막좨럖훃룄룯폫막욱쫐뎡볛횵쿠맘탔퇐뺿3퇮짆쇖ꆡ퇮쒣죙ꆡ튦슻쫋(뫏럊릤튵듳톧맜샭톧풺ꆡ230009)ꆾ햪튪ꆿ놾컄쪹폃쪣폠쫕틦맀횵쒣탍맀볆컒맺짏쫐릫쮾막욱뗄쓚퓚볛횵,틔막욱쓚퓚볛횵캪믹뒡볬퇩짏쫐릫쮾막좨럖훃룄룯뛔막욱볛룱뫍볛횵횮볤쿠맘탔뗄펰쿬ꆣ톡퓱틑췪돉막좨럖훃룄룯뗄짏쫐릫쮾캪퇹놾,퇐뺿뇭쏷막좨럖훃룄룯췪돉뫳막욱볛룱뫍볛횵횮볤쿠맘탔폐쿔훸뗄쳡룟,튵벨뷏닮릫쮾막볛쿠뛔볛횵욫샫돌뛈뗃떽튻뚨돌뛈뗄탞헽ꆣ막좨럖훃룄룯퓚룄짆막욱쫐뎡뚨볛믺훆랽쏦쪵쿖쇋맜샭닣풤웚뗄킧맻ꆣꆾ맘볼듊ꆿ막좨럖훃룄룯ꆡ쪣폠쫕틦맀횵쒣탍ꆡ볛횵쿠맘탔ꆡ막쫐엝쒭컒맺짏쫐릫쮾막좨뛾풪뷡릹뗄훆뛈낲업,놻죏캪쫇퓬돉컒맺막욱뛾벶쫐뎡막볛맽룟,닺짺쫐뎡엝쒭뗄훷튪풭틲(헅뗈,2004;쇵ꆡ쯉,2005)ꆣ캪쇋뷢뻶훆풼컒맺막욱쫐뎡랢햹뗄룹놾탔훆뛈컊쳢,맜샭닣ퟔ2005쓪4퓂웰뾪쪼쪵쪩횼퓚뷢뻶막좨뛾풪뷡릹뗄막좨럖훃룄룯,럇쇷춨막뚫춨맽쿲쇷춨막뚫횧뢶뛔볛뗄랽쪽믱뗃막욱퓚뛾벶쫐뎡뗄쇷춨좨,뺭맽튻쓪뛠뗄룄룯췆뷸,뷘횹2006쓪4퓂30죕,뮦ꆢ짮뛾룶붻틗쯹틑폐618볒릫쮾췪돉막좨럖훃룄룯,막욱믖뢴붻틗ꆣ럖컶쫐뎡뛔틑췪돉막좨럖훃룄룯짏쫐릫쮾막욱뚨볛맦싉퓚막좨럖훃룄룯췪돉잰뫳뗄뇤뮯,뿉틔냯훺에뛏막좨럖훃룄룯뛔쳡룟막욱볛룱뫍볛횵횮볤쿠맘탔(볛횵쿠맘탔)틔벰틖훆막쫐엝쒭뗄ퟷ폃,폐샻폚맜샭닣움맀룄룯뗄킧맻ꆣ뛔폚막욱쫐뎡뗄닎폫헟살쮵,쇋뷢막좨럖훃룄룯잰뫳,막욱볛룱뫍릫쮾쓚퓚볛횵횮볤쿠맘탔뗄뇤뮯쳘헷,폐훺폚훆뚨헽좷뗄돯뫍춶뻶닟ꆣ놾컄뗄퇐뺿틔릫쮾믡볆탅쾢캪믹뒡,쫗쿈쪹폃쪣폠쫕틦맀횵쒣탍맀볆웳튵쓚퓚볛횵,춨맽볬퇩막좨럖훃룄룯췪돉잰뫳막욱볛룱뫍쓚퓚볛횵횮볤뗄쿠맘탔뇤뮯,에뛏쫐뎡볛횵쿠맘탔뗄뇤뮯쳘헷;춬쪱튲쪹폃볛룱/쓚퓚볛횵뇈(P/V)뗄뇤뮯에뛏막좨럖훃룄룯뛔막쫐엝쒭뗄틖훆ퟷ폃ꆣ쪹폃뷘횹2006쓪4퓂30죕틑췪돉막룄뗄릫쮾캪퇹놾,쪵횤뷡맻뇭쏷,막좨럖훃룄룯췪돉뫳,막욱볛룱뫍쓚퓚볛횵횮볤뗄쿠맘쾵쫽쿔훸쳡룟,뇭쏷막룄췪돉뫳,쫐뎡뗄볛횵랢쿖릦쓜뗃떽쿔훸쳡룟ꆣ뛔폚컒쏇맘탄뗄쇭췢튻룶컊쳢:막좨럖훃룄룯뛔막쫐엝쒭뗄틖훆ퟷ폃,컒쏇뗄퇐뺿랢쿖P/V뇈싊퓚막좨럖훃룄룯췪돉잰뫳늢쎻폐랢짺쿔훸뇤뮯ꆣ떫쫇,춨맽뇈뷏늻춬튵벨쮮욽짏쫐릫쮾P/V퓚막좨럖훃룄룯췪돉잰뫳뗄뇤뮯쳘헷,컒쏇랢쿖튵벨뷏닮릫쮾P/V뫍튵벨뷏룟릫쮾P/V퓚막좨럖훃룄룯잰듦퓚쿔훸닮틬,뛸헢훖닮틬퓚막좨럖훃룄룯췪돉뫳쿻쪧쇋,뇭쏷막좨럖훃룄룯뛔튵벨뷏닮릫쮾막욱볛룱뗄욫샫돌뛈뗄탞헽ퟷ폃ꆣ헢킩짏쫐릫쮾막볛훐듦퓚뗄엝쒭뗃떽튻뚨돌뛈뗄틖훆,튲뫍쫐뎡볛횵쿠맘탔쳡룟뗄뷡싛쿠튻훂ꆣ3놾컄쫇짏몣횤좯붻틗쯹솪뫏퇐뺿볆뮮쿮쒿ꆶ폅훊듳탍웳튵뺳쓚짏쫐볛룱톹솦퇐뺿ꆷ뷗뛎탔퇐뺿돉맻ꆣ41
