JP2008217258A - Equity value calculation method and apparatus - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To calculate the equity value of an unlisted company without employing forecasting or assumption. <P>SOLUTION: An equity value calculation method includes the steps of specifying a debt beta β<SB>D1</SB>of each listed company which is in the same industry as an unlisted company to be analyzed, calculating a levered beta β<SB>L</SB>of each listed company which is in the same industry as the unlisted company to be analyzed, calculating an unlevered beta β<SB>U</SB>of each listed company which is in the same industry as the unlisted company to be analyzed, calculating an average unlevered beta β<SB>Ua</SB>of the industry of the unlisted company to be analyzed, specifying a debt beta β<SB>D2</SB>of the unlisted company to be analyzed, and calculating the equity value of the unlisted company to be analyzed from β<SB>Ua</SB>, β<SB>D2</SB>, an interest bearing debt D<SB>2</SB>and past equity-based operating cash flows ECP of the unlisted company to be analyzed, an effective tax rate T, and market returns r<SB>M</SB>(S13). <P>COPYRIGHT: (C)2008,JPO&INPIT

Description

  The present invention relates to a technique for calculating a shareholder capital value of a private company.

(1) Method of calculating business value There are two methods for calculating business value: (a) using the market capitalization of stocks, and (b) other methods. If the company whose business value is to be calculated is a listed company, “Shareholders' equity value = market capitalization” is obtained by the method (a). However, if the company is unlisted, the method (a) cannot be used and (b ) “Other methods”.

As a representative method of “other methods”, there is a discounted present value method (DCF (Discounted Cash Flow) method). This is because cash flow (CF: Cash Flow) generated from a business is discounted (reverse compounding calculation) at a discount rate (ie, cost of capital) determined by a certain method, and the cash flow calculated as a result The total of the discount amount is the business value. FIG. 1 shows the concept of the DCF method. The cash flow CF _{0 in the} first year, which is negative because it includes initial investment, and the cash flow CF _{i in the} following year and thereafter (1 ≦ i ≦ n ). The formula (1) is a discount calculation formula for obtaining the shareholder capital value E.

  In order to use the DCF method, as can be seen from equation (1) and Fig. 1, it is assumed that the future cash flow generated from the business is annual, or when this is difficult, the current value of the cash flow is constant. Based on this assumption, it will be necessary to create future cash flows for each year. For example, as shown in FIG. 2, it is necessary to assume that the cash flow will continue to grow 2% annually from the current value for the next 20 years and then become constant. However, as shown in FIG. 3, the cash flow usually goes up and down every year, and such a simple model cannot accurately represent the cash flow.

(2-1) Setting of discount rate Normally, WACC (Weighted Average Cost of Capital) is used as the discount rate. In other words, the weighted average cost of capital is obtained by weighted average of the capital costs of shareholders' equity and liabilities with the amounts of both, and this is used as the discount rate.
WACC = r _d * (1−T) * D / (D + E) + r _e * E / (D + E)
It should be noted that the r _d cost of debt, r _e Shareholders 'equity cost, T is the effective tax rate, D is the amount of interest-bearing debt, E is the total market value of shareholders' equity.

The cost of shareholders' equity is calculated based on the business risk index (beta) in relation to the market return (return on the market portfolio) based on the Capital Asset Pricing Model (CAPM). To do.
r _e = r _F + β * (r _M −r _F )
R _F is the risk free rate and r _M is the market return.

(2-2) Calculation of business risk (beta) based on market data The index representing business risk is called beta. For each source of capital provided to the business, shareholders' equity beta (β), debt beta ( β _D ). Shareholders' equity beta is further divided into levered beta (β _L ) when there is interest-bearing debt and unlevered beta (β _U ) when there is no interest-bearing debt.

  Shareholders' equity beta can be calculated from market data. In simple terms, shareholders' equity beta can be said to be the slope when the market return is plotted on the horizontal axis and the price / earnings ratio of the company is plotted on the vertical axis.

  Shareholders' equity beta varies by industry. Some industries, such as IT industries, have a high β exceeding 1, while others, such as electricity and gas, have a low beta below 1. Furthermore, the level of interest-bearing debt also affects β. If interest-bearing debt increases, β increases, and if it decreases, β decreases.

