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研究ノート�

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).