튻ꆢ퇐뺿놳뺰벰쳡돶볙짨뒫춳놾쫐뎡샭싛죏캪,퓚튻룶폐킧뗄쫐뎡훐,막욱볛룱놾짭놻죏캪쫇믹폚쓜릻믱뗃뗄쿖폐탅쾢뛔막욱쓚퓚볛횵뗄ퟮ병맀볆,죏캪볛룱뫍쓚퓚볛횵튻훂뗄샭평쫇믹폚쇣쳗샻돉놾볙짨ꆣ떱탅쾢돉놾뫍붻틗돉놾뿉틔뫶싔늻볆쪱,춨맽싲싴쮫랽뗄돶볛뫍뺺볛,막욱볛룱퓚돤럖랴펳웤쓚퓚볛횵쪱듯떽뻹뫢ꆣ떫쫇,떱붻틗돉놾쿔훸쪱,볛룱늢늻ퟜ쫇ힼ좷뗘뇭쪾쓚퓚볛횵,퓬돉쫐뎡킧싊붵뗍ꆣ쿠뛔폚컷랽막욱쫐뎡훐펰쿬쫐뎡킧싊뗄탅쾢돉놾뫍붻틗돉놾컊쳢,컒맺듦퓚뗄막좨럖훃컊쳢뛔쫐뎡폐킧탔뗄캣몦룼퇏훘ꆣ짏쫐릫쮾막좨럖훃ힴ뿶늻떫퓬돉쇷춨막쫐볛욫룟,닺짺쫐뎡엝쒭,튲떼훂쇋탭뛠릫쮾훎샭랽쏦뗄컊쳢(훬킡욽뗈,2005)ꆣ훐맺횤좯볠뚽맜샭캯풱믡훷쾯짐뢣쇖퓚움볛막좨럖훃룄룯뇘튪탔쪱횸돶:ꆰ퓚막좨럖훃룱뻖쿂,막욱뚨볛돽냼몬릫쮾믹놾쏦틲쯘췢,뮹냼삨죽럖횮뛾막럝퓝늻짏쫐쇷춨뗄풤웚ꆣ죽럖횮뛾막럝늻쓜짏쫐쇷춨,뿍맛짏떼훂떥튻짏쫐릫쮾쇷춨막놾맦쒣쿠뛔뷏킡,막쫐춶믺탔잿,막볛늨뚯뷏듳뫍뚨볛믺훆얤쟺ꋙꆱꆣ캪쇋뷢뻶훆풼컒맺횤좯쫐뎡붡뾵랢햹뗄헢훖훆뛈탔좱쿝,2005쓪4퓂29죕횤볠믡랢늼ꆶ맘폚짏쫐릫쮾막좨럖훃룄룯쫔뗣폐맘컊쳢뗄춨횪ꆷ,헽쪽웴뚯막좨럖훃룄룯ꆣ2005쓪5퓂9죕,쟥뮪춬랽ꆢ죽튻훘릤ꆢퟏ붭웳튵ꆢ뷰얣쓜풴놻좷뚨캪쫗엺막룄쫔뗣릫쮾ꆣ돽쇋쟥뮪춬랽,웤폠죽볒쫔뗣릫쮾룄룯랽낸뻹춨맽쇋막뚫듳믡뗄뇭뻶ꆣ쯦뫳,막좨럖훃룄룯뗄늽랥훰벶볓뿬,뷘횹2006쓪4퓂30죕,뮦ꆢ짮솽쫐뷸죫막룄돌탲뗄짏쫐릫쮾틑듯868볒,햼좫늿A막짏쫐릫쮾뗄64%,쫐횵햼뇈뷼70%,웤훐틑췪돉막룄돌탲뗄짏쫐릫쮾듯618볒,쫐횵햼뇈틑뎬맽50%ꋚꆣ막좨럖훃룄룯뗄훷튪쒿뗄쫇뷢뻶짏쫐릫쮾막욱볛룱얤쟺뫍막욱쫐뎡듦퓚뗄엝쒭컊쳢,뿉틔풤웚막좨럖훃룄룯췪돉뫳막욱쫐뎡뚨볛믺훆얤쟺붫뗃떽쿔훸룄뇤,틲듋,컒쏇쳡돶틔쿂뛾룶퇐뺿볙짨:H1:막좨럖훃룄룯췪돉뫳,막욱볛룱뫍쓚퓚볛횵횮볤뗄쿠맘탔붫쿔훸쳡룟;H2:막좨럖훃룄룯췪돉뫳,막욱볛룱룼뷓뷼막욱뗄쓚퓚볛횵ꆣ볬퇩짏쫶볙짨,맀볆막욱뗄쓚퓚볛횵(V)뫍짨볆쫊떱뗄볬퇩쒣탍돉캪퇐뺿뗄맘볼ꆣ퓚짦벰맀볆막욱쓚퓚볛횵뗄퇐뺿컄쿗훐,쪣폠쫕틦맀횵쒣탍(RIVM)쫇뎣폃뗄튻훖랽램(Kothari,2001)ꆣ컒쏇쫗쿈뛔RIVM퓚쪵횤퇐뺿훐뗄펦폃ퟷ볲튪믘맋,좻뫳쳡돶퇐뺿짨볆ꆣ뛾ꆢ퇐뺿짨볆막욱뗄쓚퓚볛횵춨뎣놻뚨틥캪믹폚쿖폐탅쾢맀볆캴살쿖뷰막쾢뗄쳹쿖횵,벴,V3=tꇆꇞE(tDt+)i(1)(i=11+re)ꆡꆡ퓚막욱헋쏦볛횵ꆢ쿖뷰막쾢뫍쎿막뺻샻죳횮볤싺ퟣ룉뺻펯폠맘쾵뗄쳵볾쿂,뛔(1)쪽뷸탐볲떥뗄듺쫽뇤뮻벴뿉뗃:V3Et[NIt+i-(reꇁBt+i-1)]t=Bt+ꇆꇞi=1(1+ire)(2)=1]Bt+ꇆꇞEt[(ROEt+i-re)ꇁBt+i-ii=1(1+re)ꆡꆡ(2)쪽훐Bt뗈폚t쪱뿌쎿막좨틦헋쏦볛횵,E[ꆤ]뇭쪾믹폚t쪱뿌쯹폐탅쾢뗄웚췻횵,NIt+i쫇t+i웚쎿막쫕틦,re뇭쪾좨틦놾돉놾ꆣ(2)쪽뫍(1)쪽뗄쟸뇰퓚폚쪹폃뛔캴살쫕틦뗄맀볆듺쳦뛔캴살쿖뷰ꋙ2005쓪05퓂16죕,짏몣횤좯놨췸싧냦ꆶ짐뢣쇖횸돶:막좨럖훃룄룯뾪릭쎻폐믘춷볽ꆷꆣ볻:http://finance1sina1com1cn/stock/y/20050516/082515892361shtmlꋚ2006쓪04퓂29죕횤좯죕놨,ꆶ막좨럖훃룄룯튻훜쓪쿗듇ꆷ,ퟷ헟:헅쇁ꆣ볻:http://finance1sina1com1cn/stock/t/20060429/092325413351shtml42
막쾢뗄맀볆ꆣ뛔RIVM뗄쪵볊펦폃,틔잰뗄퇐뺿훷튪닉폃3훖늻춬뗄쫕틦맀볆랽램ꆣ(1)Feltham뫍Ohlson(1995)쳡돶뗄뚯첬쿟탔탅쾢쒣탍(LIMs),LIMs볙짨릫쮾뗄쪣폠쫕틦ퟱ톭쪱볤탲쇐짏뗄ퟔ믘맩돌탲,뛸쟒볙뚨룃믘맩맽돌퓚캴살놣돖늻뇤,퓲막욱쓚퓚볛횵쫇웤쿖탐헋쏦볛횵뫍쪣폠쫕틦뗄쿟탔몯쫽,틲듋,헽좷뿌뮮쪣폠쫕틦뗄ퟔ믘맩쳘헷쫇돉릦맀볆막욱쓚퓚볛횵뗄맘볼;(2)쪹폃틑쪵쿖뗄쫕틦듺쳦뛔캴살쫕틦뗄맀볆(PenmanꆢSougiannis,1997);(3)쪹폃럖컶쪦뗄펯샻풤닢듺쳦뛔캴살쫕틦뗄맀볆,헢훖랽램퓚맺췢탭뛠퇐뺿훐놻닉폃,죧Frankel뗈(1998)ꆢLee뗈(1999)틔벰Dechow뗈(1999)ꆣ내헕퇐뺿헟뛔쫐뎡폐킧탔뗄볙짨늻춬,펦폃쒣탍뗄쒿뗄늻춬ꆣ죧맻죏캪쫐뎡쫇폐킧뗄,벴막욱볛룱쫇떱잰뛔막욱쓚퓚볛횵뗄ퟮ뫃맀볆,쪹폃RIVM뗄쒿뗄쫇볬퇩믡볆쫽뻝ꆢ펯샻풤닢쒣탍믲헟럖컶쪦뛔막욱쫕틦뗄풤닢쫇럱럻뫏쫐뎡뗄풤웚,벴RIVM쒣탍볆쯣돶뗄막욱쓚퓚볛횵퓚뛠듳돌뛈짏뿉틔뷢쫍뷘쏦짏막욱횮볤볛룱뗄닮틬ꆣMyers(1999)쪹폃뚯첬쿟탔탅쾢쒣탍맀볆V,랢쿖뗃돶뗄쓚퓚볛횵뷢쫍막욱볛룱뗄쓜솦늢늻쏷쿔폅폚막욱헋쏦볛횵뗄뷢쫍쓜솦,Dechow뗈(1999)튲뗃돶쿠쯆뗄뷡싛ꆣ죧맻횤좯쫐뎡늻쫇폐킧뗄쫐뎡,ꆰ튻룶ힼ좷뗄쓚퓚볛횵믲헟믹놾볛횵맀볆쒣탍펦룃(쓜릻)폐풤볻탔뗘닺짺헽뗄믲뢺뗄뎬뛮믘놨ꆱ(Kothari,2001)ꆣ벴쪹폃RIVM볆쯣뗄웳튵쓚퓚볛횵뿉틔냯훺쪶뇰놻쫐뎡듭컳맀볛뗄막욱,틲듋,내튻뚨맦퓲뷸탐막욱붻틗뿉틔믱뗃뎬뛮믘놨ꆣFrankel뫍Lee(1998)쪹폃RIVM뫍럖컶쪦펯샻풤닢쫽뻝볆쯣막욱쓚퓚볛횵,랢쿖막욱뗄쓚퓚볛횵뫍막욱볛룱룟뛈쿠맘,막욱쓚퓚볛횵뫍볛룱뇈싊(V/P)뿉틔뫜뫃뗘풤닢늻춬막욱뎤웚믘놨뗄닮뇰ꆣ떱웚V/P뷏룟뗄막욱,뇭쏷웤볛횵뿉쓜퓝쪱놻쫐뎡뗍맀,뛸V/P뷏뗍뗄막욱퓲뫜뿉쓜놻쫐뎡룟맀,틲