【正文】 ercial paper and bonds—are classi?ed as such. Other liabilities—such as accounts payable, accrued expenses, deferred revenue, restructuring liabilities and pension liabilities—arise from operations. The distinction is not as simple as current versus longterm liabilities。 financing debt＋ operating liabilities ROCE equals the weighted average of ROOA and the total borrowing rate, where the weights are proportional to the amount of total operating assets and the sum of ?nancing debt and operating liabilities (with a negative sign), respectively. So, similar to the leveraging equations (8) and (12): ROCE = ROOA ＋ [TLEV(ROOA － total borrowing rate)] (13) In summary, ?nancial statement analysis of operating and ?nancing activities yields three leveraging equations, (8), (12), and (13). These equations are based on ?xed accounting relations and are therefore deterministic: They must hold for a given ?rm at a given point in time. The only requirement in identifying the sources of pro?tability appropriately is a clean separation between operating and ?nancing ponents in the ?nancial statements. 2 Leverage, Equity Value and PricetoBook Ratios The leverage effects above are described as effects on shareholder pro?tability. Our interest is not only in the effects on shareholder pro?tability, ROCE, but also in the effects on shareholder value, which is tied to ROCE in a straightforward way by the residual ine valuation model. As a restatement of the dividend discount model, the residual ine model expresses the value of equity at date 0 (P0) as: B is the book value of mon shareholders’ equity, X is prehensive ine to mon shareholders, and r is the required return for equity investment. The price premium over book value is determined by forecasting residual ine, Xt – rBt1. Residual ine is determined in part by ine relative to book value, that is, by the forecasted ROCE. Accordingly, leverage effects on forecasted ROCE ( of effects on the required equity return) affect equity value relative to book value: The price paid for the book value depends on the expected pro?tability of the book value, and leverage affects pro?tability. So our empirical analysis investigates the effect of leverage on both pro?tability and pricetobook ratios. Or, stated differently, ?nancing and operating liabilities are distinguishable ponents of book value, so the question is whether the pricing of book values depends on the position of book values. If this is the case, the different ponents of book value must imply different pro?tability. Indeed, the two analyses (of pro?tability and pricetobook ratios) are plementary. Financing liabilities are contractual obligations for repayment of funds loaned. Operating liabilities include contractual obligations (such as accounts payable), but also include accrual liabilities (such as deferred revenues and accrued expenses). Accrual liabilities may be based on contractual terms, but typically involve estimates. We consider the real effects of contracting and the effects of accounting estimates in turn. Appendix A provides some examples of contractual and estimated liabilities and their effect on pro?tability and value. Effects of Contractual liabilities The ex post effects of ?nancing and operating liabilities on pro?tability are clear from leveraging equations (8), (12) and (13). These expressions always hold ex post, so there is no issue regarding ex post effects. But valuation concerns ex ante effects. The extensive research on the effects of ?nancial leverage takes, as its point of departure, the Modigliani and Miller (Mamp。 附錄 B Financial Statement Analysis of Leverage and How It Informs About Protability and PricetoBook Ratios DORON NISSIM, STEPHEN H. PENMAN ABSTRACT This paper presents a ?nancial statement analysis that distinguishes leverage that arises in ?nancing activities from leverage that arises in operations. The analysis yields two leveraging equations, one for borrowing to ?nance operations and one for borrowing in the course of operations. These leveraging equations describe how the two types of leverage affect book rates of return on equity. An empirical analysis shows that the ?nancial statement analysis explains crosssectional differences in current and future rates of return as well as pricetobook ratios, which are based on expected rates of return on equity. The paper therefore concludes that balance sheet line items for operating liabilities are priced differently than those dealing with ?nancing liabilities. Accordingly, ?nancial statement analysis that distinguishes the two types of liabilities informs on future pro?tability and aids in the evaluation of appropriate pricetobook ratios. Keywords: financing leverage。這種測量誤差效應(yīng)會導(dǎo)致凈資產(chǎn)收益率和經(jīng)營負債杠桿的負相關(guān)。例如一 家企業(yè)賬面 有高的拖延的收入，增加的消費或者運營的債務(wù)都會增加運行債務(wù)的水平，而降低他現(xiàn)在的利益。所以 ， 難以賺錢的債券持有者，公 司可以被看作是以貿(mào)易債權(quán)人賺錢。莫迪里亞尼和米勒 （ 1963） 假設(shè)債務(wù)增長的稅收優(yōu)惠和稅后收益，增加股權(quán)價值。 所以我們的實證分析 ， 探討了杠桿對收益率和之比率的影響。 如果供應(yīng)商完全承擔信用的隱性成本， 經(jīng)營資產(chǎn)收益率 是將要獲得的經(jīng)營資產(chǎn)的回報率沒有經(jīng)營負債杠桿。杠桿等式（ 8）是在 財務(wù)杠桿為負的情況下使用的（在這種情況下，凈借貸率是凈金融資產(chǎn)回報率）。 等式（ 3）和（ 4）清楚的計算了稅后的運營利潤和借貸率 凈資產(chǎn)回報率 =運營收 入 247。不應(yīng)該把所 有負債都當作融資負債來處理，相反，只有從運營中得到的現(xiàn)金，就像銀行貸款，短期商業(yè)票據(jù)和債券屬于這種類型。 因此，在運營方面杠桿更高的公司有更高的 股價與賬面價值比率 。然而，一些負債 —— 如 銀行貸款和發(fā)行的債券，是由于 資金籌措 ，其他 一些 負債 —— 如 貿(mào)易應(yīng)付賬款， 預(yù)收 收入 和 退休金 負債 ， 是由于在運營過程中與供應(yīng)商的貿(mào)易，與顧客 和雇傭者在結(jié)算過程中產(chǎn)生的負債 。 實證分析表明，財務(wù)報表分析解釋 了 當前和未來的回報率 以及 股價與賬面價值比率 具有代表性的差異。因此， 本文 還 研究了 是否兩類負債與 將來的 賬面收益率 的區(qū)別有關(guān) 。這個分析從實證的詳細分析中得出了精確的杠桿效應(yīng)等式 普通股產(chǎn)權(quán)資本收益率 =綜合所得 247。因此，一個公司可能會發(fā)行債券，以籌集資金，但也可能購買債券超額現(xiàn)金業(yè)務(wù)。尼薩姆和彭曼（ 2021）報告中指出紐約證券交易所和美國證券交易公司在 19631999 年間的平均資產(chǎn)收益率只有 %，但平均凈資產(chǎn)收益率是 %，后者更接近人們在商業(yè)運營中所期望的回報值。這是為什么運營負債是運營方面不可分割的一部分而不是融資的一部分。所以 ， 類似的平衡方程 （ 8）和 （ 12） ： 資本收益率 =凈資產(chǎn)收益率 ＋ [總杠 桿 （凈資產(chǎn)收益率 － 總借款利率） ] （ 13） 總之，運營和融資的財務(wù)報表分析有三個等式， （ 8） ， （ 12） 和 （ 13） ，這些等式是基于固定的結(jié)算關(guān)系，因此具有