2019 Fiscal Year Final Research Report
The Direct Effect of Financial Reporting Quality on Risk Factors
| Project/Area Number |
16K03986
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Accounting
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| Research Institution | Osaka University |
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Principal Investigator |
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| Project Period (FY) |
2016-04-01 – 2020-03-31
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| Keywords | 株式資本コスト / 市場の効率性 / クリーン・サープラス関係 / 現在価値恒等式 / WACC / 対数線形・現在価値法 / q理論 |
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| Outline of Final Research Achievements |
I present the extended version of Lyle and Wang's [2015] model and show that firm-level expected returns estimated under the extended model are considerably better at explaining the cross-section of future stock returns when compared to those produced by standard factor models, such as the capital asset pricing model.
In addition, I derive a log-linear present-value (LPV) identity at the enterprise level to generate the model-implied expected return (i.e., cost of capital for operations). I find that the LPV-based cost of capital for operations retains significant predictive power for the future asset return up to three years ahead and is positively associated with future operating risk, as predicted by theory. In contrast, the estimated cost of capital based on the existing factor models fails to exhibit systematic predictive power and reflect operating risk. Thus, I conclude that the LPV approach produces a reliable estimation of the cost of capital for operations.
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| Free Research Field |
財務会計
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| Academic Significance and Societal Importance of the Research Achievements |
企業は，あるプロジェクトに投資するか否かの意思決定にあたり，そのプロジェクトから将来得られるであろうキャッシュ・フローと期待リターンをもとにプロジェクトの価値を算定し，それと必要な投資額を比較することで，価値を創造するようなプロジェクトへと投資する．その過程において，誤った期待リターンを使うと，価値を毀損するプロジェクトに投資したり，本来価値を創造するはずだったプロジェクトへの投資を諦めることになり，不適切な意思決定がなされてしまう．この意味で正確な期待リターンの推定というのは，企業が価値を創造し，将来より成長を遂げるためには不可欠なのである．本研究成果は，正確な期待リターンの推定に寄与する．
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