JP6956292B1 - Systems, methods, and programs for quantifying non-financial information and assessing corporate value - Google Patents

Abstract

PROBLEM TO BE SOLVED: To objectively and appropriately evaluate corporate value by quantifying non-financial information. SOLUTION: A setting unit 21 of an evaluation system 10 sets an individual company for calculating a non-financial risk amount, an observation period, an output target period and a calculation method, an explanatory variable for each regression analysis, and the like according to a user's instruction. .. The data acquisition unit 22 acquires data necessary for multiple regression analysis of the number of thumbs, data necessary for simple regression analysis of individual companies, and the like from the financial information terminal 20. The multiple regression analysis unit 23 and the simple regression analysis unit 24 perform the multiple regression analysis and the simple regression analysis, respectively, using the data acquired by the data acquisition unit 22. The non-financial risk amount calculation unit 25 calculates the non-financial risk amount and the like by using the analysis result of each regression analysis. The output unit 26 displays the calculated non-financial risk amount and the like on the display device according to the user's instruction. [Selection diagram] Fig. 2

Description

The present invention relates to a system, method, and program for quantifying non-financial information and evaluating corporate value.

In recent years, there has been a movement to evaluate non-financial information and disclose ESG ratings (Rating) in order to expand ESG investment (see, for example, Non-Patent Document 1). Here, ESG investment refers to investee companies, etc. after analyzing and evaluating the future potential and sustainability of companies from the three perspectives of environment, society, and corporate governance. It is a method of sorting.

MSCI, ESG score posting site, Internet <https://www.msci.com/our-solutions/esg-investing/esg-ratings/esg-ratings-corporate-search-tool>

However, although ESG ratings are useful as a method of scoring non-financial information and evaluating companies based on ESG compliance status, it is objective to see how the rating affects the economic value of companies. Moreover, there was a problem that it was difficult to grasp it properly.

The present invention has been made in view of the circumstances described above, and one of the objects of the present invention is to provide a technique capable of objectively and appropriately evaluating corporate value by quantifying non-financial information. do.

The system according to the embodiment of the present invention is a corporate value evaluation system including a control unit and a storage unit, and the control unit can be used as a stock index of a target country by executing a program stored in the storage unit. Perform multiple regression analysis of the number of thumbs using the step of calculating the price-to-book value ratio (PBR) of the number of thumbs by dividing a certain number of thumbs by the net assets of the number of thumbs and the multiple regression equation shown in equation (1). Steps and
Y0 = α * X01 + β * X02 + γ * X03 + δ ... (1)
Y0: Number of thumbs X01: Stock index X02: Exchange rate X03: Net assets of the number of thumbs The corrected PBR of the number of thumbs is calculated by dividing the predicted value of the number of thumbs obtained by multiple regression analysis of the parent index by the net assets of the number of thumbs. A step to calculate, a step to perform the first simple regression analysis of an individual company using the simple regression equation shown in equation (2), and a step to perform the first simple regression analysis of an individual company.
Y1 = α1 * X11 + β1 ... (2)
Y1: Net assets of individual companies X11: Net assets of the number of thumbs A step of performing a second simple regression analysis of individual companies using the simple regression equation shown in equation (3).
Y2 = α2 * X21 + β2 ... (3)
Y2: PBR of individual companies
X21: PBR of the number of thumbs
The step of calculating the first adjusted market value of an individual company by multiplying the predicted value of the net assets of the individual company obtained by the first simple regression analysis of the individual company by the corrected PBR of the number of thumbs, and the correction of the number of thumbs. By applying the PBR to the simple regression equation of Eq. (3), the step of calculating the adjusted PBR of the individual company and the predicted value of the net assets of the individual company were subtracted from the adjusted PBR of the individual company by the corrected PBR of the number of thumbs. By multiplying things, the step of calculating the second adjusted market value of the individual company, the market value of the individual company, and the non-financial risk of the individual company based on the first adjusted market value and the second adjusted market value. The gist is that it is configured to perform steps to generate relevant non-financial risk-related information.