듋닉폃싲죫잰헟막욱ퟩ뫏,싴돶뫳헟뗄춶닟싔붫믡닺짺뎬뛮춶믘놨ꆣLee뗈(1999,틔쿂돆LMS)쳡돶막욱볛룱뫍쓚퓚볛횵횮볤퓚쪱볤탲쇐짏뗄킭헻맘쾵쒣탍,죏캪퓚뎤웚맘쾵짏,막욱볛룱뫍볛횵붫쟷폚튻훂,뛾헟욫샫돌뛈풽듳,쟷뷼쯙뛈풽뿬ꆣ쪹폃킭헻맘쾵쒣탍쏨쫶막욱쓚퓚볛횵뫍볛룱횮볤뗄맘쾵,퓊탭RIVM쒣탍맀볆뗄막욱쓚퓚볛횵듦퓚컳닮,V/P쿲뻹횵믘맩뗄쯙뛈뫍V/P풤닢뎬뛮믘놨뗄쓜솦튻웰돉캪퇩횤쪵볊맀볆횵Vힼ좷탔뗄뇪ힼꆣLMS뗄퇐뺿훘뗣쫇럖컶RIVM쒣탍훐룷룶뇤솿뗄톡퓱뛔쒣탍폐킧탔뗄펰쿬,V/P풤닢막욱믘놨뗄쓜솦놻폃살ퟷ캪훷튪뗄에뇰뇪ힼ,쪵횤뷡맻튲퇩횤쇋V/P뇈싊뿉틔폐킧뗘풤닢막욱뗄캴살쫕틦ꆣ내헕짏쫶Kothari(2001)쳡돶뗄에뛏뇪ힼ,헢킩퇐뺿틾몬뗄뷡싛쫇,쪹폃RIVM쒣탍뿉틔뗃떽뛔막욱쓚퓚볛횵뷏뫃뗄맀볆ꆣ맺쓚톧헟훷튪쪹폃RIVM쒣탍맀볆컒맺횤좯쫐뎡뗄헻쳥엝쒭(탬낮얩ꆢ짪뫬,2004;쇵ꆡ쯉,2005)ꆣ헢킩퇐뺿믹폚쿠춬뗄볙짨,벴RIVM볆쯣돶살뗄쓚퓚볛횵쫇뛔막욱쓚퓚볛횵뗄ힼ좷맀볆ꆣ놾컄퇐뺿뗄볙짨뫍짏쫶퇐뺿튻훂,RIVM볆쯣뗄쓚퓚볛횵V듺뇭뛔막욱쓚퓚볛횵뗄ힼ좷맀볆,틲듋,쪹폃V뿉틔퇩횤막욱쫐뎡뗄볛횵쿠맘탔뇤뮯쳘헷ꆣ뷨본Myers(1999)뗄퇐뺿랽램,컒쏇쪹폃V뫍P횮볤뗄쿠맘탔(CORR(V,P))볬퇩막욱볛룱뫍볛횵횮볤뗄쿠맘탔ꆣ헫뛔볙짨H1,샻폃믬뫏쏦냥쫽뻝맀볆쿟탔믘맩랽돌(3):Pi=ꛁ0+ꛁ1DY+ꛁ2V(i+ꛁ3DYVi+ꛅi3)ꆡꆡ(3)쪽훐,Pi럖뇰캪짏쫐릫쮾2005쓪뫍2006쓪4퓂ퟮ뫳튻룶붻틗죕뗄막욱볛룱,틔쪹막욱볛룱돤럖랴펳릫쮾뗄쓪놨탅쾢ꆣV쫇룹뻝2004쓪뫍2005쓪닆컱쫽뻝볆쯣뗄릫쮾쓚퓚볛횵,DY캪탩쓢뇤솿,죧맻쫽뻝살ퟔ폚막좨럖훃룄룯췪돉뫳캪1,죴살ퟔ폚막좨럖훃룄룯췪돉잰퓲캪0ꆣ뛔볙짨H1,컒쏇볬퇩:ꛁ3>0ꆣ캪쇋볬퇩H2,컒쏇볆쯣막좨럖훃룄룯췪돉잰뫳쎿룶퇹놾웳튵뗄V/P,죧맻쫽뻝살ퟔ폚막좨럖훃룄룯췪돉뫳,럖캪V/PDYퟩ,죴살ퟔ폚막좨럖훃룄룯췪돉잰퓲캪V/Pퟩ,닉폃엤뛔퇹놾뻹횵볬퇩랽램퇩횤:V/P>V/PDYꆣ(3)쪽훐뗄뷘뻠쿮뇭쪾쫐뎡훐웤쯼틲쯘뛔P뗄펰쿬,뛔폚H2컒쏇튲볬퇩:ꛁ1<0ꆣ43
죽ꆢ쪹폃RIVM맀볆막욱뗄쓚퓚볛횵뫍LMS튻훂,컒쏇쪹폃믹폚쪣폠쫕틦맀횵쒣탍(RIVM)뗄뛾뷗뛎램볆쯣막욱뗄쓚퓚볛횵Vꆣ퓚LMS뛾뷗뛎맀횵램훐,쫗쿈좷뚨맀볆웚쓚쎿쓪뺻닺쫕틦싊,맀볆웚쒩릫쮾볛횵틔훕횵뇭쪾:(FROEV=t+1-re)(FROEt+2-re)BBttr+BV(4)t+1+T(1+re)(1+re)ꆡꆡLMS럖뇰닉폃3쓪ꆢ12쓪뫍18쓪뗄풤닢웚,놾컄톡폃18쓪풤닢웚,(1)쪽훐TV뿉뇭쪾캪:(FROEt+i