صرف های ریسک در شرکت های چند ملیتی

The CAPM implies that investors require equity risk premia when choosing risky investments and therefore demand higher returns to equity invested if higher risk is present. This should apply to investments in independent enterprises and multi-national enterprises alike. This hypothesis is investigated by analyzing a panel of 407,000 European firms for the years 1985 to 2010. When income is set in relation to invested capital, risk measured by earnings volatility emerges as the most important stable determinant of income. Results indicate that both MNEs and independent firms regularly account for risk as a major determinant of income when pricing international goods and services. Hence international taxation rules for multi-national enterprises should account for risk premia in transfer prices and resulting profits.

The question what determines the size of firm's profits of multi-national enterprises – in fact of firms in general – can be approached from two sides. On the one hand, profits reflect a firm's ability to capture markets and deliver value that is remunerated by customers. From the point of view of the investor financing a particular firm; this may be called the “income” or “production” view. On the other hand, the same investor may ask whether he is adequately compensated for providing the capital necessary to operate the firm; this may be called the “cost-of-capital” view. With well-functioning capital markets, both views should arrive at similar results regarding the size of a firm's profits. In fact, the latter “cost-of-capital” view has its theoretical foundation in the well-known Capital Asset Pricing Model (CAPM). The CAPM implies that investors take risk into account when choosing an investment – investors require an equity risk premia if the investment is risky. Capital market data confirms that empirical equity risk premia are increasing in the volatility of the return. This should also apply to equity investment in individual firms – hence investors should require higher profits as return to equity invested if higher risk is present. The hypothesis follows that investors will ask for risk premia when investing in independent enterprises and in multi-national enterprises alike. Hence expected profits are mainly a function of the amount of investment necessary (size of capital employed) and the risk expected to be attached to the firm's operations – in other words: return on invested capital is mainly a function of investment risk. This research presents evidence that this is in fact the case by identifying determinants of actual ex-post enterprise profits; the results obtained indicate that risk measured by earnings volatility is the most important determinant of income when income is set in relation to invested capital. Data analyzed comes from the Amadeus firm-level data base as well as from Thomson/Reuter and spans a panel of 407,000 European firms for the years 1985 to 2010. The remainder of the paper is structured as follows. Section 2 introduces the economic and institutional background, the resulting research questions posed here, as well as the hypotheses to be investigated. The underlying theory is presented in Section 3. Section 4 describes the data used. Section 5 presents the general modeling and summarizes the results. Section 6 concludes. Statistical and econometric results are presented in the appendix.

For European publicly traded and privately held firms from all kinds of industries, the standard deviation of the individual return on firm equity does seem to be a robust determinant of profits measured as returns. Parameter estimates indicate that an equity risk premium can be measured as about one third of the standard deviation of the return to equity of any particular firm. While other factors may or may not be significant in determining profits, the overwhelming determining influence on profits is given by the volatility of the returns once capital employed is accounted for. This generally holds true for multi-national enterprises and independent enterprises alike. These findings have important implications for international transfer pricing. For the purpose of national taxation of MNEs transfer pricing is utilized in order to determine the taxable profit of a national subsidiary by comparing its profits to profits of hypothetically comparable independent firms. In many cases this is done by using profit-level indicators such as sales margins or cost margins that are not necessarily closely correlated to the capital employed in the operation of the particular firm. The research presented here implies that a return on capital measure might be the better profit level indicator to be used in many cases where this is so far not traditionally done. Transfer pricing also often entails the valuation of firms, functional parts of firms, or individual assets within firms that are subsidiaries of an MNE, in particular in post-restructuring scenarios where the underlying risk profile of some or all of these firms, functions or assets within an MNE may change. Since the DCF method is applicable in many of these cases, the findings presented bear directly on the resulting valuations through their effect on applicable discount rates and on how to calculate adjustments for changes in risk profiles. Further research will include analyzing data from non-European and in particular North-American firms; preliminary investigations indicate that the results will also hold for North American firms. Other open questions include the further exploration of the role of the correlation with the market return as well as the significance of systematic differences in returns between subgroups of firms according to industries, time periods, independence, etc.