Here, in the above configuration, the step of generating non-financial risk-related information is to subtract the first adjusted market value and the second adjusted market value from the market capitalization of the individual company, thereby causing the non-financial information of the individual company. It may include a step of calculating the amount of risk of. In addition, the step of generating non-financial risk-related information is the step of calculating the risk ratio of non-financial information of individual companies by dividing the amount of risk of non-financial information of individual companies by the market value of individual companies. It may be included. Furthermore, in the above configuration, the step of displaying the non-financial risk-related information of the individual company in a predetermined period as a graph on the display device may be further executed.

According to the embodiment of the present invention, it is possible to objectively and appropriately evaluate the corporate value by quantifying the non-financial information.

It is a block diagram which shows schematic the structure of the network including the evaluation system which concerns on one Embodiment of this invention. It is a functional block diagram of an evaluation system. It is a figure which illustrated the setting screen displayed on the display device. It is explanatory drawing of the multiple regression analysis of a parent index. It is explanatory drawing of the simple regression analysis of company A. It is explanatory drawing when calculating the intrinsic market capitalization of company A. It is explanatory drawing when calculating the non-financial risk amount and non-financial risk ratio of company A. It is a figure which illustrated the output screen displayed on the display device. It is a figure which illustrated the graph displayed on the display device.

Hereinafter, embodiments of the present invention will be described with reference to the drawings.

A. This embodiment (overview)
Conventionally, as a response to risks of non-financial information (hereinafter referred to as non-financial risks), a method of extracting those that can be quantitatively grasped from individual risks, calculating the amount of risk, and evaluating the risk has been widely known. However, the method of adopting the approach of grasping the amount of risk as a whole of non-financial risk is not yet known.

The method of this disclosure is characterized in that by adopting such an advanced approach, information related to non-financial risk (non-financial risk-related information) such as the amount of risk of non-financial risk and the risk ratio can be grasped. be.

Although details will be described later, the method of the present disclosure generates non-financial risk-related information of individual companies in consideration of performance in comparison with the number of thumbs. The "number of thumbs" refers to a representative stock index of the stock market, such as TOPIX.

(composition)
FIG. 1 is a configuration diagram schematically showing a configuration of a network including an evaluation system 10 for evaluating a corporate value according to an embodiment of the present invention. As shown in the figure, the evaluation system 10 is communicably connected to the financial information terminal 20 via a communication network NW such as the Internet. The financial information terminal 20 is configured by, for example, a server computer, and provides data on various financial information (for example, the number of thumbs, a stock index, an exchange rate, financial information of an individual company, etc.) to the evaluation system 10. The evaluation system 10 acquires necessary data from the financial information terminal 20 and generates non-financial risk-related information.

The evaluation system 10 has a configuration as a general computer. Specifically, the evaluation system 10 exchanges information between a computer processor 11 configured as a CPU or GPU, a main memory 12 composed of a DRAM or the like and temporarily storing data or a program, and a user or the like. It is provided with an input / output interface 13 for performing the above, a communication interface 14 for controlling wired or wireless communication, and a storage 15 composed of a magnetic disk, a flash memory, or the like for storing data or programs. The computer processor 11 reads the program stored in the storage 15 or the like into the main memory 12 and executes the instructions included in the program.

The input / output interface 13 includes, for example, an input device such as a keyboard, a mouse, a touch panel, a microphone and a camera, a display device such as a display, and an audio output device such as a speaker. The communication I / F 14 is implemented as hardware such as a network adapter, various communication software, or a combination thereof. The storage 15 stores various data and various programs acquired from the financial information terminal 20.

Further, the evaluation system 10 realizes the functions of each part shown in FIG. 2 by executing the instructions included in the program stored in the storage 15 or the like by the computer processor 11.

FIG. 2 is a block diagram showing a functional configuration of the evaluation system 10.
The evaluation system 10 includes a setting unit 21, a data acquisition unit 22, a multiple regression analysis unit 23, a simple regression analysis unit 24, a non-financial risk amount calculation unit 25, an output unit 26, and the like.