-re)TV=ꇆ17(FROEt+18-re)Bit+i-1+Bt+17(5)i=3(1+re)(1+17re)reꆡꆡ(4)뫍(5)쪽훐,Vt:뇭쪾T웚막욱쓚퓚볛횵뗄맀볆횵,컒쏇럖뇰맀볆2004쓪쒩뫍2005쓪쒩G막릫쮾막욱뗄쓚퓚볛횵;BT+I:떱I=0,BT쫇T웚쒩쎿막뺻닺헋쏦볛횵,평폚컒맺짏쫐릫쮾럖뫬쮮욽웕뇩뷏뗍,볆쯣캴살쎿막뺻닺쪱뫶싔쿖뷰막샻뗄펰쿬,벴,Bt+i=Bt+i-1+EPSt+i-DPSt+i=[1+FROEt+i]Bt+i-1(6)ꆡꆡre:놾돉놾ꆣ샭싛짏,펦헫뛔쎿룶릫쮾뛔펦뗄캴살쿖뷰쇷솿럧쿕좷뚨웤놾돉놾,Fama뫍French(1992)뗄퇐뺿뇭쏷,쿖폐놾돉놾맀볆랽램뮹컞램뗃떽쇮죋싺틢뗄떥뛀웳튵놾돉놾맀볆횵ꆣAbarbanell뫍Bernard(1995)틔벰Frankel뫍Lee(1998)랢쿖쪹폃맀볆뗄Vퟷ뷘쏦쫽뻝럖컶쪱,톡퓱늻춬뗄놾돉놾뛔럖컶뷡맻뗄펰쿬늻듳ꆣ놾컄닎헕Dechow(1999)뫍쇵ꆡ쯉(2005)뗄랽램톡폃만뚨뗄놾돉놾,re=5%ꆣFROE:캴살뺻닺쫕틦싊풤닢횵ꆣLMS(1999)쪹폃캴살3쓪뗄럖컶쪦풤닢쫽,볆쯣캴살3쓪뗄뺻닺쫕틦싊뫍쎿막헋쏦볛횵ꆣ죧맻쎻폐럖컶쪦풤닢쫽,Lms쫗쿈쪹폃잰5쓪뗄뺻닺쫕틦싊쫽뻝,맀볆믬뫏쪱볤탲쇐뷘쏦쫽뻝믘맩랽돌(7):ROEi,t=ꛁ+ꛂROEi,j-1+ꛅ(i,t7)좻뫳샻폃ꛁ뫍ꛂ뗄맀볆횵,풤닢캴살3쓪뗄FROEꆣ볙짨뗚3쓪웰훁맀볆웚쒩FROE쿲탐튵ROE뗄훐캻쫽쿟탔믘맩,풤닢뗚4쓪훁맀볆웚쒩FROEꆣ평폚컒맺쎻폐럖컶쪦뗄풤닢쫽뻝,컒쏇닎헕LMS뗄랽램,퓚(7)쪽훐뾼싇릫쮾뿷쯰뛔ROEퟔ믘맩뗄펰쿬,샻폃쯹폐틑췪돉막좨럖훃룄룯짏쫐릫쮾2002ꆪ2005쓪뗄ROE쫽뻝,맀볆믘맩랽돌(8):ROE(i,t=ꛁ+ꛂ1ROEi,t-1+ꛂ2DROEi,t-1+ꛅi,t8)ꆡꆡ(8)쪽훐D캪탩쓢뇤솿,ROEi,t-1킡폚0쪱캪1,럱퓲캪0ꆣ맀볆뗄믘맩뷡맻죧쿂:ROE(i9),t=01005+01855ROEi,t-1-01874DROEi,t-1+ꛅi,tꆡꆡ(9)폃살풤닢맀횵웚캴살3쓪뗄FROEꆣ춬쪱뛔폚풤닢웚뗚3쓪뗄ROE죔좻킡폚놾돉놾5%뗄릫쮾,캪쇋싺ퟣ돖탸뺭펪뗄볙짨,컒쏇짨뚨웤뗚4쓪웰ROE캬돖퓚5%뗄쮮욽ꆣ뛔폚웤쯼릫쮾,볙짨풤닢웚쒩뺻닺쫕틦싊뗈폚놾돉놾,늢쟒웳튵붫폀뻃놣돖웤뗈횵폚놾돉놾뗄뺻닺쫕틦싊ꆣ쇭췢볙짨뗚4쓪웰훁맀볆웚쒩FROE쿲놾돉놾쿟탔믘맩,풤닢뗚4훁18쓪FROEꆣ헢훖볙짨틢캶ퟅ(5)쪽폒뇟뗚뛾쿮뗈폚쇣ꆣ쯄ꆢ퇹놾톡퓱뫍쫽뻝럖컶놾컄퇹놾쫽뻝살풴폚뻞쇩톶,퇹놾톡좡뇪ힼ쫇,2006쓪4퓂30죕잰췪돉막좨럖훃룄룯쯹폐돌탲,럇쇷춨막뚫췪돉쿲쇷춨막뚫횧뢶뛔볛,막욱믖뢴붻틗,뛸쟒2002ꆪ2005쓪룷쓪뗄ROE쫽뻝췪헻,릲믱뗃539볒퇹놾릫쮾쫽뻝ꆣ볆쯣돶쎿룶릫쮾쓚퓚볛횵V뫳,럖뇰내쓪럝쳞돽P/V뇈싊럖늼퓚ퟮ룟뫍ퟮ뗍1%쟸볤뗄퇹놾릫쮾릲20볒,ퟮ훕뗃떽럖컶퇹놾519볒릫쮾ꆣ뇭1놨룦쇋퇹놾릫쮾2004뫍2005쓪훷튪닆컱뫍쫐뎡뇤솿뗄욽뻹횵춳볆쫽뻝ꆣ럇쇷춨막뚫쿲쇷춨막뚫횧44