Β having such characteristics can be calculated from the market data by the following equation.
β _L = Covar (r _i , r _M ) / Var (r _M ) (2)
Covar is covariance, Var is variance, and r _i is the price / earnings ratio of the company.

In addition, the following equation holds.
β _L = (r _i −r _F ) / (r _M −r _F ) (2-1)
_{β D = (r D -r F} ) / (r M -r F) (2-2)
R _D is the debt cost (borrowing interest rate).

Furthermore, the relationship between levered beta β _L and unlevered beta β _U is as follows.
β _L = β _U + (β _U −β _D ) * D / E * (1-T) (3)

For all listed companies belonging to an industry, Levered Beta β _L is calculated according to (2), Liability Beta is calculated according to Equation (2-2), and based on these, Unlevered Beta is calculated according to Equation (3). By calculating β _U and calculating its average value, it is possible to obtain the business risk (industry unlevered beta) of the relevant industry that excludes the impact of interest-bearing debt levels.
Unlevered Beta by Industry = Σβ _U / n (4)
Note that n is the number of companies belonging to the industry.

On the other hand, for example, in Japanese Patent Application Laid-Open No. 2004-13382, a project that can improve the efficiency of calculation processing of probabilistic business value evaluation and can support evaluation of the effect of measures that can be implemented as the plan progresses. A value evaluation system is disclosed. Specifically, when planning a business plan, a system that evaluates the business value based on the forecasts for the investment required for the progress of the business and the profits earned from the business. A schedule for branch display and a business progress change criterion for setting a standard for changing the business progress depending on the branching of events in the schedule are provided. However, even in such a configuration, profits are predicted stochastically, and the evaluation of business value depends on the model construction method.
JP 2004-13382 A

  In the prior art, there is a problem that the business value cannot be calculated successfully for a private company for the following reasons. In other words, in order to estimate the business value of unlisted companies, etc., in the DCF method that has been used in the past, (1) the future cash flow generated from the business must be predicted every year, (2) when it is not possible Must make future cash flows annually, with certain assumptions.

  However, in the case of (1), the expected value of the future cash flow involves a certain amount of arbitrariness, and the calculated business value also depends on a certain subjectivity. Therefore, the business value calculated by the DCF method reflects the subjectivity of the analyst rather than objectively, and there are difficulties in terms of comparability between projects. Yes.

  In the case of (2), since certain assumptions are made in the creation of future cash flows, the annual cash flows are very regular and stable (for example, FIG. 2).

  However, in real business, cash flows generated from business often fluctuate irregularly and volatilely. Even if we look at specific cases, they are negative and positive, and they are big and very irregular. Therefore, the regular cash flow movement assumed by the DCF method is far from the actual one, and the calculation result is not necessarily realistic.

In addition, since unlisted companies cannot obtain market data, it is not possible to directly obtain a beta indicating business risk according to the equation (2). Therefore, the industry-specific unlevered beta calculated separately in equation (4) and the interest-bearing debt, effective tax rate, etc. of the relevant company are applied to equation (2), and levered beta β _L indicating the business risk when there is interest-bearing debt. Will be asked.

The problem with finding Levered Beta β _L in equation (3) is that, for unlisted companies, the value of equity capital E is unknown, so the debt-to-equity ratio (D / E) is unknown. Another problem is that debt beta is not always zero (the debt has no default risk).

  Accordingly, an object of the present invention is to provide a novel technique for calculating the shareholder capital value of a private company without using predictions or assumptions.