The setting unit 21 sets an individual company for calculating the non-financial risk amount, an observation period, an output target period and a calculation method, an explanatory variable for each regression analysis, and the like according to a user's instruction (input operation) (see FIG. 3). ). In this embodiment, it is assumed that the following preconditions are set.

<Prerequisites>
-The issue of the individual company (individual issue) for which the amount of non-financial risk is calculated shall be company A.
-Both multiple regression analysis and simple regression analysis in the calculation process are date and time data, the observation period is 10 years (calendar base), the target period of output is 3 years, and the output calculation method is monthly base.
-For multiple regression analysis of the number of thumbs, the explained variable is the number of thumbs (closing price), and the explanatory variables are the stock price index, exchange rate, and net assets of the number of thumbs.
-Regarding the simple regression analysis of individual companies, regarding the first modified market value (net assets portion), the explained variable is the net assets of the individual companies, and the explanatory variables are the net assets of the number of thumbs.
-For the simple regression analysis of individual companies, the explained variable is the PBR of the individual company and the explanatory variable is the PBR of the number of thumbs for the second modified market price (PBR (Price Book-value Ratio) part).

The data acquisition unit 22 acquires data necessary for multiple regression analysis of the number of thumbs, data necessary for simple regression analysis of individual companies, and the like from the financial information terminal 20. In the present embodiment, in order to assume the case of calculating the non-financial risk amount of the company A as of the end of December 2019, the data acquisition unit 22 uses the following 10-year date and time data as the financial information terminal 20. Get from.
<Details of date and time data>
-Obtain the number of thumbs (closing price), the number of thumbs (net assets), stock index, and exchange rate for multiple regression analysis.
-Acquire individual companies (market capitalization), individual companies (net assets), and individual companies (stock prices) for simple regression analysis.

Any parent index, stock index, exchange rate or net assets can be adopted. As an example, "TOPIX" and "JPX400" are used as the number of thumbs, "MSCI World Index" and "FTSE All-World Index" are used as stock indexes, and "dollar-yen exchange rate" is used as the exchange rate. It can be used as net assets such as "total net assets" and "shareholders' equity", but it is not limited to these.

The multiple regression analysis unit 23 and the simple regression analysis unit 24 perform multiple regression analysis and simple regression analysis using the data acquired by the data acquisition unit 22, respectively, and obtain the analysis results from the non-financial risk amount calculation unit 25 and the non-financial risk amount calculation unit 25. Output to the output unit 26. The non-financial risk amount calculation unit 25 calculates the non-financial risk amount and the like by using the analysis result of each regression analysis. The output unit 26 displays the calculated non-financial risk amount and the like on the display device according to the user's instruction.

Hereinafter, when calculating the non-financial risk amount of company A as of December 30, 2019, regarding the details of the operations of the multiple regression analysis unit 23, the simple regression analysis unit 24, the non-financial risk amount calculation unit 25, and the output unit 26. Will be explained concretely assuming.

<Multiple regression analysis unit 23>
FIG. 4 is an explanatory diagram of multiple regression analysis of the number of thumbs.
The multiple regression analysis unit 23 first considers the number of thumbs (closing price) as the market capitalization and calculates the PBR of the number of thumbs.
Specifically, the multiple regression analysis unit 23 calculates the number of thumbs (PBR) by dividing the number of thumbs (closing price) by the number of thumbs (net assets). In the example shown in FIG. 4, the number of thumbs (PBR) = 1.15675 (= 1721.36 / 1488.1) (see F1 shown in FIG. 4). The parent index (PBR) is used when performing a simple regression analysis.

Next, the multiple regression analysis unit 23 performs a multiple regression analysis of the number of thumbs using the multiple regression equation shown in the equation (1) of FIG. 4, and obtains a predicted value of the number of thumbs as of December 30, 2019. calculate. In the example shown in FIG. 4, the number of thumbs (predicted value) = 1771.185 (= 0.4774939 * 2353.25 + 10.73352 * 108.88 + 0.25236 * 1488.1-890.669).