뢶뛔볛뗄뷡맻쪹퇹놾릫쮾쇷춨쫐횵뇈싊평35%쳡룟떽46%,쿠떱폚쇷춨막뚫욽뻹쎿10막믱뗃쇋3막뗄뛔볛ꆣ룷쿮튵벨횸뇪뇭쏷,2005쓪퇹놾릫쮾헻쳥욽뻹튵벨뗍폚2004쓪뗄쮮욽ꆣ컒쏇훷튪맘힢P/V뇈싊뗄뇤뮯,2005쓪P/V캪1150,뛸2004쓪P/V쫇1153,뛾헟늢쎻폐쿔훸탔닮틬,막좨럖훃룄룯췪돉뫳늢쎻폐쪹쫐뎡막볛쿠뛔폚릫쮾쓚퓚볛횵돶쿖쿔훸쿂붵,틲뛸컞램뗃돶막좨럖훃룄룯뛔막쫐엝쒭폐쏷쿔톹훆ퟷ폃뗄횤뻝ꆣꆡꆡ뇭1퇹놾릫쮾훷튪닆컱뫍쫐뎡뇤솿뗄욽뻹횵뇈뷏뺻닺쫕쎿막쫕틦쎿막뺻닺쎿막쓚퓚쎿막막볛막볛/볛횵쇷춨쫐횵틦싊(ROE)(EPS)(NAPS)볛횵(V)(P)(P/V)뇈싊(RTO)20040107940125311341185172115301352005010598012131053199514311500146ퟜ쳥010696012331094109515811520141ꆡꆡ힢:쎿막쓚퓚볛횵(V)쫇룹뻝2004쓪ꆢ2005쓪뗄뺻닺쫕틦싊뫍쎿막뺻닺풤닢횵;쎿막막볛(P)럖뇰캪2005쓪ꆢ2006쓪4퓂ퟮ뫳튻룶붻틗죕뗄쫕엌볛;쇷춨쫐횵뇈싊(RTO)쫇쇷춨쫐횵뫍ퟜ쫐횵뗄뇈싊ꆣ캪쇋럖컶막좨럖훃룄룯뛔늻춬튵벨쮮욽릫쮾뗄펰쿬,컒쏇내ROE듓뗍떽룟냑퇹놾뗈럖캪5ퟩ,럖뇰캪ROEQ1-ROEQ5ퟩ,틔ROEퟮ룟ퟩ(ROEQ5)뗄P/V뻹횵캪믹뒡,럖뇰뇈뷏웤쯼룷ퟩ뫍룃ퟩP/V뻹횵뗄닮뇰ꆣ뇭2놨룦쇋룷ퟩ쎿쓪뗄P/V욽뻹횵,뷡맻뇭쏷2004쓪웤쯼룷ퟩP/V뻹횵뚼쿔훸룟폚ROEQ5ퟩ뗄P/V뻹횵,튵벨ퟮ닮ퟩ뗄P/Vퟮ룟,뇭쏷퓚막좨럖훃룄룯췪돉잰,죧맻듦퓚쫐뎡엝쒭,튵벨뷏닮릫쮾뗄엝쒭쿠뇈룼퇏훘ꆣ튲뿉쓜뷢쫍캪,퓚쪵쪩막좨럖훃룄룯잰쫐뎡뛔튵벨뷏뫃릫쮾뗄맀횵쮮욽쿠뛔뷏뗍ꆣ2005쓪,룷ퟩP/V횮볤늻퓙폐쿔훸탔닮틬,쮵쏷막좨럖훃룄룯췪돉뫳,쫐뎡뛔늻춬튵벨쮮욽릫쮾뗄맀횵뇪ힼ쟷폚튻훂ꆣꆡꆡ뇭2내ROE듓뗍떽룟럖ퟩ뗄P/V뻹횵뇈뷏ROE럖ퟩROEQ1ROEQ2ROEQ3ROEQ4ROEQ5P/V:20041164453331154653311569333116032333112903ꆡꆡ2005115303115519115602115051113530ꆡꆡ333ꆢ33럖뇰뇭쪾룃ퟩP/V뻹횵뫍ROEQ5ퟩP/V뻹횵닮틬퓚1%,5%쮮욽짏쿔훸ꆣ쪹폃(3)쪽퇩횤막좨럖훃룄룯뛔쫐뎡볛횵쿠맘탔뗄펰쿬횮잰,컒쏇쫗쿈볬퇩쪹폃Vퟷ캪뷢쫍뇤솿,P캪ퟔ뇤솿믘맩쒣탍뗄쫊떱탔ꆣ뇭3놨룦쇋틔P캪ퟔ뇤솿,럖뇰틔Vꆢ쎿막쫕틦벰쎿막뺻닺캪틲뇤솿뗄믘맩뷡맻ꆣꆡꆡ뇭3틔VꆢEPS/NAPS캪틲뇤솿뗄믘맩뷡맻뇈뷏(ퟔ뇤솿:P)뷘뻠쿮쿠맘쾵쫽115333019903014320t-춳볆솿(910962)(2811043)쿠맘쾵쫽212448513178016778013397t-춳볆솿(818872)(1614161)(812250)틔Vퟷ캪틲뇤솿뗄믘맩쒣탍뗃떽뗄룟폚틔쎿막쫕틦/쎿막뺻닺캪틲뇤솿쒣탍뗃떽뗄,뇭쏷V뇈EPS뫍NAPS룼뫃뗘뷢쫍막욱볛룱퓚뫡뷘쏦짏뗄뇤뮯,퇩횤쇋컒쏇쪹폃V에뛏쫐뎡볛횵쿠맘탔쫇뿉탐뗄ꆣ뇭4놨룦쇋뛔(3)쪽뗄맀볆뷡맻ꆣ45
ꆡꆡ뇭4막좨럖훃룄룯뛔쫐뎡볛횵쿠맘탔뗄펰쿬쒣탍:P=ꛁi0+ꛁ1DY+ꛁ2V+ꛁi3DYV+ꛅiiꛁ0ꛁ1ꛁ2ꛁ쿠맘쾵쫽118405-016004019289011223014328t-춳볆솿(716148)(-117810)(1817123)(117356)뇭4훐,컒쏇ퟮ맘힢뗄쓚퓚볛횵탩쓢뇤솿DYVi뗄쿠맘쾵쫽ꛁ3캪011223(t-춳볆솿:117356),뇭쏷막좨럖훃룄룯췪돉뫳V뗄쿠맘탔폐쿔훸쳡룟ꆣ쓪뛈탩쓢뇤솿DY뗄쿠맘쾵쫽캪-016004(t-춳볆솿:-117810),뇭쏷쫐뎡훐웤쯼틲쯘뛔막욱볛룱뗄펰쿬솦쿔훸붵뗍,막좨럖훃룄룯췪돉뫳웤쯼틲쯘뛔쫐뎡볛룱뗄펰쿬복짙0160풪/막ꆣ뷡뫏뇭2뗄럖컶뷡맻,컒쏇죏캪헢훖쿖쿳뿉쓜훷튪쫇평폚튵벨뷏닮릫쮾뗄볛횵믘맩퓬돉뗄ꆣ막좨럖훃룄룯늻떫쳡룟쇋막욱쫐뎡뗄볛횵쿠맘탔,튲쪹늿럖릫쮾뗄막욱볛룱룼뷓뷼막욱뗄쓚퓚볛횵,복짙쇋막욱쫐뎡엝쒭ꆣ컥ꆢ퇐뺿뷡싛퓚쪣폠쫕틦맀횵쒣탍쪵횤펦폃훐,놾컄쫗쿈쪹폃뺻닺쫕틦싊ퟔ믘맩쒣탍풤닢짏쫐릫쮾캴살3쓪뺻닺쫕틦싊,늢볙짨뺻닺쫕틦싊ퟮ훕쿲놾돉놾믘맩ꆣ쪵횤뷡맻뇭쏷컒쏇뗄볆쯣랽램뗃돶뗄막욱쓚퓚볛횵맀볆횵쓜릻뷏뫃뗘뷢쫍짏쫐릫쮾횮볤막욱볛룱뗄뷘쏦닮틬ꆣ컒쏇뗄퇐뺿퇩횤쇋막좨럖훃룄룯뛔쳡룟컒맺막욱쫐뎡볛횵쿠맘탔뗄믽벫펰쿬ꆣ막좨럖훃룄룯쳡룟쇋짏쫐릫쮾쓚퓚볛횵뗄볛룱쿠맘탔,붵뗍쇋쫐뎡훐웤쯼틲쯘뛔막욱볛룱뗄펰쿬ꆣ쯤좻컒쏇뗄퇐뺿쎻폐랢쿖쫐뎡엝쒭쿔훸붵뗍뗄횤뻝,떫쫇컒쏇뗄퇐뺿랢쿖,뛔폚쫐뎡훐튵벨뷏닮뗄릫쮾,웤쿠뛔볛횵욫샫돌뛈뗃떽쇋쿔훸룄뇤ꆣ퓚튻뚨돌뛈짏,막좨럖훃룄룯듯떽쇋맜샭닣풤쿈짨쿫뗄킧맻ꆣ놾컄퇐뺿뷡싛믽벫뗄헾닟몬틥퓚폚,쫐뎡뛔짏쫐릫쮾뗄뚨볛붫룼뛠뗘랴펳웳튵뗄쓚퓚볛횵,풤쪾뻟폐춶볛횵뗄폅훊듳탍짏쫐릫쮾룼죝틗놻춶헟쯹뷓쫜ꆣ훷튪닎뾼컄쿗쇵믍쯉.2005.막욱쓚퓚춶볛횵샭싛폫훐맺막쫐엝쒭컊쳢.뺭볃퇐뺿,2:45ꆫ53헅,쏏쿾뺲,쇵솦.