The shareholder value calculation method according to the present invention has a processing unit, and calculates the price / earnings ratio and interest-bearing debt amount D1 of each listed company in the same industry as the unlisted company to be analyzed, as well as the market value E and the market return r _M Executed by a computer that can access a storage device, a first data storage unit that stores data, a second data storage unit that stores interest-bearing debt amounts of unlisted companies subject to analysis, and past operating cash flow ECP attributable to shareholders' equity Is done. Then, (A) the processing unit identifies a debt beta β _D1 of each listed company in the same industry as the non-listed company to be analyzed and stores it in the storage device, and (B) the processing unit Read the price / earnings ratio and market return r _M of each listed company in the same industry as the unlisted company to be analyzed from the first data storage unit, and calculate the price / earnings ratio and market price of each listed company in the same industry as the unlisted company for analysis Dividing the covariance with the return r _M by the variance of the market return, calculating the levered beta β _L of each listed company in the same industry as the non-listed company to be analyzed, and storing it in a storage device; C) Levered beta β _L of each listed company in the same industry as the non-listed company to be analyzed stored in the storage device by the processing unit, and the debt of the company in the same industry as the analyzed company stored in the storage device Be A motor beta _L1, the debt amount D1 and equity market value E of each listed company of the same industry analyte Private stored in the first data storage unit, using the effective rate T, {β _L + β _D1 * D1 / E * (1-T)} / {1 + D / E * (1-T)} is used to calculate unlevered beta β _U for each listed company in the same industry of the unlisted company to be analyzed, and to the storage device And (D) the same type of business of the non-listed company subject to analysis using the unlevered beta β _U for each listed company of the same type of business of the non-listed business subject to analysis stored in the storage device by the processing unit Calculating the average unlevered beta β _Ua for the storage device and storing it in the storage device; and (E) the second debt beta for identifying the liability beta β _D2 of the unlisted company to be analyzed and storing it in the storage device by the processing unit A calculation step; (F) The management unit, the liability beta beta _D2 average Anrebado beta beta _Ua and analyzed Private stored in the storage device, debt amount of analyte Private stored in the second data storage unit D2 And (β _D2 / β _Ua −1) * D2 * (using the past operating cash flow ECP attributed to shareholders' equity, the effective tax rate T, and the market return r _M stored in the first data storage unit. 1−T) + Covar (ECF, r _M ) / Var (r _M ) / β _Ua (where Covar represents covariance and Var represents variance) to calculate the shareholder capital value of the unlisted company to be analyzed and store it Storing in the device.

  As described above, based on the market data and data such as cash flow attributed to past equity of the unlisted company to be analyzed, the value of equity can be uniquely calculated without using predictions or assumptions.

The first data storage unit described above may further store rating data, borrowing interest rate and risk-free rate of each listed company in the same industry of the unlisted company to be analyzed. And determining whether the rating of each listed company in the same industry of the unlisted analysis target company stored in the first data storage unit is equal to or higher than a predetermined level, wherein the first debt beta calculation step described above is performed; For listed companies in the same industry of the unlisted company whose rating is above the specified level, the debt beta β _D1 is set to 0, and listing of the unlisted company in the same industry whose rating is less than the specified level For a company, the method may include calculating a liability beta β _D1 by the difference between the borrowing rate of the listed company and the risk-free rate and the ratio between the market return and the risk-free rate. . This is because debt repayment risk is considerably reduced if the rating is above a certain level.

Further, the first data storage unit described above may further store data related to the correspondence between the rating and the borrowing interest rate and the risk-free rate. The second data storage unit described above may further store the borrowing interest rate of the unlisted company to be analyzed. The second debt beta calculation step described above determines the borrowing interest rate of the unlisted company to be analyzed based on the data related to the correspondence between the rating and the borrowing interest rate stored in the first data storage unit. If the borrowing interest rate of the unlisted company subject to analysis is the borrowing interest rate less than the specified rating, the borrowing interest rate and risk of the unlisted company The step of calculating debt beta β _D2 by the ratio of the difference between the free rate and the difference between the market return and the risk-free rate, and the borrowing interest rate of the unlisted company subject to analysis with a borrowing rate that exceeds the specified rating If it is a rate, a step of setting debt beta β _D2 to 0 may be included. This is because even non-listed companies have a considerably low risk of debt repayment if the rating estimated from the borrowing interest rate is above a predetermined level.

  A program for causing a computer to execute this method can be created, and this program is stored in a storage medium or storage device such as a flexible disk, a CD-ROM, a magneto-optical disk, a semiconductor memory, or a hard disk. . Moreover, it may be distributed as a digital signal via a network or the like. The intermediate processing result is temporarily stored in a storage device such as a main memory.

  According to the present invention, it is possible to calculate the shareholder capital value of an unlisted company without using predictions or assumptions.

[Principle of the present invention]
The present invention is the actual cash flow value of the business to be analyzed (for the past several years), the market price fluctuation rate of listed companies belonging to the same industry, market return (return rate of TOPIX, etc.), risk free rate (government bonds) This is a technology for uniquely estimating business value based on market data such as risk-free interest rates.

