本文關鍵詞：風險調(diào)整的剩余收益模型的理論與實證研究　出處：《上海交通大學》2012年博士論文　論文類型：學位論文

  更多相關文章： 剩余收益 內(nèi)在價值 剩余收益模型 RIM-σ~2模型

【摘要】：眾所周知，對上市公司價值的估計和預測歷來都是證券市場各利益相關方所關注的重要問題。本文在對近年來權(quán)益估值模型進行梳理綜述的基礎上，重點探討分析奧爾森系列剩余收益模型的優(yōu)缺點、適用條件及評估系數(shù)的測算方法�；谝延惺Ｓ嗍找婺Ｐ偷牟蛔阒帲M行模型的改進與構(gòu)建，并對所構(gòu)建的模型進行實證檢驗，進而運用個股分析。其結(jié)果證明了改進后的模型在中國資本市場的合理性和有效性。 隨著中國證券市場的興起，在這一方面對研究者提出了新的研究課題，即國外的Feltham-Ohlson模型等經(jīng)典理論能否應用于中國這樣的新興市場、如何應用。本文首先對Feltham-Ohlson模型的國內(nèi)外研究進行了回顧，并在詳細闡述Feltham-Ohlson模型的基礎上，在實證分析部分，采用1999年-2009年期間的全部有效觀察值數(shù)據(jù)作為研究樣本，對Feltham-Ohlson模型三種不同形式的線性信息動態(tài)方程和估值回歸方程進行了實證研究，，力圖完善和規(guī)范Feltham-Ohlson模型在中國的實證應用基礎。本文的研究結(jié)果支持Feltham-Ohlson模型在中國A股市場上的適用性，并且發(fā)現(xiàn)三種不同形式的線性信息動態(tài)方程及估值方程的適用程度不同，F(xiàn)eltham-Ohlson模型(1995)的適用性要強于Ohlson模型(1995)和Feltham-Ohlson模型(1996)。關于奧爾森模型的實證結(jié)果，一方面說明了我國資本市場的效率有待提高，另一方面在一定程度上說明了剩余收益模型對我國股票內(nèi)在價值的有用性。 不過奧爾森系列剩余收益模型的總體效果并非很理想。本文基于一般的三階段剩余收益模型理論提出了一個新的模型，即線性風險因子調(diào)整的三階段剩余收益模型（RIM-σ~2模型）。 RIM-σ~2模型通過將企業(yè)價值的評估分成三個不同的階段加以計算。其解決了以下兩方面問題，一方面是解決關于無窮項求和項在實際中無法計算的問題。另一方面是引入了線性的風險因子。本文所構(gòu)建新的RIM-σ~2模型，用另一種方式來刻畫風險因子對價值評估的影響。所引入的風險因子將作為一個模型的線性變量。同時還引入了其他一些新的會計信息變量，從而使模型能夠更充分地利用現(xiàn)有的會計等相關信息進行價值評估。 最后，本文利用資本市場的有關歷史數(shù)據(jù)與分析師的預測數(shù)據(jù)，從模型的適用性和預測能力兩方面進行實證檢驗與分析。并對RIM-σ~2模型與TSSV-θ模型進行實證比較分析。實證結(jié)果證實了RIM-σ~2模型適用性與優(yōu)越性�？傮w上體現(xiàn)了RIM-σ~2模型相對以往的剩余收益模型有較大的改進。同時通過從總體和個股兩方面的實證研究分析均表明RIM-σ~2模型具有較好的運用價值。
[Abstract]:As everyone knows, to estimate and forecast the value of listed companies is one of the important problems of the securities market stakeholders concerned. Based on combing review of equity valuation model in recent years, focusing on the analysis of the Olsen series of residual income model and disadvantages, applicable conditions and calculation method of evaluation coefficient. Shortcomings of the existing based on residual income model, and constructs the model and empirical test of the model, and then use the stock analysis. The results show that the modified model in the China capital market is reasonable and effective.
With the development of Chinese securities market, on the one hand, the researchers put forward a new research project, how to emerging markets, namely foreign Feltham-Ohlson model theory can be applied to Chinese such applications. This paper carried out a review of Feltham-Ohlson model research at home and abroad, and expounds in detail based on the Feltham-Ohlson model and in the part of empirical analysis, all the effective observation period by the year 1999 -2009 data as the research sample, the linear information dynamic equation and the regression equation of Feltham-Ohlson valuation model three kinds of empirical research, to improve and standardize the application of Feltham-Ohlson model in the China foundation. The results of this study support the applicability of Feltham-Ohlson model in the China A stock market, and found that the three kinds of linear information dynamic and different forms of the process of valuation. The application of different Feltham-Ohlson model (1995) is better than the Ohlson model (1995) and Feltham-Ohlson (1996) model. The empirical results on the Olsen model, the one hand shows the efficiency of China's capital market should be improved, on the other hand, to a certain extent, illustrate the usefulness of the residual income model to me the intrinsic value of the stock.
However, the overall effect of Olsen series residual income model is not very satisfactory. Based on the general three stage residual income model theory, this paper proposes a new model, namely, the three stage residual income model adjusted by linear risk factor (RIM- ~2 model).
RIM- Sigma ~2 model of the enterprise value evaluation is divided into three different stages are calculated. It solves the following two problems, one is to solve the infinite sum can not be calculated in practical problems about. On the other hand is the risk factor into linear. This paper built a new model of ~2 RIM-. The effect of using another way to describe the risk factor of value evaluation. The risk factor as a linear variable model. At the same time also introduced some other new accounting information variable, so that the model can make full use of the existing accounting related information of value assessment.
At last, this paper forecasts the use of capital market and relevant historical data analysts, conducted empirical test and analysis from two aspects of applicability and prediction ability of the model. And the RIM- ~2 model and TSSV- model of Sigma Theta comparative analysis to carry on the empirical analysis. The empirical results confirm the applicability and superiority of RIM- Sigma ~2 model. The overall reflect the RIM- Sigma ~2 model relative residual income model in the past have greatly improved. At the same time, through empirical research and analysis from the two aspects of the overall stock showed that RIM- Sigma ~2 model has good application value.

【學位授予單位】：上海交通大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F275;F832.51;F224

【引證文獻】

相關期刊論文 前1條

1 王立夏;;三階段剩余收益模型的實證比較研究——基于預測數(shù)據(jù)的實證分析[J];會計之友;2014年15期

相關碩士學位論文 前1條

1 張慧蕓;上市公司企業(yè)價值的實證研究[D];山東財經(jīng)大學;2013年

本文編號：1387936