Estimación de niveles y cambios de rentabilidad futura: el efecto de la posición relativa de la empresa en su sector y la desagregación de la rentabilidad en operativa y financiera
Estimation of future levels and changes in profitability: The effect of the relative position of the firm in its industry and the operating-financing disaggregation
Resumen
En este trabajo examinamos si la posición relativa del ROE de la empresa en el sector afecta a la estimación del nivel de ROE en el año posterior, y a la estimación de su variación. Empleando el desglose operativo-financiero de Nissim y Penman, encontramos que el factor sectorial es significativo, aunque las variaciones de los signos sugieren la presencia de relaciones no lineales. Nuestro trabajo evita los problemas generados por los signos negativos en los ratios al emplear cuantiles y realizar regresiones independientes para los diferentes signos que toman las variables. De esta forma, los resultados muestran diferentes patrones en el impacto de los inductores del ROE de primer nivel (los factores operativo y financiero) y de segundo nivel (margen de resultados, rotaciones de los activos, endeudamiento y diferencial de rentabilidad) sobre la rentabilidad futura, dependiendo del diferencial de rentabilidad con respecto al sector. Estos resultados, con alguna matización, se vuelven a encontrar cuando se controla por tamaño diferenciando entre empresas pequeñas y grandes.
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