译文（一） THE ACCOUNTING REVIEW Vol. 83, No. 3 2008 pp. 823–853
马克?t?Soliman 华盛顿大学 文摘:杜邦分析,一种常见的财务报表分析，依靠于净营业资产收益率的两个乘法组件:利润率和 资产周转率。这两个会计比率衡量不同的构造。因此,有不同的属性。之前的研究已经
发现,资产 周转率的变化是未来收益的变化正相关。本文全面探讨了杜邦组件和沿着三个维度有助于文学。 首先,本文有助于财务报表分析文献,发现在这个会计信息信号实际上是增量学习会计信号在先 前的研究在预测未来收益。其次,它有助于文学在股票市场上使用的会计信息通过检查眼前和未 来的股本回报投资者应对这些组件。最后,它增加了分析师的文献处理会计信息的再次测试直接 和延迟反应的分析师通过同期预测修正以及未来预测错误。一致的跨市场加入者的两组 ,结果表 明是有用的信息就是明证杜邦组件和股票收益之间的联系以及维度分析师预测。然而,我发现预 测未来预测错误和异常返回信息处理表明似乎没有完成。平均水平,分析表明杜邦组件代表增量 和可行的操作特征信息的公司。 关键词:财务报表分析、杜邦分析、市场回报、分析师预估。 数据可用性:在这项研究中使用的数据是公开的来源显示的文本。 在本文中,我分析杜邦分析中包含的信息是否与股市回报相关和分析师预测。之前的研究文档组 件从杜邦分析,分解的净营业资产收益率为利润率和资产周转率 ,有解释力对未来盈利能力的变 化。本文增加了文献综合研究投资者和分析师反应杜邦组件三个维度。首先,它复制先前记录的 预测能力和检查是否健壮和增量其他预测已经考虑在文学的存在。其次,它探讨了使用这些组件 的股市投资者通过观察同生和未来收益。在同时代的长窗协会和短时期限信息测试,结果显示积 极联系杜邦组件和股本回报率。 但小未来异常返回交易策略显示的信息可能不完整的处理。 最后, 检查当前预测修正由卖方分析师和未来的预测错误。尽管他们似乎修改他们的预测未来收益与这 些杜邦组件中的信息一致,修订似乎不完整就是明证可预测的未来预测错误。一致的市场参与者, 在两组同期结果表明,信息是有用的,但是未来的测试表明,信息处理似乎没有完成。 由金矿和笔者(2001)提供了一个使用剩余收益的股票估值方法框架,给出了一个简单的财务比率 分析的直接映射到股票估值。特别是他们用杜邦分析,分解公司的净营业资产收益率(RNOA)利润 1 2 率(PM)和资产周转率(ATO)点的地方 。 PM 和 ATO 会计信号,测量不同结构对一个公司的业务 。 PM 往往是来自定价权,如产品创新,产品定位,品牌知名度,先发优势和市场定位。ATO 措施资产利用 率和效率,通常来自于有效的利用财产,工厂和设备,有效的库存流程;和其他形式的资本管理工 3 作 。 我们有理由期待竞争力量的影响这两个来源盈利能力不同。大的利润率通常吸引新进入者进入市 场或快速模仿新思想从现有的竞争对手。由此产生的竞争导致高利润率回归正常水平,暗示更多 暂时的利益。与利润不同,然而,竞争可能少威胁要部署一个有效的资产。更难以模仿另一个公司 的高效生产流程因为这样模仿通常包括大型和昂贵的改革目前的工厂和操作。 1.具体来说,RNOA 营业收入/平均净营业资产,PM 营业收入/销售和 ATO 销售 /平均净营业资产。 此后,点和 ATO 被称为“杜邦公司组成” 。另一个常见的形式是分解罗伊(利润杠杆资产周转率)或 (NI /产品销售/资产资产/股本)。讨论的“估值理论和 RNOA”部分,我在分析使用 RNOA 为了专注 于操作,因此抽象从公司的融资决策。 2.例如,阿伯克龙比和惠誉赚取高额利润通过出售 used-looking 服装被认为是时髦和青少年所要
求的。强大的品牌很难模仿和允许他们收取溢价。 3.高异常的一个很好的例子是戴尔说话。他们的商业模式是基于保持极低的库存和高营业额。从 历史上看,他们的说话已经超过行业平均约 1.2。
原文（一） THE ACCOUNTING REVIEW Vol. 83, No. 3 2008 pp. 823–853
The Use of DuPont Analysis by Market Participants
Mark T. Soliman University of Washington ABSTRACT: DuPont analysis, a common form of financial statement analysis, decom-poses return on net operating assets into two multiplicative components: profit margin and asset turnover. These two accounting ratios measure different constructs and, accordingly, have different properties. Prior research has found that a change in asset turnover is positively related to future changes in earnings. This paper comprehensively explores the DuPont components and contributes to the literature along three dimen-sions. First, the paper contributes to the financial statement analysis literature and finds that the information in this accounting signal is in fact incremental to accounting signals studied in prior research in predicting future earnings. Second, it contributes to the literature on the stock market’s use of accounting information by examining immediate and future equity return responses to these components by investors. Finally, it adds to the literature on analysts’ processing of accounting information by again testing immediate and delayed response of analysts through contemporaneous forecast revi-sions as well as future forecast errors. Consistent across both groups of market par-ticipants, the results show that the information is useful as evidenced by associations between the DuPont components and stock returns as well as analyst forecast revi-sions. However, I find predictable future forecast errors and future abnormal returns indicating that the information processing does not appear to be complete. Taken to-gether, the analysis indicates that the DuPont components represent an incremental and viable form of information about the operating characteristics of a firm.
Keywords: financial statement analysis; DuPont analysis; market returns; analyst forecasts. JEL Classification: M4.
Data Availability: The data used in this study are publicly available from the sources indicated in the text. I. INTRODUCTION In this paper I examine whether the information contained in DuPont analysis is asso-ciated with stock market returns and analyst forecasts. Prior studies document that the components from DuPont analysis, which decomposes return on net operating assets into profit margin and asset turnover, have explanatory power with respect to changes in future profitability. This paper adds to the literature by comprehensively examining investor and analyst reactions to the DuPont components along three
dimensions. First, it replicates the previously documented forecasting ability and examines whether it is robust and incre-mental to the existence of other predictors already considered in the literature. Second, it explores the use of these components by stock market investors by looking at both contem-poraneous and future returns. In contemporaneous long-window association and short-window information tests, the results indicate a positive association between the DuPont components and equity returns. But small future abnormal returns to a trading strategy indicate a possibly incomplete processing of information. Finally, it examines both current forecast revisions and future forecast errors by sell-side analysts. Although they appear to revise their forecasts of future earnings consistent with the information in these DuPont components, the revision seems to be incomplete as evidenced by predictable future forecast errors. Consistent across both groups of market participants, the contemporaneous results show that the information is useful but the future tests indicate that the information proc-essing does not appear to be complete. Work by Nissim and Penman (2001) provides an approach to equity valuation using the residual income framework that gives a simple direct mapping of financial ratios to equity valuation. In particular they use DuPont analysis, which decomposes a firm’s return on net operating assets (RNOA) into profit margin (PM) and asset turnover (ATO) where RNOA PM ATO.1 PM and ATO are accounting signals that measure different constructs about a firm’s operations. PM is often derived from pricing power, such as product inno-vation, product positioning, brand name recognition, first mover advantage, and market niches.2 ATO measures asset utilization and efficiency, which generally comes from the efficient use of property, plant, and equipment; efficient inventory processes; and other forms of working capital management.3 There are reasons to expect competitive forces to affect these two sources of profita-bility differently. Large profit margins often draw new entrants into the marketplace or quick imitation of new ideas from existing rivals. The resulting competition causes high profit margins to revert to normal levels, suggesting more transitory benefits. Unlike profit margin, however, competition may be less threatening to an efficient deployment of assets. It is more difficult to imitate another firm’s efficient production processes because such imitation often involves large and costly overhauls of current factories and operations. 1 Specifically, RNOA Operating Income / Average Net Operating Assets, PM Operating Income / Sales, and ATO Sales / Average Net Operating Assets. Hereafter, PM and ATO are referred to as the ‘‘DuPont Compo-nents.’’ Another common form is to decompose ROE (Profit Margin Asset Turnover Leverage) or [NI / Sales Sales / Assets Assets / Equity]. As discussed in the ‘‘Valuation Theory and RNOA’’ section, I use RNOA in my analyses in order to focus on operations and thus abstract from the firm’s financing decision. 2 For example, Abercrombie and Fitch earns high margins by selling used-looking clothing that is considered trendy and is demanded by teenagers. Their strong brand is difficult to imitate and allows them to charge a premium. 3 A good example of high abnormal ATO is Dell. Their business model is based on maintaining extremely low inventory and high turnover. Historically, their ATO has exceeded the industry median by about 1.2 turns.
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