权 （9）

财务杠杆作用排除了运营负债，但是包括（作为净反对融资的债务）金融资产。如果金融资产大于融资负债，财务杠杆作用是负的。杠杆等式（8）是在财务杠杆为负的情况下使用的（在这种情况下，净借贷率是净金融资产回报率）。这个分析将股东收益分成运营获益和融资获益。财务杠杆凌驾于运用资本报酬率和净资产收益率之上，其中杠杆效应由财务杠杆决定，由净资产收益率和借贷率调节。这个调节可以是正向的，也可以是负向。

（三）运营债务杠杆作用和它对运营收益的影响

资金债务控制已动用资本回报率，运营债务控制运营中的收益，净资产收益。所以，一个公司的运营负债与运营资产相关性越大，在运营收入一定的情况下，它的净资产收益越高。在投资中，运营负债的应用频率就是运营杠杆作用。

利用运营负债来衡量运营中的收益率可能不太准确，但是，有一个分子对运营收入有影响。供应商提供名义上可免息贷款，但向用户收费 但最终对于该信贷提供价格较高的商品和服务。这是为什么运营负债是运营方面不可分割的一部分而不是融资的一部分。供应商对信贷的收费很难量化，但是市场借贷率是可以观察到的。在这个借贷率下，供应商对信贷的隐性收费是可以估计的。

运营负债的市场利率=运营负债×市场借贷率 （10）

市场借贷率，因为大多数是短期信贷，可以看作近似的税后短期借贷利率。这个隐性成本是一个标准，因为它使得供货商在提供信贷时保持中立，供货商如果以借贷率提供信贷，或者公司买卖货物过程中的贸易借贷和资金购买中以借贷率成交的话，供货商将承担全部损失。

为了分析运营债务杠杆对运营盈利的影响，定义如下：

经营资产收益率=（经营收入＋经营负债的市场利率）÷经营资产 （11）

经营资产收益率的计算因子是随着所有贸易信贷的隐性成本带来的经营收入变动的。如果供应商完全承担信用的隐性成本，经营资产收益率是将要获得的经营资产的回报率没有经营负债杠杆。供应商不完全承担信用，经营资产收益率将权衡包括从供应商取得的有利的隐性信用条款的经营负债。

类似于资本收益率的平衡方程（8），净经营资产回报率用可表示为：

净资产收益率=经营资产收益率＋[经营负债杠杆×（经营资产收益率－市场借贷率）] （12）

借贷率是税后短期利率。已知经营资产收益率，杠杆对盈利的影响就由运营债务杠杆的水平，来决定，而扩展是在经营资产收益率和短期的税后利率之间。像财务杠杆，影响可能是有利的或者是不利的：如果它的经营资产收益率小于市场借款利率，企业可以通过经营负债杠杆减少经营收益。然而，经营资产收益率也可能被经营负债率不同于市场贷款利率的隐性借贷成本影响。

（四） 杠杆作用和对股东收益的影响

经营负债和净财务负债结合进总杠杆的办法：

总杠杆=（净金融负债＋经营负债）÷普通股权

总负债的借款利率是：

总借款利息率=（经财务费用＋经营负债的市场利率）÷（净金融负债＋经营负债）

资本收益率等于加权平均的净资产收益率与贷款利率之和，权重是与所有金融资产、净金融负债之和以及经营负债（负的）的总额分别成比例的。所以，类似的平衡方程（8）和（12）：

资本收益率=净资产收益率＋[总杠杆×（净资产收益率－总借款利率）] （13）

总之，运营和融资的财务报表分析有三个等式，（8），（12）和（13），这些等式是基于固定的结算关系，因此具有确定性：他们必须应用于某个公司的某个时间段。区分盈利来源的唯一要素是在财务分析上，运营和融资组成上有一个明确的区分。

二、杠杆、股权价值和值比率

上述的杠杆效应是被描述为对股东收益率的影响。我们感兴趣的不仅是对股东收益率、资本收益率的影响，也是对在剩余价值模型方法上的与资本收益率有联系的净资产价值的影响。作为一个对股利折现模型的补充，剩余收入模型表示在日期0 (P0)的价值：

