参考文献 McKinsey & Company,Valuation 4th ed., John Wiley & Sons Inc.
"Do Fundamentals Really Drive the Stock Market?" P.69-P.98
この章では前章で明らかにされた「キャッシュフロー、ＲOIC（投下資本利益率）、成長性といったEconomic Fundamentalsが企業価値を創造する」という命題について、過去の株式市場における株価の推移等、具体的データを用いながら、その妥当性を論証していきます。一方、会計情報については、結論として株価にほとんど影響しないと論破しています。また、企業価値を形成するFundamentalsから一時的には株価は逸脱することはあるものの、長期的にはFundamentalsを基礎とした株価が形成されると指摘しています。ここでも、「市場は全体的・長期的には有効に機能している。」という主張が貫かれています。 （今回の４回目までがこの本の導入部分です。これ以後は、ややTechnical内容になっています。）
This chapter supports the assertion that economic fundamentals, such as ROIC(return on invested capital), growth and FCF (free cash flow), are the drivers of value creation. Lots of empirical data are presented to verify the assertion. Higher growth rate leads to higher value as far as ROIC is over the cost of capital or WACC (weighted average cost of capital). Wow, please don't mind any jargon!
In addition, this chapter suggests that there is a strong relationship between TSR (total return to shareholders) and changes in performance expectations. The market really takes a long-time view, and poor short-term earnings will not effect value creation. In other words, share prices have reflected economic fundamentals very well over the long period of time.
And then, here is a question. Do accounting treatments or changes in accounting policies influence the valuation? Well, according to this book, the unequivocal answer is "NO". For instance, accounting treatment of goodwill or stock options doesn't have an effect on share prices. Moreover, the change in accounting treatment, from FIFO to LIFO, has no impact on share prices. Why? Because, these items have no influence on cash flows. However, a tax effect can fluctuate share prices since it changes cash flows.
I think accounting and finance have a lot in common, and accounting knowledge is useful to understand financial concepts. But, financial experts seem to be rather hostile to accounting issues. It's funny, eh?
Anyway, market efficiency is the most critical hypothesis in this book. If investors have sufficient information, any accounting policies or treatments have no impact on share prices.
Actually, another theory does exist in finance field: behavioral finance theory. This theory insists that market can fail to reflect economic fundamentals due to the limitation of market efficiency or unreasonable behaviors of investors.
This chapter argues against this theory, demonstrating that these deviations have been short-lived.
Again, here is a basic assumption: Share prices are determined by economic fundamentals, such as long-term cash flows. Therefore, this assumption let us focus on the essential valuation technique: DCF(Discount Cash Flow) method.