發(fā)布時(shí)間：2018-01-09 21:45

  本文關(guān)鍵詞：金融危機(jī)下收益法評(píng)估中β系數(shù)研究　出處：《北京交通大學(xué)》2017年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 收益法評(píng)估 系統(tǒng)性風(fēng)險(xiǎn)β系數(shù) 回溯期

【摘要】：隨著我國(guó)企業(yè)并購(gòu)重組、股權(quán)交易、資產(chǎn)轉(zhuǎn)讓等經(jīng)濟(jì)活動(dòng)逐漸增多,客觀、合理的企業(yè)價(jià)值評(píng)估對(duì)維護(hù)資本市場(chǎng)估價(jià)穩(wěn)定起到了尤為重要的作用。而企業(yè)價(jià)值評(píng)估的三大基本方法中使用范圍最為廣泛的當(dāng)屬收益法,其中重點(diǎn)和難點(diǎn)是對(duì)折現(xiàn)率的測(cè)算。而基于CAPM模型的系統(tǒng)性風(fēng)險(xiǎn)系數(shù)β值的估計(jì)對(duì)折現(xiàn)率預(yù)測(cè)的準(zhǔn)確性有著重大的影響,然而其苛刻的假設(shè)條件要求只有市場(chǎng)因素對(duì)收益產(chǎn)生影響,而宏觀經(jīng)濟(jì)、行業(yè)景氣程度、經(jīng)濟(jì)周期等各方面影響的忽略均會(huì)導(dǎo)致β系數(shù)估計(jì)值的偏差,進(jìn)而影響收益法企業(yè)價(jià)值評(píng)估的結(jié)果。基于以上理論及現(xiàn)實(shí)背景,以及2015年我國(guó)出現(xiàn)的重大市場(chǎng)異常波動(dòng),本文從經(jīng)濟(jì)周期角度研究市場(chǎng)波動(dòng)甚至金融危機(jī)的爆發(fā)對(duì)收益法評(píng)估中β估計(jì)值的影響:從評(píng)估方法的使用及行業(yè)特點(diǎn)兩個(gè)方面選擇所研究的行業(yè),即具有經(jīng)濟(jì)周期敏感性的采礦業(yè)和無(wú)周期性、高技術(shù)高風(fēng)險(xiǎn)性的醫(yī)藥制造業(yè),對(duì)比一般方法和剔除金融危機(jī)區(qū)間進(jìn)行回歸得到的行業(yè)β系數(shù)估計(jì)值,發(fā)現(xiàn)金融危機(jī)對(duì)兩種行業(yè)都有不同程度的影響,其對(duì)周期性行業(yè)影響更為顯著;進(jìn)而為了探索在進(jìn)行β系數(shù)估計(jì)時(shí)消除金融危機(jī)影響的新方法,從不斷拉長(zhǎng)回溯期的角度,分析兩個(gè)行業(yè)及單個(gè)企業(yè)β估計(jì)值的變化情況,得出以下結(jié)論:在進(jìn)行周期性行業(yè)β系數(shù)估計(jì)時(shí),應(yīng)充分考慮周期波動(dòng)的影響,回溯期盡量選擇涵蓋整個(gè)行業(yè)周期或者周期的整倍數(shù),其中采礦業(yè)可選擇10年;而醫(yī)藥制造業(yè)的行業(yè)β估計(jì)值具有一定的穩(wěn)定性,回溯期的拉長(zhǎng)一定程度上可削弱金融危機(jī)的影響,其回溯期可選擇6年;但個(gè)股β估計(jì)值隨回溯期的不斷增長(zhǎng)呈現(xiàn)出很強(qiáng)的波動(dòng)性,因此在收益法評(píng)估β參數(shù)確定時(shí),應(yīng)盡量選擇行業(yè)而非可比公司的β系數(shù)作為參考,從而獲得更加穩(wěn)定、準(zhǔn)確的評(píng)估價(jià)值。希望通過(guò)本文的研究,為企業(yè)價(jià)值評(píng)估理論研究及實(shí)務(wù)操作中β參數(shù)的確定開(kāi)拓新的思路。
[Abstract]:With the merger and reorganization of Chinese enterprises, equity trading, asset transfer and other economic activities are gradually increasing, objective. Reasonable evaluation of enterprise value plays a particularly important role in maintaining the stability of capital market valuation, and the most widely used of the three basic methods of enterprise value assessment is the income method. The key and difficult point is the calculation of discount rate, and the estimation of systemic risk coefficient 尾 based on CAPM model has a great influence on the accuracy of discount rate prediction. However, its harsh assumptions require that only market factors have an impact on earnings, while the neglect of macroeconomic, industry prosperity, economic cycle and other aspects of the impact will lead to the deviation of 尾 coefficient estimates. Based on the above theoretical and practical background, as well as the major market fluctuations in 2015 in China. This paper studies the impact of market volatility and even the outbreak of financial crisis on the 尾 estimation in income assessment from the perspective of economic cycle: choose the industry to be studied from two aspects: the use of evaluation methods and the characteristics of the industry. That is, the mining industry with economic cycle sensitivity and non-cyclical, high-tech and high-risk pharmaceutical manufacturing industry, compared with the general method and excluding the financial crisis interval regression to get the estimated value of industry 尾 coefficient. It is found that the financial crisis has a different degree of influence on both industries, and it has a more significant impact on cyclical industries. Then in order to explore a new method to eliminate the impact of financial crisis in the estimation of 尾 coefficient, this paper analyzes the changes of 尾 estimates in two industries and individual enterprises from the point of continuously extending the backtracking period. The following conclusions are drawn: when estimating the 尾-coefficient of periodic industries, the influence of cycle fluctuation should be fully considered, and the whole multiple covering the whole industry cycle or cycle should be selected as far as possible in the backdating period. Among them, the mining industry can choose 10 years; The industry 尾 value of pharmaceutical manufacturing industry has certain stability, the extension of retrospective period can weaken the impact of financial crisis to some extent, and the backdating period can be chosen for 6 years. However, the 尾 estimate of individual stock shows strong volatility with the increasing of backdating period. Therefore, when evaluating the 尾 parameter of income method, we should choose the 尾 coefficient of the industry rather than the comparable company as the reference as far as possible. It is hoped that the research in this paper will open up a new way of thinking for the theoretical research of enterprise value evaluation and the determination of 尾 parameters in practical operation.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.59;F426;F406.7

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