막짏쫐릫쮾뗄ퟛ뫏놾돉놾폫춶믘놨.뺭볃퇐뺿,8:74ꆫ84훬킡욽,놩뇹,퇮.2005.막좨럖훃룄룯폫쇷뚯탔뚨볛컊쳢퇐뺿.믡볆퇐뺿,2:87ꆫ92탬낮얩,짪뫬.2004.컒맺막욱뗄볛횵믹뒡벰볛룱엝쒭퇐뺿.춬볃듳톧톧놨,뗚32뻭뗚4웚:534ꆫ.,.,,26:1ꆫ34Feltham,.,Ohlson,,11:689ꆫ731FrankelR,,marketexpectation,,25:283ꆫ..,31:105ꆫ.,MyersJ.,
EnglishAbstractsofMainPapersChangesofFinancialManagementAffectedbyNewAccountingStandards:anStudyBasedonCoreCompetenceTheoryZhouShouhua&ZhangJingfengꆡꆡThenewseriesofaccountingstandards,whichwillbeinforceforpubliccompaniesinthenextyear,ꆡꆡUnderthebackgoundoffairvaluemeasurementcomingintothegeneraltrend,theimpactoffairvaluemeasurementonbankindustryandfinancialstabilityistheoreticallyanalyzedinthispaper,&LiJianfaꆡꆡAccordingtotheviewpointofaccountabilityofaccounting,,,thewriterfirstresearchesthecontentandcharacterpublicaccountability,,afteranalyzingthetrendofinternationalpublicaccountabilityandgovernmentaccountingreform,andthepresentsituationofgovernmentpispublicaccountabilityinourcountry,ꆡꆡAlongwiththechangesofenterprisespiinternalandexternalenvironments,.ꆡꆡ,thispaperfurtherexaminestheeffectsofꆰShareSegregationReformꆱ,whichhavecompletedallreformprocedures,asresearchsamples,.ꆰShareSegregationReformꆱ
