기업가치의 계량경제모형과 그 유용성
An Econometric Model of Firm Valuation and Its Usefulness
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참고문헌
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초록
본 연구는 관측 불가능한 기업가치를 추정할 수 있는 계량경제모형을 개발하고 그 모형의 유용성을 평가하는 것을 목적으로 한다. 기업가치의 대리변수로 주식가격 또는 주식수익률에 의존하는 기존의 연구와는 달리, 기업가치를 계량경제모형에 포함시킨 후, 자료확장법(data augmentation method)과 Gibbs samler를 적용하여 기업가치변수를 직접 추정한다는 점에서 새로운 분석방법이라고 할 수 있다. 기업가치의 추정치에 근거한 주식투자전략의 초과수익률을 평가한 결과, 본 연구에서 제시한 모형이 유용하다는 것을 알 수 있다. 또한 기업가치의 추정치에 근거하여 이윤 변수에 포함되어 있는 측정오차, 즉 기업가치와 무관한 부분을 제거함으로써 이윤반응계수(earnings resposnse coefficient)의 편의를 어느 정도 제거할 수 있는지를 살펴보았다.
Abstract
In this paper we develop a new approach for estimating the value of firm and evaluate the model's usefulness. Since the firm value is unobservable, previous research in accounting and finance used stock prices or returns as a value benchmark. However, in this paper we formulate a probability model that incorporates the unobservable firm value. After estimating the firm value by applying the data augmentation idea and the Gibbs sampler, we evaluate its usefulness by measuring the excess returns of investment strategy which utilizes the estimates. It is shown that the model in this study produces useful and meaningful estimates of the firm value. It is also shown that the value estimates can be used to eliminate value-irrelevant noise from the earnings variable.
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