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1
2008 642 ROE1
ROE: Rate of Return on Equity ROE
= × 100
ROE
Brealy, Myers, and Allen 2005 p. 800
You sometimes hear managers stating corporate goals in terms of accounting num-
bers. They may say, “Our objective is to achieve an annual sales growth of 20
percent,” or “We want a 25 percent return on book equity and a profit margin of
10 percent.” On the surface such objectives don’t make sense. Shareholders want
to be richer, not to have the satisfaction of a 10 percent profit margin.
1 2007 6 6
1 2006 5
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1995 ROE
ROE
ROE
ROE
ROE
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Brealy, Myers, and Allen
ROE return on book equity
1994 22
ROE
ROE
2007
ROE 2 2007
ROE3
4
1995 1 2 ROE 1995
ROE ROE
ROE
1999
ROE
ROE
2006
42 ROE
2 JCGR 2006 8 10 7
13 1,696
3 2007 EVA EVA
4
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ROE
< ROE)
Brealy, Myers, and Allen 2005 p. 8005
ROE 6
ROE 1999 ROE
1999
1999 1999
ROE
ROE ROE
1999
ROE ROE7
2
2.1 ROE
1995 31 ROE
ROE
5 1999 2008 ROE ROA
6 1998 10
ROE
1998 24
ROE
7 ROE A
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ROE
ROE
ROE
ROE Palepu, Healy, and Bernard
2000 213–214
ROE
ROE
ROE
ROE
ROE
2006 42
r
r ROE
ROE ROE
Palepu, Healy, and Bernard 2000 213–214 ROE
2006
ROE
ROE 2005 59
ROE
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1
2008 13–2
2.2 ROE
2008 278 1 13–2 60
ROE EPS
ROE 2008 278
ROE
ROE
ROE
ROE
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8
9 ROE ROE
30
ROE
10
ROA ROE
30
ROE
ROE
ROE ROE
ROE
8 1995 43 ROE
9 2001 1 24
10 http://jp.fujitsu.com/group/fri/column/opinion/200801/2008-1-1.html
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ROE 11
ROE
ROE
ROE
3
1999 59
ROE
q =
=
1999 12
1999 59 ROE
2006 523–524
ROE
ROE
ROE
11 2008 5 15
ACGA
Manage balance sheets more efficiently and set sensible ROE thresholds for new investments.
ROE ROE
12 q =
q B
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2006 ROE
ROE
ROE
13
1999
3.1
S
S =(ROE− g)B
ρ− g(1)
B 1
ROE1
ROE
g
ρ
(1) ROE × B gB
(ROE− g)B (1)
S =ROE
ρB − ROE
ρB +
(ROE− g)
ρ− gB
=ROE
ρB +
ρ(ROE− g)− (ρ− g)ROE
ρ(ρ− g)B
=ROE
ρB +
g(ROE− ρ)
ρ(ρ− g)B (2)
13 Berk and DeMarzo 2006 p. 30
The ROE provides a measure of the return that firm has earned on its past investments. A high
ROE may indicate the firm is able to find investment that are very profitable. Of course, one
weakness of this meaure is the difficulty in interpreting the book value of equity.
Welch 2008 p. 84
The “accounting rate of return” method uses an accounting “net income”and divides it by the
“book value of equity.” This is rarely a good idea – financial accounting is not designed to
accurately reflect firm value. (Accounting statements are relatively better in measuring flows [like
earnings] than they are in measuring stocks [like book value].)
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(2) 2
ROE > ρ S ROE
3.2
ROE (1) (2) ρ
CAPMρ = rf + β(E[r̃M ]− rf ) (3)
rf E[r̃M ]
ROE ρ
ROE ROE
ROE
(3) ρ (3) β
β ρ
β
(3) ρ ROE
3.3 v.s.
