FVA MVA I

* *,

00 983 1 000 11 001 6 00 6 00 11 FVA MVA I

... 1 1 []... 1 1.1... 1 1.... 1 1.3... 3 1.4... 4... 4.1... 4.... 5 3... 6 3.1... 7 3.... 9 3.3... 10 3.4... 16 3.5... 18 4... 19 4.1... 19 4.... 19 5... 3 5.1... 3 5.... 4 5.3... 4 6... 5 6.1... 5 6.... 6 6.3... 8 i

7... 30 7.1... 30 7.... 31 7.3... 34 7.4... 36 7.5... 37 7.6... 44 7.7... 45 8... 47...I ii

[1] 1 1.1 1. 1..1 [1] 1

1.. 1..3 [] 1..4 1.. 3. 4. 5. [3] [4] [] [3] [4]

1.3 1.3.1 1.3. 000600 1.3.3 3

1.4.1.1.1 Jenson and Murphy(1990) 1974 1986 1049 1000. 31700 1980 1994 46 1000 0.8 Kaplan(1994a,b) ( ).1. Jenson and Murphy(1990) 1974 1986 1049 1000 3.5 0.1 1980 1994 46 3.3 (1976) (1988) (1989) (1990) ( (1991) 14 1% 5% 5% 0% 4

(1988) 0 5% 5% 5% 5% (1990) 40% 50% (1995) (1985) ( ) [5].1.3 Shleifer and Vishny 1997 Shleifer and Vishny 1997...1 (001) ( ) [5]. 001 9 5

.. 001 0.08% 0.01% (000) (001)..3 (000) (1999) ( ) 000 001 3 98 00 SPSS11.5 6

3.1 3.1.1 38650.30 18834.1 381569.00 17190 7

3.1. 1. 354111 8793 71317 4.8 8

. 4885 4606 17883 4.88 3. Y1 Y Y3 ( 9

) 1 3 4 5 6 7 8 9 10 11 1 13 14 15 16 17 18 19 0 1 1 3.3 Y1 Y i ( i = 1,,...,1) Y = β + β + β + L+ β + ε i 0 i 1i 1 i p i p i ( i = 1,,3 ) β ji j = 0,1,, L p, i = 1,,3) p ε i ( i =1,,3 ) 1 Pearson 3 4 5 6 9 16 Y 1 0.067* 0.175** 0.108** 0.068* 0.116** 0.137** 0.119** (0.035) (0.000) (0.001) (0.001) (0.000) (0.000) (0.000) N=970 N=977 N=974 N=970 N=939 N=975 N=981 Y 1 17 19 0 1 0.078* 0.076* 0.76** 0.17** (0.015) (0.017) (0.000) (0.000) N=981 N=970 N=976 N=981 10

Y 3 4 5 6 9 16 0.068* 0.169** 0.104** 0.069* 0.17* 0.158* 0.159** (0.03) (0.000) (0.001) (0.033) (0.000) (0.000) (0.000) N=978 N=975 N=97 N=968 N=937 N=973 N=979 Y 17 18 19 0 1 0.083** 0.107** 0.143** 0.34** 0.59** (0.010) (0.010) (0.000) (0.000) (0.000) Y 3 0 N=979 N=97 N=968 N=974 N=974 0.067* (0.044) N=910 [6] * 5% ** 1% p 1.. Gauss-Markov E( ε ij ) = 0 j = 1,,..., n cov( ε ij, ε ik ) = σ i, j = k cov( ε, ε ) ij ik = 0, i = 1,, 3 i = 1,, 3 j k, j, k = 1,,..., n i = 1,, 3 3. ε ij ~ N(0, σ i ), j = 1,,..., n ε i1, ε i, ε in i = 1,,3 i ( i = 1,,3,4,5,6,7) stepwise [6] 1. Exclude cases pariwise. Excluede cases listwise 1 11