Further, the multiple regression analysis unit 23 calculates the number of thumbs (corrected PBR) by dividing the number of thumbs (predicted value) by the number of thumbs (net assets). Here, since the number of thumbs (predicted value) is in a state where the amount of non-financial risk related to the number of thumbs is zero, the number of thumbs (PBR) is corrected on the assumption that the number of thumbs (net assets) is unchanged. In the example shown in FIG. 4, the number of thumbs (corrected PBR) = 1.19023 (= 1771.185 / 1488.1) (see F2 shown in FIG. 4). The multiple regression analysis unit 23 sends the result of the multiple regression analysis to the simple regression analysis unit 24, the non-financial risk amount calculation unit 25, and the output unit 26.

<Single regression analysis unit 24>
FIG. 5 is an explanatory diagram of a simple regression analysis of company A (individual stock).
The simple regression analysis unit 24 first calculates the PBR of the company A by dividing the market capitalization of the company A by the net assets of the company A. In the example shown in FIG. 5, the company A (PBR) = 0.78983 (= 2398903/307254) (see F3 shown in FIG. 5). The company A (PBR) will be used when carrying out the subsequent simple regression analysis.

Next, the simple regression analysis unit 24 performs the first simple regression analysis of company A using the simple regression equation (net assets side) shown in the equation (2) of FIG. 5, and as of December 30, 2019. Calculate the predicted value of the net assets of company A. In the example shown in FIG. 5, the company A (net assets (predicted value)) = 1771.185 (= 0.474939 * 2353.25 + 10.73352 * 108.88 + 0.25236 * 1488.1-890.669).

Subsequently, the simple regression analysis unit 24 performs the second simple regression analysis of the company A using the simple regression equation (PBR side) shown in the equation (3) of FIG. 5, and as of December 30, 2019. Calculate the predicted value of PBR of company A. In the example shown in FIG. 5, the company A (PBR (predicted value)) = 0.8799 (= 0.973356 * 1.15675-0.24602). The simple regression analysis unit 24 sends the result of the simple regression analysis to the non-financial risk amount calculation unit 25 and the output unit 26.

<Non-financial risk amount calculation unit 25>
FIG. 6 is an explanatory diagram when calculating the intrinsic market capitalization of the company A.
As shown in FIG. 6, the intrinsic market capitalization of company A is composed of a first adjusted market capitalization (intrinsic value of the net assets portion) and a second adjusted market capitalization (intrinsic value of the PBR difference portion).

(Calculation of the first modified market value)
First, the non-financial risk amount calculation unit 25 multiplies the company A (net assets (predicted value)) obtained by the simple regression analysis unit 24 by the number of thumbs (corrected PBR) obtained by the multiple regression analysis unit 23. The first modified market value of A is calculated (see equation (4) shown in FIG. 6). In the example shown in FIG. 6, the first modified market value of the company A = 36645553 (= 3078861 * 1.19023).

(Calculation of the second modified market value)
Next, the non-financial risk amount calculation unit 25 applies (substitutes) the number of thumbs (corrected PBR) to the simple regression equation (PBR side) shown in the equation (3) of FIG. (See N1 shown in FIG. 6). In this way, the adjusted PBR of the company A (hereinafter referred to as the company A (adjusted PBR)) is obtained for the following reasons. That is, since the company A (PBR) obtained by the simple regression analysis unit 24 is the PBR in the actual value of the number of thumbs, consider how the PBR of the company A changes when the number of thumbs is the predicted value. There is a need to. Here, since the number of thumbs (predicted value) = 1771.185, the non-financial risk amount calculation unit 25 obtains the PBR of the company A when the number of thumbs is 1771.185, that is, the company A (adjusted PBR). .. In the example shown in FIG. 6, the company A (adjustment PBR) = 0.9125 (= 0.973356 * (1.19023-0.24602)).

The non-financial risk amount calculation unit 25 is obtained by subtracting the number of thumbs (corrected PBR) from the company A (adjusted PBR) obtained above to the company A (net assets (forecast value)) obtained by the simple regression analysis unit (=). By multiplying the PBR difference), the second modified market value of the company A is calculated (see the formula (5) shown in FIG. 6). In the example shown in FIG. 6, the second modified market value of the company A is ▲ 855092 (= 3078861 * (0.9125-119023)) (▲ means minus).

