本文選題：期權(quán)定價(jià) + 二叉樹(shù)模型�。� 參考：《上海交通大學(xué)》2013年碩士論文

【摘要】：本文的主要研究?jī)?nèi)容是對(duì)于傳媒行業(yè)的部分優(yōu)質(zhì)上市公司采用期權(quán)定價(jià)模型進(jìn)行估值。傳媒行業(yè)屬于新興產(chǎn)業(yè)，也是國(guó)家十二五規(guī)劃重點(diǎn)扶植的產(chǎn)業(yè)，因此研究傳媒行業(yè)上市公司的估值方法對(duì)于新興產(chǎn)業(yè)的估值方法會(huì)有一定的啟示作用。 在我國(guó)當(dāng)前的產(chǎn)業(yè)估值方法之中，評(píng)估者亦或是偏重于上市公司所參與投資的項(xiàng)目的收益率，，以數(shù)量化方法即凈現(xiàn)值法(NPV)的計(jì)算結(jié)果作為估值的根本依據(jù)；抑或是依賴個(gè)人的主觀經(jīng)驗(yàn)直覺(jué)，即以市盈率(P/E)、市凈率(P/B)等相對(duì)估值法對(duì)企業(yè)價(jià)值進(jìn)行評(píng)估，然而，不幸的是，這兩種方法本身都存在著一定的缺陷，因此極有可能會(huì)導(dǎo)致估值的偏差。傳統(tǒng)的現(xiàn)金流凈現(xiàn)值法往往忽略了企業(yè)投資項(xiàng)目中可能存在的經(jīng)營(yíng)柔性與其背后的戰(zhàn)略價(jià)值，而且也沒(méi)有考慮到公司對(duì)投資時(shí)機(jī)的選擇，因此，NPV法是一種靜態(tài)、剛性的評(píng)價(jià)方法，在很多情況下并不能十分準(zhǔn)確地、真實(shí)地評(píng)估企業(yè)的價(jià)值，從而導(dǎo)致投資者的決策失誤。 實(shí)物期權(quán)是期權(quán)定價(jià)理論在企業(yè)戰(zhàn)略投資領(lǐng)域應(yīng)用研究的一個(gè)推廣。企業(yè)在其日常的經(jīng)營(yíng)、投資過(guò)程中，企業(yè)的管理者往往會(huì)擁有各式各樣的選擇權(quán)，這些選擇權(quán)即實(shí)物期權(quán)。實(shí)物期權(quán)能夠讓企業(yè)管理者在決策的過(guò)程中，充分發(fā)揮經(jīng)營(yíng)柔性，以達(dá)到企業(yè)利益最大化的目標(biāo)。簡(jiǎn)而言之，實(shí)物期權(quán)就是期權(quán)思想在實(shí)物投資領(lǐng)域的應(yīng)用。 傳媒行業(yè)的上市公司一項(xiàng)重要的業(yè)務(wù)就是電視劇和電影投拍，此類業(yè)務(wù)的投資是高風(fēng)險(xiǎn)的投資活動(dòng)，要拍的內(nèi)容無(wú)法做市場(chǎng)研究，更不能發(fā)行試行版，只有到了拍攝完成了才能看到最終的效果。而在獨(dú)立電影市場(chǎng)，電影的淘汰率則更高。對(duì)于一個(gè)沒(méi)有試營(yíng)業(yè)就出現(xiàn)的新產(chǎn)品，想在初步階段就設(shè)計(jì)好營(yíng)銷和廣告戰(zhàn)略，困難程度可想而知，因此其風(fēng)險(xiǎn)是巨大的。在市場(chǎng)條件好時(shí)，公司可以采取追加投資進(jìn)行拍攝；在市場(chǎng)條件不好時(shí)，公司可以采取收縮的投資策略，避免更大的損失，因此傳媒行業(yè)的上市公司的主營(yíng)業(yè)務(wù)與實(shí)物期權(quán)所擁有的特性十分相似。 本文采用二叉樹(shù)期權(quán)定價(jià)模型，分析了東方財(cái)富最近獲批的基金代銷業(yè)務(wù)的成長(zhǎng)期權(quán)的價(jià)值，并采用Black-Scholes期權(quán)定價(jià)模型，對(duì)傳媒行業(yè)的28家典型上市公司進(jìn)行了估值，通過(guò)對(duì)這些企業(yè)的估值，本文對(duì)于類似于傳媒行業(yè)的高風(fēng)險(xiǎn)行業(yè)的估值方法進(jìn)行一些探究和討論，同時(shí)對(duì)于期權(quán)估值法與當(dāng)前市場(chǎng)價(jià)格的差異進(jìn)行探討，分析其差異的原因。
[Abstract]:The main research content of this paper is to use option pricing model to evaluate some high quality listed companies in the media industry. The media industry is a new industry, which is also supported by the national 12th Five-Year Plan. Therefore, the study of the valuation methods of listed companies in the media industry will have a certain enlightenment to the valuation methods of emerging industries. In the current industrial valuation method of our country, the evaluator also pays more attention to the return rate of the project in which the listed company participates, and takes the calculation result of the quantitative method (net present value method) as the basic basis of the valuation. Or it depends on the subjective empirical intuition of individuals, that is to say, the relative valuation methods, such as P / E ratio and P / P / B, are used to evaluate the value of the enterprise. Unfortunately, both of these two methods have their own defects. As a result, it is highly likely to lead to a bias in estimates. The traditional net present value of cash flow (NPV) method often ignores the possible management flexibility and the strategic value behind the enterprise investment project, and does not take into account the choice of investment opportunity, so NPV method is a static method. In many cases, the rigid evaluation method can not evaluate the value of the firm accurately and truly, which leads to the investors' decision making mistakes. Real option is an extension of option pricing theory in the field of strategic investment. In the course of their daily operation and investment, the managers of enterprises often have all kinds of options, which are called real options. Real option can make managers make full use of management flexibility in the process of decision-making, in order to achieve the goal of maximizing the interests of enterprises. In short, real option is the application of option in the field of real investment. One of the most important businesses of listed companies in the media industry is TV dramas and films. Investment in such businesses is a high-risk investment activity. The content to be produced cannot do market research, let alone issue a trial version. Only when the shooting is finished can the final effect be seen. But in the independent film market, the movie elimination rate is higher. For a new product that appears without trial operation, it is difficult to design the marketing and advertising strategy in the initial stage, so the risk is enormous. When the market conditions are good, the company can take additional investment to film; when the market conditions are bad, the company can take a contractionary investment strategy to avoid more losses. Therefore, the main business of listed companies in the media industry and real options have very similar characteristics. Based on the binomial tree option pricing model, this paper analyzes the value of the growth options of Dongfang Wealth's recently approved fund agency business, and uses the Black-Scholes option pricing model to evaluate 28 typical listed companies in the media industry. Through the valuation of these enterprises, this paper explores and discusses the valuation methods of high-risk industries similar to the media industry. At the same time, it discusses the difference between the option valuation method and the current market price, and analyzes the reasons for the differences.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：G206-F;F832.51;F275;F224

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