methods [7] 0 3 1 9, 4 5 Y = 86594 + 1 + 331.355 0 + 7688.17 3 + 06379.0 1 + 16977. 9 408. 336 4 0 3 1 9, 4 5 Y 86594 + = + 331.355 0 + 7688.17 3 + 06379.0 1 + 16977. 9 408. 336 (1) 4 1 3 1 P-P 4 Normal P-P Plot of Regression Standardi Scatterplot Dependent Variable: Y1 Dependent Variable: Y1 1.00 10 Regression Standardized Predicted Value 0-10 -0-4 - 0 4 6 8 10 1 Expected Cum Prob.75.50.5 0.00 0.00.5.50.75 1.00 Regression Standardized Residual Observed Cum Prob 1 1 P-P 1 [7] 1 Use probability of F F 0.05 Sig <<0.05 Sig >>0.10 Use F value F Entry F >>3.84 F <<.71 1

1 0 3 1 9 4 0 3 1 9 4 B -86594 B -310174 t -4.8 t -5.31 p 0.000 p 0.000 B 331.355 B 385.956 0 t 6.485 t 8.177 0 t p 0.000 p 0.000 F B 7688.170 54507.10 t.551.085 3 p 0.011 1 p 0.000 3 0.037 B 06379.000 B 178065.700 t 3.589 t 3.84 p 1 0.000 B 19967.00 B 14360.800 t 4.74 t 5.098 9 p 0.000 9 p 0.000 B 408.336 B 3716.587 t 4.140 t 4.138 4 p 0.000 4 p 0.000 F 8.356 F 36.67 p 0.000 p 0.000 R 0.136 R 0.169 R 0.131 0.164 13

Scatterplot 10 Dependent Variable: Y Normal P-P Plot of Regression Standard Regression Standardized Predicted Value 0-10 -0-4 - 0 4 6 8 10 1 14 Expected Cum Prob Dependent Variable: Y 1.00.75.50.5 0.00 0.00.5.50.75 1.00 Regression Standardized Residual Observed Cum Prob 3 4 P-P Tolerance Tol Variance Inflation Index, VIF (Condition Index,CI) Tol i = 1 Ri 1 VIFi =,1 = 1,,..., n 1 R i R i i CI i = / i 3 3 5 6 10 Scatterplot Dependent Variable: Y1 Scatterplot Dependent Variable: Y Regression Standardized Predicted Value 0-10 -0-4 - 0 4 6 8 10 1 Regression Standardized Predicted Value 10 0-10 -0-4 - 0 4 6 8 10 1 14 Regression Studentized Residual Regression Studentized Residual 5 3 6 4 14

3 1 0 0.96 0 0.915 3 0.837 3 0.837 Tol 1 0.890 1 0.894 9 0.805 9 0.806 4 0.747 4 0.759 0 1.080 0 1.09 3 1.195 3 1.195 VIF 1 1.14 1 1.119 9 1.43 9 1.41 4 1.340 4 1.318 1 1.000 1 1.000.168.166 CI 3 3.144 3 3.140 4 5.87 4 5.769 5 3.94 5 9.079 6 13.608 6 1.335 4 Durbin-Watson D-W DW. = n t= ( e e t n et t= t 1 ) e t OLS D-W d 14 1 =. d =.076 0 3 15

1 9 4 3.4 000 11 001 6 00 6 00 11 10 1. 30 3. 16

3. 4. 5. 1-3.59% -1.8% 3 3.47% 17

3.5 00 3.5.1 00 983 5.15 3.5. [8] 3.5.3 3.5.4 [8] 18

4 4.1, β, 4. 19

4..1 FV 1. EVA 0 (stem stewart &co ) EVAQ 1993 9 EVA(economic value added) : : EVA NOPAT TC WACC NOPAT TC WACC Dm Em WACC Kd (1 T) + R D + E D + E m m m m D m E m K d T R NOPAT EVA NOPAT EVA 0

