Прогнозирование рентабельности российских компаний с использованием отраслевой модели Дюпон

Irina V. Berezinets; Olga M. Udovichenko; Alexander A. Devkin

doi:10.21638/spbu18.2016.101

Authors

Irina V. Berezinets Graduate School of Management, Saint Petersburg State University, Russia https://orcid.org/0000-0001-6157-0283
Olga M. Udovichenko Graduate School of Management, Saint Petersburg State University, Russia
Alexander A. Devkin Saint Petersburg State University, Russia

DOI:

https://doi.org/10.21638/spbu18.2016.101

Abstract

The article is devoted to the prediction of return on assets of Russian companies. In particular, we analyse whether the use of industry-adjusted DuPont model will improve the quality of forecasting. With a view to discriminate between financial and operational performance the forecasting was carried out for the return on net operating assets. The methodology of the research is based on econometric modelling with the decomposition of profitability with industry-adjusted DuPont model. The industry-adjusted model, in addition to the traditional decomposition of return on assets of the company into profit margin (PM) and asset turnover (ATO), allows for the decomposition into industry-specific component and pure company-specific component. The study was conducted on the sample of 518 Russian companies from eight industries. The total number of observations was 5019 firm-years. We identified the main patterns in the behaviour of industry-adjusted PM and ATO. These results could be used in the assessment of the investment perspectives of the companies, as well as in value-based management techniques.

Keywords:

return on assets forecasting, DuPont model, financial analysis

Downloads

Download data is not yet available.

References

ЛИТЕРАТУРА НА РУССКОМ ЯЗЫКЕ

Брейли Р., Майерс С. 2008. Принципы корпоративных финансов. Пер с англ. М.: Олимп-Бизнес.

Волков Д. Л. 2008. Теория ценностно-ориентированного менеджмента: финансовый и бухгалтерский аспекты. Изд-во «Высшая школа менеджмента» С.-Петербургского ун-та.

Волков Д. Л., Никулин Е. Д. 2009. Операционная эффективность и фундаментальная ценность собственного капитала организации. Вестник С.-Петербургского ун-та. Серия Менеджмент (1): 63–92.

REFERENCES IN LATIN ALPHABET

Aksu G., Eckstein C ., Greene W. H., Ronen J. 1997. Time-series properties, adjustment process, and forecasting of financial ratios. Journal of Accounting, Auditing & Finance 11 (1): 1–44.

Fairfield P. M., Yohn T. L. 2001. Using asset turnover and profit margin to forecast changes in profitability. Review of Accounting Studies 6 (4): 371–385.

Fairfield P. M., Ramnath S., Yohn T. L. 2009. Do industry level analyses improve forecasts of financial performance? Journal of Accounting Research 47 (1): 147–179.

Habib A. 2006. Disaggregated earnings and prediction of future profitability: Evidence from industrial groups in Japan. Review of Accounting and Finance 5 (4): 355–369.

Herrmann D., Inoue T., Thomas W. B . 2000. The persistence and forecast accuracy of earnings components in the USA and Japan. Journal of International Financial Management & Accounting 11 (1): 48–70.

Hopwood W. S., Newbold P., Silhan P. A. 1982. The potential for gains in predictive ability through disaggregation: Segmented annual earnings. Journal of Accounting Research 20 (2): 724–732.

Kinney W. R. 1971. Predicting earnings: Entity versus sub entity data. Journal of Accounting Research 9 (1): 127–136.

Lipe R. C . 1986. The information contained in the component of earnings. Journal of Accounting Research (Supplement): 37–64.

Nissim D., Penman S. H. 2001. Ratio Analysisand Equity valuation: From research to practice. Review of Accounting Studies 6 (1): 109–154.

Ohlson J. 1995. Earnings, book values and dividends in security valuation. Contemporary Accounting Research 11 (2): 661–687.

Penman S. H. 2007. Financial Statement Analysis and Security Valuation. 3rd ed. McGrawHill.

Penman S. H., Zhang X. 2002. Modelling Sustainable Earnings and P/E Ratios Using Financial Statement Information. Columbia University Working Paper.

Romer P. 1986. Increasing returns and longrun growth. Journal of Political Economy 94 (5): 1002–1037.

Selling T. I., Stickney C . P. 1989. The effects of business environments and strategy on a firm’s rate of return on assets. Financial Analysts Journal 45 (1): 43–52.

Soliman M. T. 2003. Using Industry-Adjusted DuPont Analysis to Predict Future Profitability. Working paper, Stanford University, CA.

Soliman M. T. 2008. The use of DuPont analysis by market participants. The Accounting Review 83 (3): 823–853.

Translation of references in Russian into English

Brealey R. A., Myers S. C . 2008. Principles of Corporate Finance. Transl. from English. M.: Olymp-Biznes.

Volkov D. L. 2008. Theory of value-based management: Financial and accounting aspects. Izdatel’stvo «Vysshaya shkola menedzhmenta» SPbGU.

Volkov D. L., Nikulin E . D. 2009. Operational efficiency and the fundamental value of the company’s own capital. Vestnik S.-Peterburgskogo un-ta. Seriya Menedzhment (1): 63–92.