B是普通股的面值，X 是普通股的综合收益，r是投资资本所要求的回报。溢价取决于预算剩余收入，剩余收入部分取决于与面值有关的相关收入，也就是预算的资本收益率。因此，对预算的资本收益率的杠杆作用（对股本回报的净影响）影响与面值有关的股权价值：所付的面值价格取决于预期面值收益率，即杠杆影响收益率。

所以我们的实证分析，探讨了杠杆对收益率和之比率的影响。或者换句话说，金融负债和经营负债是账面价值的不同组成部分，所以问题是是否账面价值的定价取决与账面价值的组成。在这种情况下，账面价值的不同组成可能导致不同的收益率。事实上，这两种分析（对收益率和值比率）是互补的。

金融负债是贷款偿还的合同义务。经营负债（像应付账款）包括合同义务，也包括应计负债（例如递延收入和应计费用）。应计债务可能基于合同条款，但通常包括估计我们考虑了实际效果的影响的收缩和会计估计。附录A合同实例和估计负债以及他们在可能性和价值方面的影响。

（一）合同负债的影响

“事后”的效果，融资和经营负债的流动性是远离平衡方程（8），（12）和（13）。这些现象一直持续到事后，所以没有对于事后效果的问题。但是估价问题涉及到事后效果。以财政杠杆为出发点，对财务杠杆影响进行的广泛性研究，莫迪里亚尼和米勒召开了主题为完美资本市场，无税

以及信息不对称对债务融资并无影响的会议。

在剩余收入的价值模型中，财务杠杆的增长取决于负债替代权益根据表达式（8）可能会提高预期资本收益率，但是，在估价增加抵消（14）以降低账面价值的股票，获得更高的流动性和增加超过所需的股本回报，总资产的价值(例如，股票和债券)未受影响。所需的股权回报的风险增加，因为增加了财务风险：杠杆可能有利，但是较高的杠杆作用，更大的损失，对于股东来说，应利用RNOA少于借款利率来把杠杆转为事后不利。

在M&M主题的表面，对财务杠杆的价值影响的研究已经开始缓和主题所提出的状况。莫迪里亚尼和米勒（1963）假设债务增长的税收优惠和税后收益，增加股权价值。最近的实证研究提供支持这个假设（例如,Kemsley和Nissim,2002年），但这个问题仍存在争议。在任何情况下，经营负债的隐含成本，像金融负债的利息，是税务抵减额，杠杆组成不涉及税务。

债务在许多研究中被描绘为影响降低交易成本价值。当债务增加预期的破产费用和投资人和债权人的代理成本时，减少了股东在必须承担的主要管理的成本和降低股票的发行成本。我们预期这些考虑到适用于操作债务以及金融负债，与之不同的只有程度。事实上本文已经阐述了交易成本使用经营债务而非金融债务（Ferris, 1981），财务上供应商和客户使用不同的方法（Schwartz,1974），信息有事和比较成本控制。

彼德生和拉詹（1997）为这些解释提供一些测试。除了税，交易成本和代理成本对杠杆的解释,文章也研究了信息因素。罗斯(1977年)，他们和派尔（1977）认定财务选择作为区分成因和价值的标志，下文（例如, Myers and Majluf, 1984）将深入研究。其他研究的参考作用归咎于经营负债。例如，Biais和Gollier （1997年）和彼得森和拉詹（1997年）认为对比银行和债券市场中供应商有更多关于公司的信息，?使更多的经营债务可能表明更高的价值。

另外，高贸易应付可能暗示支付供应商的困难和下降的财富。更多的来自于进一步放宽资本的完美无摩擦市场假设原来的M机电融资无关化。当涉及到业务，产品和投入市场的公司在其中贸易通常是竞争力不及资本市场。事实上，企业被视为主要是在增值业务，而不是融资活动因为比不过纯粹的竞争力的产品和投入市场。所以，难以赚钱的债券持有者，公司可以被看作是以贸易债权人赚钱。在行动上，企业可以施加垄断权力，从供应商和员工提取价值。供应商可能会提供廉价的隐性融资来交换产品信息和该公司在市场的运作情况。他们也可能受益于效率的公司的供应和分配链，?并可以给予信贷捕捉未来的业务。