EVA EVA Stephen O Byrne(1996) EVA (R 0.56) NOPAT (R 0.17) James L Grant(1996) EVA MVA Gary C Biddle (1997) 1000 1983 ~1994 EVA (residual income) (earnings) (operating cash flow) EVA Shimin Chen James L Dodd(1997) EVA S R Rajan(1999) 1998 ( EVA ) ( MVA) EVA Farzad Farslo (000) EVA EVA (1997) EVA (1997) (REVA) REVA EVA [9] 40 EVA EVA 50, EVA EVA EVA EVA EVA EVA. FVA EVA [9] EVA 000 11 1

FVA= { } 1 3 4 5 4.. MV 1 MVA MVA = MV MV + IV t+1 t t~ t+ 1 MVA MV MV IV t +1 t t~ t+1 T~T+1

FVA MVA - FVA 5 5.1 95 /3 3

/3 5. 0 90 Hawitt 1994 46% 9% 1999 17% 65% 5.3 4

(Baumol(1959) Maris(1964) Jenson(1986) etc.) Grossman Hart(1988) (Shleifer Vishny(1989)) 6 6.1 Y Y1 Y Y 1 = A* α i A 1 3 α i Y = FVA t β 1 5

FVA t β1 FVA t 6. 6..1 00 7 5.15, 1/3 /3 6

6.. 7

6..3 6.3 8

9 59 6.3.1 ( ) 59

59 6.3. 59 7 7.1 30

[10] 7. 7..1 : 1. [10] 00 11 31

1950 0 80 0 90. 80 0 90 3. 0 70 3 0 90 16 10 4. 5. 3

7.. 1. 10 30. + + 30 70 3. 1 4 4. 5. 33

7.3 7.3.1 147 38 6 6 5 45 7.3. 34

7.3.3 ( ) 7.3.4 35

7.4, 1.. 3. 4. 36

7.5 7.5.1 7.5. 37

1. Brain J.Hall Kevin J.Murphy B-S 100. p 0 R R= P/ p 0 38

= R p 0 R p p 0 p p 0 p 0 p p 0 1 p 0 <p p 0 p 0 R R R [11] 1+i t, t t 7.5.3 [11] i t 39

1. 5 S S= + S 5 S 1/3 S [1]. S 1 t S 3 S n S 3 [1] 40

3. B S R p R p n 1, p 1, n, R(p 1 ) n 1, n p 1 p 0, Y R(p 1 ) n 1 + n p 1 p 0 Y p 1 7.5.4 ( MVA - FVA ) O R ( MVA - FVA ) O R ( MVA - FVA ) β β O R C S T P Q i 1 O R C S T P S T P Q i 41

Black-Scholes [13] B S rt C S T P S N d ) Pe N( ) ( 1 d d 1 S σ ln( ) + ( r + ) T = P σ T d S σ ln( ) + ( r ) T = P = d1 σ σ T T [14] S T P r N ( d ) ( ) 1 N d d1 d σ B S 1 Q i= O R /C S T P Q i i 1 + = j 1 θ Q j j Q Z j=1, I-1 Qi [13] Black-Scholes Black.F and M.Scholes,1973 Political Economy. The Pricing of Option and Corporate Liablilities, Journal of [14] Hull.J.C 1993, Option,Futures and other Derivative Securities, Preutice Hall, Inc. 4

Q j QZ θ j θ j 1 Q i Q Q = min{q i (Q Z θ jq j )} i j 1 i-1 j= 1 O R O R C F S T P q F +C c (U T V) q c C F S T P q F C c (U T V) q c U V q F = A q q F A q c c O R C F S T P A q c +C c (U T V) q c q = O( R) [ C ( S, T, P) A C ( U, T, V )] c F + c q = A O( R) [ C ( S, T, K ) A C ( U, T, V )] F F + c 43

α i I β i I q i = α i * β i * Q / α i * β i 7.6 7.6.1 1. ( ) 1999 8 0. 7.6. 7.6.3 44

