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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク T-model ： ウィキペディア英語版 T-model The T-model is a formula that states the returns earned by holders of a company's stock in terms of accounting variables obtainable from its financial statements.〔Estep, Preston W., "A New Method For Valuing Common Stocks", Financial Analysts Journal, November/December 1985, Vol. 41, No. 6: 26–27〕 Specifically, it says that: $(1)\; \backslash mathit\; T\; =\; \backslash mathit\; g\; +\; \backslash frac\; +\; \backslash frac\; \backslash mathit(1\; +\; g)$ where ''T'' = total return from the stock over a period (appreciation + "distribution yield" — see below); ''g'' = the growth rate of the company's book value during the period; ''PB'' = the ratio of price / book value at the beginning of the period. ''ROE'' = the company's return on equity, i.e. earnings during the period / book value; The T-model connects fundamentals with investment return, allowing an analyst to make projections of financial performance and turn those projections into an expected return that can be used in investment selection. When ''ex post'' values for growth, price/book, etc. are plugged in, the T-Model gives a close approximation of actually realized stock returns. Unlike some proposed valuation formulas, it has the advantage of being correct in a mathematical sense (see derivation); however, this by no means guarantees that it will be a successful stock-picking tool.〔Dwyer, Hubert and Richard Lynn, "Is The Estep T-Model Consistently Useful?" Financial Analysts Journal, November/December 1992, Vol. 48, No. 6: 82–86.〕 Still, it has advantages over commonly used fundamental valuation techniques such as price–earnings or the simplified dividend discount model: it is mathematically complete, and each connection between company fundamentals and stock performance is explicit, so that the user can see where simplifying assumptions have been made. Some of the practical difficulties involved with financial forecasts stem from the many vicissitudes possible in the calculation of earnings, the numerator in the ''ROE'' term. With an eye toward making forecasting more robust, in 2003 Estep published a version of the T-Model driven by cash items: cash flow, gross assets and total liabilities. Note that all fundamental valuation methods differ from economic models such as the capital asset pricing model and its various descendants; financial models attempt to forecast return from a company's expected future financial performance, whereas CAPM-type models regard expected return as the sum of a risk-free rate plus a premium for exposure to return variability. ==Derivation== The return a shareholder receives from owning a stock is: $(2)\; \backslash mathit\; T\; =\; \backslash frac\; +\; \backslash frac$ Where $\backslash mathit\; P$ = beginning stock price, $\backslash Delta\; P$ = price appreciation or decline, and $\backslash mathit\; D$ = distributions, i.e. dividends plus or minus the cash effect of company share issuance/buybacks. Consider a company whose sales and profits are growing at rate ''g''. The company funds its growth by investing in plant and equipment and working capital so that its asset base also grows at ''g'', and debt/equity ratio is held constant, so that net worth grows at ''g''. Then the amount of earnings retained for reinvestment will have to be ''gBV''. After paying dividends, there may be an excess: $\backslash mathit\; XCF\; =\; \backslash mathit\; E\; -\; \backslash mathit\; Div\; -\; \backslash mathit\; gBV\; \backslash ,$ where ''XCF'' = excess cash flow, ''E'' = earnings, ''Div'' = dividends, and ''BV'' = book value. The company may have money left over after paying dividends and financing growth, or it may have a shortfall. In other words, ''XCF'' may be positive (company has money with which it can repurchase shares) or negative (company must issue shares). Assume that the company buys or sells shares in accordance with its ''XCF'', and that a shareholder sells or buys enough shares to maintain her proportionate holding of the company's stock. Then the portion of total return due to distributions can be written as $\backslash frac\; +\; \backslash frac$. Since $\backslash mathit\; ROE\; =\; \backslash frac$ and $\backslash mathit\; PB\; =\; \backslash frac$ this simplifies to: $(3)\; \backslash frac\; =\; \backslash frac$ Now we need a way to write the other portion of return, that due to price change, in terms of ''PB''. For notational clarity, temporarily replace ''PB'' with ''A'' and ''BV'' with ''B''. Then ''P'' $\backslash equiv$ ''AB''. We can write changes in ''P'' as: $\backslash mathit\; P\; +\; \backslash Delta\; \backslash mathit\; P\; =\; (\backslash mathit\; A\; +\; \backslash Delta\; \backslash mathit\; A\; )\; (\; \backslash mathit\; B\; +\; \backslash Delta\; \backslash mathit\; B\; )\; \backslash ,$ = \mathit AB + \mathit B \Delta \mathit A + \mathit A \Delta \mathit B + \Delta \mathit A \Delta \mathit B \, Subtracting ''P'' $\backslash equiv$ ''AB'' from both sides and then dividing by ''P'' $\backslash equiv$ ''AB'', we get: $\backslash frac\; =\; \backslash frac\; +\; \backslash frac\; \backslash left\; (\; \backslash mathit\; 1\; +\; \backslash frac\; \backslash right\; )$ ''A'' is ''PB''; moreover, we recognize that $\backslash frac\; =\; \backslash mathit\; g$, so it turns out that: $(4)\; \backslash frac\; =\; \backslash mathit\; g\; +\; \backslash frac\; \backslash mathit(1\; +\; g)$ Substituting (3) and (4) into (2) gives (1), the T-Model. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「T-model」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. 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