（二）权责发生制会计的影响估计

应计负债可根据合同条款，但通常涉及估计。例如?养老金债务，也是根据雇佣合约，但涉及精算估计。递延收入可能涉及到的义务，为客户提供服务，?而且还涉及估计，以及收入分配时期。虽然合同负债通常是进行资产负债表上作为一个不偏不倚的说明现金支付，应计制会计估计不一定是公正的。例如，保守的会计，可能夸大养老金负债或推迟收入更多者而不是合同要求客户。这种偏见大概不影响价值，但它们的影响分账返回和定价的负债相对于其账面价值（价格到账面价值比）。会计估计对经营责任杠杆的影响很明确：高等教育账面值为经营负债导致更高的杠杆一定水平的经营性资产。但是，对盈利能力的影响也很清楚从方程（12）来看：虽然保守经营性使资产增加了净资产收益率，就如弗尔森和奥尔森（1995年）和张（2000年），较高的账面价值的经营负债杠杆高达RNOA超过净资产收益率 。?事实上，保守派占经营负债数额为杠杆书的回报率。通过利用方程（13），即杠杆效应流经到股东盈利能力和回报。较高的预期回报意味着高价格与账面价值比。

预计的运营债务的潜在偏见对现在及长远利益有想法效应。例如一家企业账面有高的拖延的收入，增加的消费或者运营的债务都会增加运行债务的水平，而降低他现在的利益。现在的收入低一点，否则成本升高。如果报道降低了运营资产，增加了运营杠杆，也会降低现实利益：现在的花费

必须高点。但是增长账目的应用会影响将来的运营收入。所有其他仍会不断，低现实收入意味着高将来收入。更重要的是，高的运营债务和低的运营资产意味着低的值比率的公平性。低的值比率是将来高收入的基础。所以运营债务潜在被认为是潜在倒转现象，能给影响杠杆，预示利益和账面价格的比例。

（三）以实验为依据的分析

这个分析基于1963到2001年，符合下列要求（1）公司被列举NYSE 或者AMEX（2）公司为非财政组织，在那里大部分资产和债务用作运营。（3）书面价值只是1千亿美元。运营资产的开始和结果的平衡平均水平，网式运营资产和普通的平衡是积极的。这项原则导致63527观察的样本。

附件B显示方差是怎样被应用在分析中的。一种值得讨论的测量观点是运营债务的借用消费。因为大部分运营债务是短期的，我们通过一年的利率风险溢价估算借用比率。这种方法可能低估借用消费因为与运营债务相关的风险并不小。这种测量误差效应会导致净资产收益率和经营负债杠杆的负相关。向我们展示的，这种负相关即使存在，也可以证明其正相关。

四、结论

资产运营，借贷，创作了杠杆。在运营中也借款，但是是从顾客，雇佣者和供应商借，创造了运营债务杠杆。因为他们包括在市场不同种类的交易，两种杠杆可能有不同的价值暗示。尤其是，运营资本可能缩水，因此价格不同。运营债务也包括增长的预算。这暗示了利益和平衡的杠杆。本文列举了外在杠杆平衡展示了股东利益和资产杠杆是相关的对于运营资产。

对于运营债务杠杆，杠杆平衡包括真实的契约效应和账目效应。值比率依赖于与其利益，这个

分析解释了值比率是受两类杠杆影响的。实际的分析证明了运营和债务预示了不同的利益在市场上价格也是不同的。

更多分析表明运营负债杠杆不仅能解释在盈利中的差别，还能够从当前的盈利情况预测到未来的盈利情况。运营债务杠杆作用和变化可以作为当今盈利和以后盈利的风向标。我们的分析将合同上的运营负债和预测的运营负债分开，但是进一步的研究可以在细节上，如更多的关注预支费用和递延收入方面更好的了解运营负债。进一步的研究也可以在不同的环境下调查运营负债，如公司在哪些地方的市场势力超过供应商。