1. Calculation of business risk based on market data For calculation of business risk, unlisted beta is calculated by calculating shareholder capital beta from market data using a sample of listed companies and applying the debt / equity ratio of each company. By calculating and calculating the average for each industry, the business risk for each industry can be obtained.

Specifically, based on equation (2), the levered beta β _L of each listed company in the same industry is calculated from the market data of each listed company in the same industry.
β _L = Covar (r _i , r _M ) / Var (r _M ) (2)

In addition, debt beta β _D of each listed company in the same industry can be calculated from equation (2-2). However, if the rating is BBB or higher, it can be considered that β _D = 0.
_{β D = (r D -r F} ) / (r M -r F) (2-2)

Levered beta β _L for each listed company in the same industry, debt β β _D for each listed company in the same industry, the debt-to-equity ratio D / E of each listed company in the same industry, and the effective By solving equation (3) from the tax rate T, you can obtain the unlevered beta β _U of each listed company in the same industry.
β _L = β _U + (β _U −β _D ) * D / E * (1-T) (3)
β _U = {β _L + β _D * D / E * (1-T)} / {1 + D / E * (1-T)} (3-1)

Then, according to equation (4), unlevered beta β _U for each industry can be calculated.
Unlevered Beta by Industry = Σβ _U / n (4)

2. Calculation of business risk based on cash flow results from business Of the betas that represent business risk, the risk that shareholders' equity bears is the shareholder's equity beta, which is the actual cash flow generated by the business. It can be obtained from the value and its fluctuation status.

Since the shareholder equity beta is calculated, it is necessary to calculate the portion attributable to shareholders in the cash flow from the business, but it can be calculated using the following formula.
Cash flow attributable to shareholders' equity (ECF) = (Operating income-Interest expense) * (1-Adjusted effective tax rate) + Depreciation (5)

The business return rate is the annual cash flow divided by the business value.
Return on equity = Cash flow attributable to equity (ECF) / Shareholders' equity value (E).

Furthermore, from the past actual values of return on equity (ECP / E) and market return (r _M ), a beta (usually levered beta because there is interest-bearing debt) indicating the business risk borne by shareholders' equity is calculated. be able to.
β _L = Covar (ECF / E, r _M ) / Var (r _M )
= Covar (ECF, r _M ) / Var (r _M ) / E (6)
Covar (ECF, r _M ) is the covariance of the cash flow ECF attributable to shareholders' equity and the market return r _M , and Var (r _M ) is the variance of the market return r _M.

  Equation (6) shows that the risk of shareholders' equity can be easily calculated, for example, by obtaining a data set of the cash flow from the business since its establishment and the market return over the same period.

  However, although the value of shareholders' equity E is also included in equation (6), no problem arises because E that satisfies equation (3) can be calculated at the same time.

Accordingly, by solving the equations (3) and (6), the shareholder equity value E can be obtained as shown in the following equation (6-2).
E = (β _D / β _U −1) * D * (1−T) + Covar (ECF, r _M ) / Var (r _M ) / β _U (6-2)
In equation (6-2), β _D is basically calculated by equation (2-2), and β _U is the unlevered beta for each industry calculated in (4).

[Embodiment]
FIG. 4 is a functional block diagram of a shareholder capital value calculation apparatus that implements the principle of the present invention described above. The shareholder capital value calculation apparatus according to the present embodiment uses a listed company data storage unit 1 that stores data and the like of listed companies, and an unlevered of a specific industry using data and the like stored in the listed company data storage unit 1 beta beta and specific industries Anrebado beta calculator 3 for calculating the _U, and beta _U storage unit 5 for storing a Anrebado beta beta _U calculated by the specific industries Anrebado beta calculator 3, and data analyzed companies Analysis target company data storage unit 7 for storing data, and a liability for calculating debt β β _D of listed companies and analysis target companies using data stored in the analysis target company data storage unit 7 and the listed company data storage unit 1 Beta calculation unit 9, β _D storage unit 11 that stores debt beta β _D calculated by debt beta calculation unit 9, analysis target company data storage unit 7, and β _D storage unit 11, β _U storage unit 5, share capital value calculation unit 13 that calculates shareholder capital value using data stored in listed company data storage unit 1, and analysis target calculated by shareholder capital value calculation unit 13 A shareholder capital value storage unit 15 that stores the company's shareholder capital value E and an output unit 17 that outputs the shareholder capital value E stored in the shareholder capital value storage unit 15 are provided. The specific industry unlevered / beta calculation unit 3 obtains β _D of the listed company from the β _D storage unit 11 and performs processing.