(Generation of non-financial risk related information)
FIG. 7 is an explanatory diagram when generating non-financial risk-related information of company A (here, calculating the non-financial risk amount and the non-financial risk ratio).
Since the market capitalization of company A can be said to be the sum of the intrinsic market capitalization of company A and the amount of non-financial risk (see equation (6) shown in FIG. 7), first, the non-financial risk amount calculation unit 25 By adding the second modified market capitalization to the first modified market capitalization, the intrinsic market capitalization of company A is obtained (see equation (7) shown in FIG. 7). Then, the non-financial risk amount calculation unit 25 subtracts the intrinsic market capitalization (= first modified market capitalization + second modified market capitalization) from the market capitalization of company A as of December 30, 2019. Calculate the amount of non-financial risk of company A. Further, the non-financial risk amount calculation unit 25 calculates the non-financial risk ratio of the company A by dividing the non-financial risk amount of the company A by the market value of the company A.

In the example shown in FIG. 7, since the intrinsic market capitalization of company A is 2809461 (= 3664553-855092) and the market capitalization is 2398903, the non-financial risk amount is ▲ 410558 (= 2398903-2809461), which is not the case. The financial risk ratio = ▲ 17.11% (= (▲ 410558/2398903) * 100).

The non-financial risk amount calculation unit 25 may calculate the non-financial risk amount and the non-financial risk ratio of the number of thumbs. Specifically, the non-financial risk amount calculation unit 25 calculates the non-financial risk amount of the number of thumbs by subtracting the predicted value of the number of thumbs from the number of thumbs. Further, the non-financial risk amount calculation unit 25 calculates the non-financial risk ratio of the number of thumbs by dividing the non-financial risk amount of the number of thumbs by the number of thumbs.

Following the above example, the non-financial risk amount of the number of thumbs = ▲ 49.825 (= 1721.36-1771.185), and the non-financial risk ratio of the number of thumbs = ▲ 2.89% (= (▲ 49.825). /1721.36) * 100). The non-financial risk amount calculation unit 25 sends the calculated result to the output unit 26.

<Output unit 26>
FIG. 8 is a diagram illustrating an output screen P1 displayed on the display device.
On the output screen P1, the individual company (company A) for which the non-financial risk amount is calculated, the basic setting information I1 regarding the number of thumbs, etc., the result information I2 including the non-financial risk amount, and the user can operate. The regression analysis result button B1, the data verification button B2, and the graph creation button B3 are displayed.

Regression analysis result button B1 is a button for downloading (and / or displaying) the results of daily-based multiple regression analysis and simple regression analysis (explained variables, explanatory variables, etc.) in a tabular file during the observation period. be.
The data verification button B2 is a button for performing verification on each calculation result received by the output unit, verification from a statistical point of view, and the like.
The graph creation button B3 is a button for displaying the result information (non-financial risk-related information) I2 as a graph.

FIG. 9 is a diagram illustrating a graph displayed on the display device.
In the example shown in FIG. 9, a graph showing the transition of the non-financial risk ratio of the company A and the number of thumbs in the set output target period (here, 3 years) is displayed on the display device. By referring to this graph, the user can infer that there was an event that shakes the world, for example, because the non-financial risk ratio changed sharply at the beginning of 2019. By appropriately setting the display items of the graph, the user can not only change the non-financial risk ratio between the company A and the number of thumbs, but also, for example, change the first adjusted market value and the second adjusted market value in the company A. , Various non-financial risk-related information related to non-financial risk of company A, such as the transition of the non-financial risk ratio and the number of thumbs (stock price) of company A, can be displayed.

As described above, according to the present embodiment, since the amount of non-financial risk of individual companies is calculated in consideration of the performance in comparison with the number of thumbs, it is possible to compare in all business types and the corporate value is objective. It becomes possible to evaluate appropriately and appropriately.

B. Others In addition, in each of the above-described embodiments, the "part" does not simply mean a physical means, but also includes a case where the function of the "part" is realized by software. Further, even if the function of one "part" or device is realized by two or more physical means or devices, the function of two or more "parts" or devices is realized by one physical means or device. You may.

