DuPont Analysis And Asset Return Kate Prediction

For a long time,researchers in the field of Accounting have been working tirelessly to find the link between accounting information and the intrinsic value of the enterprise.Ohlson(1995)proposed the Residual income model,theoretically elaborated the connection between the accounting information and the enterprise value.In the meantime,a large number of empirical research results at home and abroad,also showed that there is indeed a certain link between the accounting information,enterprise value and security market price.DuPont Analysis System is a widely used as a financial statement analysis tool,it provided a complete theoretical system for predicting future asset return by decomposing the return on equity into such components as profit margin,asset turnover rate and equity multiplier,which can be used for the residual income model and other valuation models to accurately estimate the enterprise value,which provides the important reference for the rational decision-making of the stakeholders.The improved DuPont Analysis system complements and perfects the traditional system from all aspects.Based on the basic model of Soliman(2008),combined with the characteristics of Chinese domestic stock market and enterprise management,this study constructed a test model,compared the traditional with the improved DuPont Analysis system,and explored the DuPont analysis system which is more suitable for Chinese listed enterprises and has better prediction effect on the future returns on asset.This study took 3,516 non-financial companies in A-share listing as a sample database,took 2008 to 2016 as the time window,established the related regression model to carry on the empirical research,used the econometrics theory knowledge,along with the excel and Stata as the statistic software tools to carry on the data collation and the regression analysis.Firstly,this paper analyzed the financial indexes of enterprise samples during the observation period,and found that the financial indexes of the listed enterprises in China are at a large scale of different,among which the indexes of asset scale and net operating asset turnover are the most obvious.Then,through the corresponding regression model,the paper examined the core index(Asset return rate)of the two DuPont analysis systems,compared the information content of the component index(Profit margin,Asset turnover rate and Equity multiplier),and analyzed the prediction effect and domestic applicability of the two DuPont analysis systems.At last,took the stock market environment,scale and net operating asset turnover level as the control factors,the validity of the conclusion is tested in group,and the results are as follows:In general,the improvement of DuPont analysis method,which was compared with the traditional DuPont analysis method,has better forecast effect on predicting the future returns of asset;Considering market environment factor,enterprise scale factor,management performance(Operating net asset turnover)factors,Improve the DuPont analysis method still has a better predictive effect;About the component indexes of the two models,Asser turnover and the Operating profit rate contribute more increment information than the Profit margin&Equity multiplier and Net operating asset turnover;Improved DuPont Analysis method is more suitable for those enterprises with smaller net operating asset scale,lower net operating asset turnover rate,and higher net operating asset turnover growth rate.