  The specific industry unlevered beta calculation unit 3 includes a variance calculation unit 31 and a covariance calculation unit 33. The shareholder capital value calculation unit 13 includes a variance calculation unit 131 and a covariance calculation unit 133.

An example of data stored in the listed company data storage unit 1 is shown in FIG. FIG. 5A shows general data stored in the listed company data storage unit 1 and includes a risk-free rate (interest rate of government bonds) r _F and an effective tax rate T. FIG. 5B shows individual data of listed companies stored in the listed company data storage unit 1. The company code, the industry type, the borrowing interest rate, the rating, the market value of shareholders' equity, Includes interest-bearing debt. Further, for each listed company registered in FIG. 5B, as shown in FIG. 5C, the price / earnings ratio r _{i for} each year (in FIG. It is written r _Ai ). The market return r _M for each year is also included. Furthermore, as shown in FIG. 5D, a table for storing the correspondence between the rating and the borrowing interest rate is also held.

  An example of data stored in the analysis target company data storage unit 7 is shown in FIG. FIG. 6A shows a part of the financial data of the analysis target company, and includes the analysis target company name, the type of industry, the borrowing interest rate, and the interest-bearing debt amount. In addition, as shown in FIG. 6 (b), operating cash flow (ECF) attributable to shareholders' equity for each year is included as part of the financial data. Note that the operating cash flow attributable to shareholders' equity shown in FIG. 6B is up and down as shown in FIG.

Next, the processing flow of the shareholder capital value calculation apparatus shown in FIG. 4 will be described with reference to FIG. First, the user inputs data of an analysis target company, and the shareholder capital value calculation apparatus accepts the data input and stores it in the analysis target company data storage unit 7 (step S1). Data as described above is stored. Further, the debt beta calculation unit 9 uses the data stored in the listed company data storage unit 1 to calculate the debt beta β _D for each listed company in the same industry as the analysis target company, and stores it in the β _D storage unit 11. Store (step S3). If the rating stored in the listed company data storage unit 1 is BBB or higher, β _D is set to 0. On the other hand, if it is less than BB, debt beta β _D is calculated according to the above-mentioned equation (2-2), so the borrowing interest for each listed company in the same industry as the analysis target company from the listed company data storage unit 1 Calculation is performed by reading out the rate, the risk-free rate r _F and the market return r _M.

Further, the specific industry unlevered beta calculation unit 3 uses the data stored in the listed company data storage unit 1 to calculate unlevered beta β _U for each listed company in the same industry as the analysis target company, and β _The data is stored in the _U storage unit 5 (step S5). Here, unlevered beta β _U is calculated according to the equation (3-1). Therefore, the variance calculation unit 31 calculates the variance of the market return r _M from the market return r _M of each year, and calculates the covariance. The unit 33 calculates their covariance from the market return r _M for each year and the price / earnings ratio r _{i of the} listed company for each year. Then, levered beta β _L is calculated by the equation (2). And the Private data storage unit 1 reads the market value of the interest-bearing debt and shareholders' equity effective tax rate and the listed company, Reading from beta _D of each listed company from beta _D storage unit 11, equation (3-1) The unlevered beta β _U can be calculated according to In addition, certain industries Anrebado beta calculating section 3 calculates an average value of Anrebado beta beta _U of peer listed companies, stores the average value of beta _U to beta _U storage unit 5 (step S7).

Then, the debt beta calculation unit 9 refers to the table of borrowing interest rates for each rating stored in the listed company data storage unit 1 and uses the data stored in the analysis target company data storage unit 7 to analyze The debt β β _D of the target company is calculated and stored in the β _D storage unit 11 (step S9). The borrowing interest rate of the analysis target company is read from the analysis target company data storage unit 7 to check whether the rating is equivalent to BBB or higher. If it is greater than or equal to BBB, β _D = 0. On the other hand, when the rating is equivalent to BB or less, the risk-free rate r _F and the market return r _M are read from the listed company data storage unit 1 and calculated according to equation (2-2).