10 ... Evaluation system, 11 ... Computer processor, 12 ... Main memory, 13 ... Input / output interface, 14 ... Communication interface, 15 ... Storage, 20 ... Financial information terminal, 21 ... Setting unit, 22 ... Data acquisition unit, 23 ... Heavy Regression analysis unit, 24 ... simple regression analysis unit, 25 ... non-financial risk amount calculation unit, 26 ... output unit.

Claims (7)

It is a corporate value evaluation system including a control unit and a storage unit, and the control unit executes a program stored in the storage unit.
The step of calculating the price-to-book value ratio (PBR) of the number of thumbs by dividing the number of thumbs, which is a typical stock index of the stock market, by the net assets of the number of thumbs.
The step of performing multiple regression analysis of the number of thumbs using the multiple regression equation shown in equation (1),
Y0 = α * X01 + β * X02 + γ * X03 + δ ... (1)
Y0: Number of thumbs X01: Stock price index X02: Exchange rate X03: Net assets of the number of thumbs The corrected PBR of the number of thumbs is calculated by dividing the predicted value of the number of thumbs obtained by the multiple regression analysis of the parent index by the net assets of the number of thumbs. Steps to calculate and
The step of performing the first simple regression analysis of an individual company using the simple regression equation shown in equation (2),
Y1 = α1 * X11 + β1 ... (2)
Y1: Net assets of individual companies X11: Net assets of the number of thumbs A step of performing a second simple regression analysis of individual companies using the simple regression equation shown in equation (3).
Y2 = α2 * X21 + β2 ... (3)
Y2: PBR of individual companies
X21: PBR of the number of thumbs
A step to calculate the first adjusted market value of an individual company by multiplying the predicted value of the net assets of the individual company obtained by the first simple regression analysis of the individual company by the corrected PBR of the number of thumbs.
The step of calculating the adjusted PBR of an individual company by applying the corrected PBR of the parent index to the simple regression equation of equation (3), and
The step of calculating the second adjusted market value of an individual company by multiplying the predicted value of the net assets of the individual company by the adjusted PBR of the individual company minus the corrected PBR of the number of thumbs.
A valuation configured to perform steps to generate non-financial risk-related information related to the non-financial risk of an individual company based on the market capitalization of the individual company and the first adjusted market value and the second adjusted market value. system. The step of generating non-financial risk-related information includes the step of calculating the amount of risk of non-financial information of an individual company by subtracting the first adjusted market value and the second adjusted market value from the market capitalization of the individual company. The evaluation system according to claim 1. The step of generating non-financial risk-related information further includes the step of calculating the risk ratio of non-financial information of individual companies by dividing the amount of risk of non-financial information of individual companies by the market value of individual companies. The evaluation system according to claim 2. The evaluation system according to any one of claims 1 to 3, further performing a step of displaying a graph of non-financial risk-related information of an individual company in a predetermined period on a display device. It is a corporate value evaluation system including a control unit and a storage unit, and the control unit executes a program stored in the storage unit.
A step of performing multiple regression analysis of the number of thumbs, which is a typical stock index of the stock market, using the multiple regression equation shown in equation (1).
Y0 = α * X01 + β * X02 + γ * X03 + δ ... (1)
Y0: Number of thumbs X01: Stock index X02: Exchange rate X03: Net assets of the number of thumbs Based on the results of multiple regression analysis, the step of calculating the price-to-book value ratio (PBR) of the number of thumbs corrected,
The step of performing the first simple regression analysis of an individual company using the simple regression equation shown in equation (2),
Y1 = α1 * X11 + β1 ... (2)
Y1: Net assets of individual companies X11: Net assets of the number of thumbs A step of performing a second simple regression analysis of individual companies using the simple regression equation shown in equation (3).
Y2 = α2 * X21 + β2 ... (3)
Y2: PBR of individual companies
X21: PBR of the number of thumbs
Based on the result of the first simple regression analysis of the individual company and the corrected PBR of the number of thumbs (corrected PBR of the number of thumbs), the step of calculating the first adjusted market value of the individual company, and
The step of calculating the adjusted PBR of an individual company by applying the corrected PBR of the parent index to the simple regression equation of equation (3), and
