THE TIME SERIES PROPERTIES OF THE COMPONENTS OF CLEAN SURPLUS EARNINGS: UK EVIDENCE
基于英国181家公司25年的数据，研究清洁盈余会计收益率各组成部分的时间序列特征，并探讨其对股权估值模型的实际应用意义。
This paper seeks to advance the practical application of theoretically grounded accounting based equity valuation models which use the concept of earnings persistence. It does so by employing an empirically tractable development of the clean surplus residual income based valuation models that appear in the literature as the basis for an empirical investigation of the time series properties of components of the clean surplus earnings of UK companies. The paper uses a general expression of the value of equity capital in terms of residual income scaled by book value to show that clean surplus Accounting Rate of Return (ARR) is relevant in a valuation context if the series has a mean which differs from the cost of equity and/or there is time series dependence in the series. It then uses data drawn directly from the income statements and reserve notes of 181 UK companies over 25 years to seek evidence regarding the mean values of the disaggregated components of clean surplus ARR in the UK both in aggregate and across sectors. Then after using the general expression to provide a classification of ARR series according to four classes of time series process each of which suggests the appropriateness of a different valuation model employing ARR variables (mean level first difference) the paper provides evidence on the time series properties of the disaggregated components of clean surplus ARR both in aggregate and across sectors.