SAS经典程序.docx

Tobins Q, Altman Z-Score, and Company’s AgeTobins Q is defined as the ratio between the market value of the firm (MV) over the replacement cost of its assets (RC). Tobin’s Q reflects how much the market values the company as a whole, including valuable unmeasured assets, relative to its existing exchangeable assets.Tobins Q = MV / RC,Where MV = CS + PS + ST + LT, and RC = TA + (RNP - HNP ) + (RINV - HINV)MV represents the market value of all the claims in the firm (i.e. stocks and debt). The market value of Common Stocks (CS) is simply the total shares outstanding multiplied by price. If preferred stock is not public, then the market value of Preferred Stocks (PS) is approximated using the stand alone book value of preferred stocks, or the book value adjusted using the prevailing yield of SPs preferred stock index. Short Term Debt Book Value is used as proxy of short term debt market value (ST). For Long Term Debt (LT), the market value is estimated depending on the maturity distribution of the bonds, their coupon rates and the current yield-to-maturity. Such data is available in Capital IQ. However, if Compustat data is used, then simple estimations of Tobins Q use just the book value of long term debt. See Lindenberg and Ross (1981) for more details.As for the replacement cost of firms assets, one main difficulty is that there are no active markets for old capital goods. Total Assets (TA) are used as reported. The replacement of Net Plant and Equipment (RNP) is measured at replacement cost. RNP is calculated recursively, taking into account a depreciation rate and an initial stock of Plant and Equipment (at book value). Sometimes, in more detailed estimations, a technical progress rate is assumed. HNP represents the historical or book value of Net Plant and Equipment. For inventories, Inventories at Replacement Value (RINV) are estimated depending on the method for inventory accounting LIFO (Last in, First out), FIFO (First in, First out), Average Cost Method or R