The step of calculating the second adjusted market value of the individual company based on the result of the second simple regression analysis of the individual company and the PBR difference obtained by subtracting the corrected PBR of the number of thumbs from the adjusted PBR of the individual company.
A valuation configured to perform steps to generate non-financial risk-related information related to the non-financial risk of an individual company based on the market capitalization of the individual company and the first adjusted market value and the second adjusted market value. system. A method for assessing corporate value executed by one or more computers.
The step of calculating the number of thumbs (PBR) by dividing the number of thumbs, which is a typical stock index of the stock market, by the net assets of the number of thumbs,
The step of performing multiple regression analysis of the number of thumbs using the multiple regression equation shown in equation (1),
Y0 = α * X01 + β * X02 + γ * X03 + δ ... (1)
Y0: Number of thumbs X01: Stock price index X02: Exchange rate X03: Net assets of the number of thumbs The corrected PBR of the number of thumbs is calculated by dividing the predicted value of the number of thumbs obtained by the multiple regression analysis of the parent index by the net assets of the number of thumbs. Steps to calculate and
The step of performing the first simple regression analysis of an individual company using the simple regression equation shown in equation (2),
Y1 = α1 * X11 + β1 ... (2)
Y1: Net assets of individual companies X11: Net assets of the number of thumbs A step of performing a second simple regression analysis of individual companies using the simple regression equation shown in equation (3).
Y2 = α2 * X21 + β2 ... (3)
Y2: PBR of individual companies
X21: PBR of the number of thumbs
A step to calculate the first adjusted market value of an individual company by multiplying the predicted value of the net assets of the individual company obtained by the first simple regression analysis of the individual company by the corrected PBR of the number of thumbs.
The step of calculating the adjusted PBR of an individual company by applying the corrected PBR of the parent index to the simple regression equation of equation (3), and
The step of calculating the second adjusted market value of an individual company by multiplying the predicted value of the net assets of the individual company by the adjusted PBR of the individual company minus the corrected PBR of the number of thumbs.
A method that includes a step of generating non-financial risk-related information relating to the non-financial risk of an individual company based on the market capitalization of the individual company and the first adjusted market value and the second adjusted market value. A program for assessing corporate value on one or more computers
The process of calculating the price-to-book value ratio (PBR) of the number of thumbs by dividing the number of thumbs, which is a typical stock index of the stock market, by the net assets of the number of thumbs.
The process of performing multiple regression analysis of the number of thumbs using the multiple regression equation shown in equation (1), and
Y0 = α * X01 + β * X02 + γ * X03 + δ ... (1)
Y0: Number of thumbs X01: Stock price index X02: Exchange rate X03: Net assets of the number of thumbs The corrected PBR of the number of thumbs is calculated by dividing the predicted value of the number of thumbs obtained by the multiple regression analysis of the parent index by the net assets of the number of thumbs. Processing to calculate and
The process of performing the first simple regression analysis of an individual company using the simple regression equation shown in equation (2),
Y1 = α1 * X11 + β1 ... (2)
Y1: Net assets of individual companies X11: Net assets of the number of thumbs A process of performing a second simple regression analysis of individual companies using the simple regression equation shown in equation (3).
Y2 = α2 * X21 + β2 ... (3)
Y2: PBR of individual companies
X21: PBR of the number of thumbs
The process of calculating the first adjusted market value of an individual company by multiplying the predicted value of the net assets of the individual company obtained by the first simple regression analysis of the individual company by the corrected PBR of the number of thumbs.
The process of calculating the adjusted PBR of an individual company by applying the corrected PBR of the parent index to the simple regression equation of equation (3), and
The process of calculating the second adjusted market value of an individual company by multiplying the predicted value of the net assets of the individual company by the adjusted PBR of the individual company minus the corrected PBR of the number of thumbs.
A program that executes a process to generate non-financial risk-related information related to the non-financial risk of an individual company based on the market capitalization of the individual company and the first adjusted market value and the second adjusted market value.

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