2.LITERATURE REVIEW
The earliest written discussion of the idea that the value of something is related to its future cash flows comes from Johan de Witt (1671); though the basic idea traces back to the early Greeks . In modern times, the idea that corporate value is related to future dividends was first described by John Williams (1938) . Durand (1957) observed what later became known as the Gordon growth model, that a dividend growing at a constant rate forever can be capitalized to estimate a firm’s value.
The literature that tests the FCF theory examines a variety of valuation methods.
All of these tests rely on forecasts of cash flows or earnings made contemporaneously
with the valuation estimate. That is, starting in a given year, they compare actual EV
against forecasts, made that year, for the same company. For example, Francis, Olsson, and Oswald (2000) compared three theoretical valuation models-- discounted dividends (DD), discounted FCF, and discounted abnormal earnings (AE) – by analyzing Value Line annual forecasts for the period 1989 – 1993 for a sample of 2,907 firm years that ranges between 554 and 607 firms per year. They found that the AE model had a 27% lower absolute prediction error than the FCF model and a 57% lower absolute prediction error than the DD model.
Sougiannis and Yaekura (2001) also consider three multiperiod accounting based
valuation methods: an earnings capitalization model (similar to FCF), residual income (a version of AE) without a terminal value, and residual income with a terminal value . They put analyst’s earnings forecasts into the three theoretical models and find overall 本文来自辣.文~论^文·网原文请找腾讯3249'114
that they provide greater insight than merely relying on current earnings, book values or dividends. Their sample covered 36,532 firm years over the period 1981 – 1998 of which 22,705 consisted of one year forecasts, 9,420 of two year forecasts, 1,279 of three year forecasts, and 3,128 of four year forecasts. They found that the AE model with a terminal value most accurately predicted current equity values in 48% of cases, the FCF model was most accurate in 18% of cases, and the AE without a terminal value was most accurate in 13% of cases. Current income and book values provided the best forecasts for the remaining 21% of the sample.
Liu, Nissim and Thomas (LNT) (2002) in an article similar to Sougiannis and
Yaekura (2001) found that multiples based on analyst’s forward earnings projections
(made in the same year) explain stock prices within 15% of their actual value while
historical earnings, cash flow measures, book value, and sales were not nearly as
insightful. LNT argue that multiples value future profits and risk better than present value forecasts. Their multiples are derived based on current earnings and stock prices.
综合性文稿如何才能写出新意Gentry, Whitford, Sougiannis, and Aoki (2001) took a different theoretical and
empirical approach comparing an accounting method which looked at the discounted
value of future net income to a finance method that looked at the discounted value of
FCFs to equity. Their analysis tested the closeness with which each model predicted
capital gains. The sample included both US (1981 – 1998) and Japanese companies (1985– 1998). Each year had between 881 and 1034 US companies and 166 to 365 Japanese companies. They found that the FCFs to equity method were not closely related to capital gains rates of return for either US or Japanese companies. In the US they found a strong relationship between cash flows associated with operations, interest, and financing (the accounting method) to capital gains; no similar relationship was found in Japan.
Finally, Dontoh, Radhakrishnan, and Ronen (2007) compared the association
between stock prices and accounting figures. They found that the association between
stock prices and accounting numbers has been declining over time. They suggest that this may be due to increased noise in stock prices resulting from higher trading volume driven by non-information based trading.
A further related literature examines the relationship between valuation and changes in dividends . These studies are concerned with market efficiency. Dividends are a straightforward concept: they are the payments made to equity holders by a company. Dividends may also be thought to include all cash payouts to equity including share repurchases, share liquidations, and cash dividends. Several studies have examined whether changes in dividends relate to changes in equity values; among these are Shiller (1981), LeRoy and Porter (1981), and Campbell and Shiller (1987). These tests generally find that stock market volatility can not be explained by subsequent changes in dividends. Larrain and Yogo (2008) take a slightly different look at equity volatility. Using a more aggregate sample they find that the majority of the change in asset prices (88%) is explained by cash flow growth while the
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