(1)
ρ = (ROE− g)B
S+ g (4)
g ROE
ρ (4)
ρ̃ = (˜ROE− g)B
S+ g (5)
(5)
Var[ρ̃] = Var[˜ROE]
(B
S
)2
(6)
(6) B/S Var[ρ̃]
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ROE Var[˜ROE] B/S = 1
1
1 1
B/S < 1 B/S Var[ρ̃]
(1) ROE
β ρ
3.4 ROE
ROE
=
(3) CAPM
1 S′
(1)
S′ =(ROE− g)× (1 + g)B
ρ− g(7)
1 B g (7)
S′ = (1 + g)S (8)
(1) (8)
(ROE− g)B + (S′ − S)
S=
(ρ− g)S + ((1 + g)S − S)
S
=(ρ− g)S + gS
S= ρ (9)
(ROE− g)B 1 (S′ − S) (9)
ROE 1 ρ
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3.5
ROE
ROE
ROE
ROE
ROE
ROE ρ
ROE14
4
2003
14 1999 4
ROE
S0 S1
S0 =(ROE− g)B
k − g, S1 =
(ROE− g)(1 + g)B
k − g
(ROE− g)B
(ROE− g)B + (S1 − S0)
S0= k
1999 ROE
1999
ROE
ROE g
1999 5 ROE
ROE ROE ROE
ROE
ROE
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2005 23
1.
2.
3.
4.
15
5
1995 1 2 ROE
ROE ROE
ROE
15 Sharpe 1985 pp. 448-449
Reported earnings are best viewed as a source of information about the future prospects of a firm .
Since the present value of a firm’s equity is related to its future prospectus, there should be a
correlation between reported earnings and price. But since reported earnings generally differ from
economic earnings, this correlation will be less than perfect. Accounting earnings are thus an
important source of information about value, but neither a perfect source nor the only relevant
one.
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ROE
2005 24
ROE
1973 300
2005 59
ROE
rate of return
ROE
2005 59
ROE
1999 47
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A: ROE
ROE
1. ROE
ROE
2. ROE
ROE = ROA+ (ROA− i)D
E(A1)
i
D/E
ROE
ROE
rate of return ROE
2008 151
ROE
ROE
(A1) E L X R
ROA =X
E+D(A2)
i =R
D(A3)
ROE =X− R
E(A4)
(A2) (A3) (A4)
ROE = ROA+ (ROA− i)D
E(A1)
16 1973 97–98 (A1)
1995 37 ROE
16
ROA = , ROE = ,
t
ROE =
[ROA+ (ROA− i)× D
E
]× (1− t)
EBIT Earnings Before Interest and Taxes
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B: q
q 1990 5
2004 7
q q
q ≡ V
K=
V K
q V K K
q M&A
1990 309
Q 1 1
2004 159
q g
K ROI: Return On Investment π
πK π
π ≡
ROE gK
(π − g)K
=(π − g)K
ρ− g
ρ q
q =K
=π − g
ρ− g
π � ρ � q � 1
g q 1 π
ρ q 1
NPV
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– –
3 15–26 1998
ROE EVA No. 5 57–68
1999
2008
3 2006
7 2008
–
– 164 2 226–238 2003
1990
1973
1995
–ROE EVA –
No. 5 41–55 1999
2 2004
– – 2005
2007 4 24
– – 2005
ROE 1994
Berk, Jonathan, and Peter DeMarzo, 2006, Corporate Finance (Addison-Wesley, New York).
Brealey, Richard A., Stewart C. Myers, and Franklin Allen, 2005, Principles of Corporate Finance
8th ed. (McGraw-Hill/Irwin, New York).
8 BP 2007
Palepu, Krishna G., Paul M. Healy, and Victor L. Bernard, 2000, Business Analysis & Valuation:
Using Financial Statements 2nd ed. (South-Western College Publishing, Cincinnati).
2 2001
Sharpe, William F., 1985, Investment 3th ed. (Prentice-Hall, Englewood Cliffs).
Welch, Ivo, 2008, Corporate Finance: An Introduction (Prentice-Hall, Englewood Cliffs).