7.7 7.7.1 1.. 3. 4. 45

1 7.7. 1. = 1+ = / 1+. = 1+ = + / 1+ 7.7.3 1. A) B) C) D). 46

3. A) B), ( ) 8 1 00 17190 Pearson 0.175 0.137 0.108 Pearson 0.76 0.17 00 5.15 47

3 4 /3 5 FVA MVA-FVA 6 Y1 = A* α i FVA Y = FVA t β 1 MVA-FVA B-S Q i= ( MVA - FVA ) β /C S T P 7 8 48

[1] Andrei Shleifer and Robert W.Vishny 1997 A survey of corporate governance The Journal of Finance,54(), 737-783. [] Fama, Eugene, and Michael Jenson, 1983a,Separation of Ownership and control, Journal of Law and Economics 6, 301-35. [3] Fama, Eugene, and Michael Jenson,1983b, Agency problems and residuals claims, Journal of Law and Economics 6, 37-349. [4] Fama, Engene, 1980, Agency problems annd the theory of the firm, Journal of Political Economy, 88, 88-307. [5] Hart, Oliver, and Moore, 1990, Property rights and the nature of the firm, Journal of Political Economy, 98, 1119-1159. [6] Jenson, Michael, 1986, Agency costs of free cash flow, corporate finance, and takeovers, American Economic Review, 76, 33-39. [7] Jenson, Michael, and Kevin Murphy, 1990,Performance pay and top management incentives, Journal of Political Economy, 98, 5-63. [8] Kaplan, Steven, 1994a, Top executives, turnovers, and firm performance in Germany, Journal of aw, Economics, and Organization, 10, 14-159. [9] Shleifer, Andrei, and Robert Vishny, 1986a, Grennmail, white knights, and shareholder s interest, Rand Journal Eeconomics, 17, 93-309. [10] Robert M.Bushman, and Abbie J.Smith, Financial Accounting Information and Corporate Gvernance, Working Paper, 001. [11] Kaplan, Steven, 1994b, Top executives rewards and firm performance:an comparison of Japan and the United States, Journal of Political Economy 10, 510-546. [1] McConell, john, and Chris Muscarella, 1986, Corporate capital expenditure decisions and the market value of the firm, Journal of Financial Economics, 14, 399-4. [13] Kaplan, Steven, 1989, The effects of management buyouts on operating performance and value, Journal of Financial Economics, 4, 17-54. [14] Kaplan, Steven, 1991, The statying power of leveraged buyouts, Journal of Financial Economics,9, 87-313. I

[15] Andrei Shleifer and Robert W.Vishny 1986a, Greenmail, white knights, and shareholder s interest, Rand Journal of Economics, 17, 93-309. [16] Andrei Shleifer and Robert W.Vishny 1986b, Large shareholders and corporate control, Journal of Political Economy 94,461-488. [17] 001 9 [18] 003 1 [19] 000 7 [0] -A- [ ] 1998 4 [1] 001 5 [] 000 [3] 003 3 [4] 00 7 [5] 00 5 [6] 00 11 [7] 1996 [8] 003 1 [9] [ ].J. 00 11 [30] 00 11 [31] 003 1 [3] 00 7 [33] 1997 9 [34] 001 11 [35] 1999 10 [36] 001 [37] 00 II

[38] 000 5 [39] 001 1 [40] 000 1 [41] EVA 000 11 [4] 35 1 001 1 [43] 001 3 1 [44] 001 4 [45] 001 10 [46] 000 1 [47] 000 [48] 16 4 000 11 [49] 1 104 [50] 001 8 [51] 000 6 [5] 001 1 [53] ( ) 9 4 000 1 [54] 001 6 15 3 [55] : 1999 [56] 000 5 [57] 34 001 4 [58] 19 III

1 001 3 [59] 30 00 [60] 001 4 [61] 001 8 [6] 16 001 11 [63] 000 [64] 00 7 [65] 001 9 [66] 001 4 [67] 001 8 [68] 000 5 [69] 001 4 [70] 001 5 16 3 [71] 000 8 [7] ---- 003 6 IV