Further, the shareholder capital value calculation unit 13 includes the data stored in the analysis target company data storage unit 7, the analysis target company liability beta β _D stored in the β _D storage unit 11, and the analysis target company. Using the average value of unlevered beta β _U for listed companies in the industry and the data stored in the listed company data storage unit 1, the shareholder capital value E is calculated and stored in the shareholder capital value storage unit 15 ( Step S11). The shareholder capital value E is calculated according to the equation (6-2) described above. For this purpose, the variance calculation unit 131 reads the market return r _M for each year from the listed company data storage unit 1 and calculates its variance. To do. You may make it use the process result of the dispersion | distribution calculation part 31 of the specific industry unlevered beta calculation part 3. FIG. Also, the covariance calculation unit 133 reads each year's shareholder capital attribution business CF (ECF) stored in the analysis company data storage unit 7, and obtains the market return r _M for each year from the listed company data storage unit 1. Read out and calculate its covariance. Then, if the interest-bearing debt amount D is read from the analysis target company data storage unit 7 and the effective tax rate T is read from the listed company data storage unit 1, the data necessary for the equation (6-2) can be obtained. ) Calculate shareholders' equity value E according to the formula.

  Then, the output unit 17 reads the shareholder capital value E from the shareholder capital value storage unit 15 and outputs it to the output device (step S13).

  By carrying out the processing as described above, even if it is a non-listed company, it becomes possible to calculate the shareholder capital value E uniquely using the state of the analysis target company and market data.

For example, if company X has a borrowing interest rate of 1.9%, it is determined from FIG. 5 (d) that the rating is lower than BBB. Therefore, according to equation (2-2), r _M = 0.361 and Assuming that r _F = 0.0007, for Company X, β _D = 0.052.

In the home center business to which Company X belongs, unlevered beta β _U = 1.43 obtained from the actual value of the listed company, β _D = 0.052 obtained above, and interest-bearing debt amount D of Company X = 4,530 million yen and effective tax rate T = 0.4, and substituting into equation (3), Levered beta β _L of company X is expressed as follows.
β _L = 1.43 + (1.43-0.052) * 4530 / E * (1-0.4) = 1.43 + 3745.404 / E (7)

Furthermore, from the combination of the past company operating cash flow (ECF) and market return (r _M ) of Company X, the covariance Covar (ECF, r _M ) between them, the market return variance Var (r _M ) And substituting these into equation (6) yields levered beta β _L.

_Assuming that Company X's past operating cash flow ECF attributable to shareholders' equity is as shown in FIG. 6 (b) and market return r _M is as shown in FIG. 5 (c), Covar (ECF, r _M ) = − 54.499 and Var (r _M ) = 0.719 are calculated. Therefore, the following relationship is calculated from the equation (6).
β _L = −54.499 / 0.0719 / E = −757.528 / E (8)

Solving for E as equation (7) = (8) results in E = −3149 and β _L = 0.2406.

The calculation process of such a case is graphed as shown in FIG. In Fig. 8, the horizontal axis is shareholders' equity value E, and the vertical axis is levered beta β _L. Expression (3), which expresses the relationship between the two based on market data, is a convex curve, and the cash Expression (6) expressed from the flow record is a downwardly convex curve. Depending on the value of E, (6) or a beta _L> (3) expression by beta _L by formula, but or a beta _L by beta _L <(3) below according to the expression (6), increase or decrease the E By doing so, it is also possible to find an intersection where both match.

  As described above, according to the present invention, the business value is based on the past actual value of the cash flow of the business, market data (price earnings rate, market return, risk free rate, etc. of listed companies in the same industry). Can be objectively estimated. And unlike conventional technology, it is not necessary to estimate the future corporate cash flow, or to predict the future cash flow generated from the business, or to create the future cash flow every year with certain assumptions. . Therefore, it is possible not only to objectively estimate business value by removing arbitraryness such as predictions and assumptions about the future, but also to business with irregular and unstable cash flow, which is often seen in actual business. The business value can be estimated easily.

  Although the embodiment of the present invention has been described above, the present invention is not limited to this. For example, the functional block diagram shown in FIG. 4 is an example, and does not necessarily correspond to an actual program module. The shareholder capital value calculation apparatus may be implemented by a single computer or may be systemized in a client / server format.

  In addition, for data that is generally distributed, such as market data, for example, a configuration in which data held in another computer is acquired via a network may be adopted.

