经济资本视角的EVA与银行市场价值的相关性

The Correlation between the EVA from the Perspective of Economic Capital and the Market Value of Bank

本文运用EVA价值评估方法,计算商业银行账面资本和经济资本视角下的EVA,分析EVA对商业银行市场价值变动的影响。实证结果表明,相对传统的账面资本视角下的EVA,经济资本视角的EVA与商业银行市场价值具有更高的相关性,风险大小为影响商业银行市场价值的重要因素,更能解释商业银行市场价值将如何变动。传统的ROE、EVA指标对商业银行并非很好的财务指标,其最大的缺陷是它们仅仅反映了收益创造能力,而没有反映商业银行实际承担风险的大小,可能导致在短期内对商业银行绩效水平的高估。

This paper uses the EVA valuation method to calculate the account capitals of commercial banks and the EVA from the perspective of economic capital, and analyze the influence of EVA on changes in the market value of commercial banks. The empirical results show that, compared with the EVA from the perspective of traditional account capital, the EVA from the perspective of economic capital has more corelation with the market value of commercial banks; risk is an important factor to impact the market value of commercial banks and it can better explain how the market value of commercial banks changes; the traditional ROE and EVA are not good indicators of commercial banks, and their main defect is that they reflect only the ability to create income, but not the actual risk-taking of commercial banks, which may results in overestimate on the performance of commercial banks in the short term.