  Note that the shareholder value calculation apparatus is a computer apparatus. As shown in FIG. 9, the shareholder value calculation apparatus includes a memory 2501 (storage section), a CPU 2503 (processing section), a hard disk drive (HDD) 2505, and a display apparatus 2509. A display control unit 2507 to be connected, a drive device 2513 for the removable disk 2511, an input device 2515, and a communication control unit 2517 for connecting to a network are connected by a bus 2519. Application programs including an operating system (OS) and a Web browser are stored in the HDD 2505, and are read from the HDD 2505 to the memory 2501 when executed by the CPU 2503. If necessary, the CPU 2503 controls the display control unit 2507, the communication control unit 2517, and the drive device 2513 to perform necessary operations. Further, data in the middle of processing is stored in the memory 2501 and stored in the HDD 2505 if necessary. Such a computer realizes various functions as described above by organically cooperating hardware such as the CPU 2503 and the memory 2501 described above with the OS and necessary application programs. The computer apparatus may be configured by a plurality of computers.

It is a figure showing the concept of DCF method. It is a figure which shows an example of the cash flow which assumed regular fluctuation | variation. It is a figure which shows an example of the cash flow accompanied by irregular fluctuation | variation. It is a functional block diagram concerning an embodiment of the invention. (A) thru | or (d) is a figure which shows an example of the data stored in a listed company data storage part. (A) And (b) is a figure which shows an example of the data stored in an analysis object company data storage part. It is a figure which shows the processing flow in embodiment of this invention. It is a figure which shows an example of a calculation process. It is a functional block diagram of a computer.

Explanation of symbols

1 Listed company data storage unit 3 Specific industry unlevered beta calculation unit 5 β _U storage unit 7 Analysis target company data storage unit 9 Liability beta calculation unit 11 β _D storage unit 13 Shareholders' equity value calculation unit 15 Shareholders capital value storage unit 17 Output Part

Claims (5)

A first data storage unit that has a processing unit and stores a price / earnings ratio and an interest-bearing debt amount D1 of each listed company in the same industry as the unlisted company to be analyzed, a share capital value E, and a market return r _M ; A method for calculating shareholder capital value executed by a computer accessible to a second data storage unit for storing an interest-bearing debt amount of an unlisted company to be analyzed and an operating cash flow ECP attributable to shareholders' equity, and a storage device,
A first debt beta calculation step of identifying the debt beta β _D1 of each listed company in the same industry as the unlisted company to be analyzed by the processing unit, and storing it in the storage device;
The processing unit reads the price / earnings ratio and the market return r _M of each listed company in the same industry as the unlisted company to be analyzed from the first data storage unit, and each of the unlisted company to be analyzed and the same industry By dividing the covariance between the price / earnings ratio of a listed company and the market return r _M by the variance of the market return, the levered beta β _L of each listed company in the same industry as the unlisted company to be analyzed is obtained. Calculating and storing in the storage device;
Levered beta β _L of each listed company in the same industry as the analysis-target unlisted company stored in the storage device, and the analysis company stored in the storage device by the processing unit. Using the company's debt beta β _L1 , the interest-bearing debt amount D1 of each listed company in the same industry of the unlisted company to be analyzed and the market value E of equity and the effective tax rate T stored in the first data storage unit , {Β _L + β _D1 * D1 / E * (1-T)} / {1 + D / E * (1-T)} is used to calculate unlevered beta β _U for each listed company in the same industry of the unlisted company subject to analysis Calculating and storing in the storage device;
Using the unlevered beta β _U for each listed company in the same industry of the analysis-unlisted company stored in the storage device by the processing unit, the average for the same industry of the analysis-unlisted company Calculating unlevered beta β _Ua and storing it in the storage device;
A second debt beta calculating step of identifying the debt beta β _D2 of the unlisted company to be analyzed by the processing unit and storing it in the storage device;
By the processing unit, the average unlevered beta β _Ua stored in the storage device and the debt β β _{D2 of the} unlisted company to be analyzed, and the unlisted analysis target stored in the second data storage unit By using the interest-bearing debt amount D2 of the company and the operating cash flow ECP attributed to shareholders' equity, the effective tax rate T, and the market return r _M stored in the first data storage unit, (β _D2 / β _Ua -1) * D2 * (1-T) + Covar (ECF, r _M ) / Var (r _M ) / β _Ua (where Covar represents covariance and Var represents variance). Calculating shareholder capital value and storing it in said storage device;
Shareholders' equity value calculation method including The first data storage unit further stores rating data of each listed company in the same industry of the unlisted company to be analyzed and a borrowing interest rate and a risk-free rate;
The first debt beta calculating step includes:
Determining whether the rating of each listed company of the same industry of the unlisted company to be analyzed stored in the first data storage unit is equal to or higher than a predetermined level;
For a listed company in the same industry of the unlisted company subject to analysis whose rating is equal to or higher than the predetermined level, the debt beta β _D1 is set to 0;
For listed companies in the same industry of the unlisted company subject to analysis whose rating is less than the predetermined level, the difference between the borrowed interest rate of the listed company and the risk-free rate, the market return and the risk Calculating the debt beta β _D1 by the ratio to the difference from the free rate;
The shareholder value calculation method according to claim 1 including: The first data storage unit further stores data relating to a correspondence relationship between the rating and the borrowing interest rate and a risk-free rate;
The second data storage unit further stores a borrowing interest rate of the unlisted company to be analyzed;
The second debt beta calculating step includes:
Judgment whether the borrowing interest rate of the unlisted company subject to analysis is a borrowing interest rate less than a predetermined rating based on data relating to the correspondence relationship between the rating and the borrowing interest rate stored in the first data storage unit And steps to
When the borrowing interest rate of the unlisted company to be analyzed is a borrowing interest rate less than the predetermined rating, the difference between the borrowing interest rate of the unlisted company to be analyzed and the risk-free rate, and the market return Calculating the debt beta β _D2 by the ratio of the difference between the risk free rate and the risk free rate;
When the borrowing interest rate of the unlisted company to be analyzed is a borrowing interest rate equal to or higher than the predetermined rating, the debt beta β _D2 is set to 0;
The shareholder value calculation method according to claim 1 including:   A program for causing a computer to execute the shareholder value calculation method according to any one of claims 1 to 3. A first data storage unit for storing a price / earnings ratio and interest-bearing debt amount D1 of each listed company in the same industry as the unlisted company to be analyzed, a market value E and a market return r _M ;
A second data storage unit for storing an interest-bearing debt amount of the unlisted company to be analyzed and an operating cash flow ECP attributable to shareholders'equity;
A first liability beta calculating means for identifying a debt beta β _D1 of each listed company in the same industry as the unlisted company to be analyzed, and storing it in a storage device;
The price / earnings ratio of each listed company in the same industry as the analysis-target unlisted company and the market return r _M are read from the first data storage unit, and the price / earnings of each listed company in the same industry as the analysis-unlisted company By dividing the covariance between the rate and the market return r _M by the variance of the market return, the levered beta β _L of the listed unlisted company and each listed company in the same industry is calculated, and the memory Means for storing in the device;
Levered beta β _L of each listed company in the same industry as the unlisted company to be analyzed stored in the storage device, and debt beta β of a company in the same industry as the analysis company stored in the storage device {Β _L + β using _L1 , the interest-bearing debt amount D1 of each listed company of the same industry of the unlisted company to be analyzed and the market value E of equity and the effective tax rate T stored in the first data storage unit _D1 * D1 / E * (1-T)} / {1 + D / E * (1-T)} is used to calculate unlevered beta β _U for each listed company of the same industry of the unlisted company to be analyzed, and the memory Means for storing in the device;
Using the unlevered beta β _U for each listed company in the same industry of the unlisted company to be analyzed stored in the storage device, the average unlevered beta β _Ua for the same industry of the unlisted company to be analyzed Means for calculating and storing in the storage device;
A second debt beta calculating means for identifying the debt beta β _D2 of the unlisted company to be analyzed and storing it in the storage device;
The average unlevered beta β _Ua stored in the storage device and the debt β β _{D2 of the} unlisted company to be analyzed, and the interest-bearing debt amount of the unlisted company to be stored stored in the second data storage unit (Β _D2 / β _Ua −1) * D2 using D2 and operating cash flow ECP attributed to shareholders' equity, the effective tax rate T, and the market return r _M stored in the first data storage unit * (1-T) + Covar (ECF, r M) / Var (r M) / β Ua ( where COVAR represents covariance, Var represents variance) calculated equity value of the analyte Private by And means for storing in the storage device;
Shareholder capital value calculation device.

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