本文選題：實(shí)物期權(quán)法　切入點(diǎn)：新三板　出處：《云南財(cái)經(jīng)大學(xué)》2017年碩士論文

【摘要】：新三板市場(chǎng)近年來(lái)取得了蓬勃發(fā)展,對(duì)新三板企業(yè)合理的價(jià)值評(píng)估對(duì)投資決策和企業(yè)融資、轉(zhuǎn)板具有重要意義。使用傳統(tǒng)方法對(duì)新三板企業(yè)進(jìn)行價(jià)值評(píng)估存在諸多局限性,無(wú)法體現(xiàn)新三板高科技企業(yè)的巨大成長(zhǎng)性,而實(shí)物期權(quán)法在這一方面具有一定優(yōu)勢(shì)。本文采用布萊克—斯科爾斯模型,二叉樹模型和蒙特卡洛模擬三種實(shí)物期權(quán)法對(duì)40家新三板企業(yè)股權(quán)價(jià)值進(jìn)行了評(píng)估,得出結(jié)論:首先,布萊克—斯科爾斯模型和二叉樹模型的評(píng)估結(jié)果非常接近,實(shí)際上,通過(guò)理論分析可知,在時(shí)間間隔無(wú)限小的情況下,即步數(shù)無(wú)窮大時(shí),兩種方法得出的結(jié)果是無(wú)限接近的,這與事實(shí)相符。而通過(guò)蒙特卡洛模擬得到的結(jié)果比前兩種方法略大,更接近與實(shí)際市場(chǎng)價(jià)值,且整體評(píng)估值差異較小,比前兩種方法更有優(yōu)勢(shì)。其次,將三種方法得到的結(jié)果參照市場(chǎng)實(shí)際股價(jià)發(fā)現(xiàn),實(shí)物期權(quán)法的評(píng)估結(jié)果較低,但三種方法的評(píng)估結(jié)果與企業(yè)實(shí)際股權(quán)價(jià)值的誤差大多在20%之內(nèi),結(jié)果可以接受。分析知,實(shí)物期權(quán)法的評(píng)估結(jié)果之所以較低的原因?yàn)?一、三種模型都是假設(shè)資產(chǎn)價(jià)格未來(lái)變化服從連續(xù)的幾何布朗運(yùn)動(dòng),但實(shí)際中資產(chǎn)價(jià)格的變化是無(wú)法按照某一種方式描述的,市場(chǎng)中存在的非理性行為,經(jīng)常導(dǎo)致股價(jià)單向、大幅、不可逆的波動(dòng),而實(shí)物期權(quán)法顯然沒(méi)有考慮到這種不可逆波動(dòng)帶來(lái)的行權(quán)機(jī)會(huì),因此可能的行權(quán)收益下降,評(píng)估值降低。二、布萊克—斯科爾斯模型的假設(shè)十分嚴(yán)苛,如無(wú)交易費(fèi)用、不分配股利,這在任何國(guó)家、任何市場(chǎng)都是不可能的,二叉樹模型和蒙特卡洛模擬模型也沒(méi)有考慮未來(lái)可能存在的股利分配,三種模型只是考慮了資本利得這一種收益,而在實(shí)際中股利和資本利得都應(yīng)該作為收益考慮,故實(shí)物期權(quán)法低估了企業(yè)價(jià)值。三、布萊克—斯科爾斯模型和二叉樹模型都是假設(shè)期權(quán)是歐式期權(quán),到期前不能夠行權(quán),這也忽視了一些可能的行權(quán)機(jī)會(huì)帶來(lái)的收益,使評(píng)估值變小,對(duì)比蒙特卡洛模擬模型的評(píng)估值就可以發(fā)現(xiàn),后者較前兩者大,因?yàn)槊商乜迥M模型是假設(shè)期權(quán)是美式期權(quán),考慮了所以可能時(shí)間點(diǎn)上的行權(quán)機(jī)會(huì)帶來(lái)的收益,因此更合理。最后,通過(guò)上述三種方法的評(píng)估的過(guò)程知,實(shí)物期權(quán)法評(píng)估企業(yè)價(jià)值時(shí)對(duì)財(cái)務(wù)數(shù)據(jù)要求較少,只需要知道最基本的企業(yè)資產(chǎn)負(fù)債情況以及企業(yè)的股價(jià)情況,在實(shí)務(wù)操作中,只要寫好程序,獲得一些簡(jiǎn)單的數(shù)據(jù)就可以計(jì)算出結(jié)果,非常方便、高效。介于傳統(tǒng)評(píng)估方法在評(píng)估高風(fēng)險(xiǎn)、高成長(zhǎng)性行業(yè)的不足,實(shí)物期權(quán)法在新三板高科技企業(yè)的價(jià)值評(píng)估中可以發(fā)揮更好的作用,有利于發(fā)現(xiàn)高科技企業(yè)中的價(jià)值洼地。
[Abstract]:The new third board market has made vigorous development in recent years, which is of great significance to the investment decision and financing of the new third board enterprise.There are many limitations in using the traditional method to evaluate the value of the new three board enterprises, which can not reflect the huge growth of the new three boards and high-tech enterprises, but the real option method has some advantages in this respect.In this paper, we use Black-Scholes model, binary tree model and Monte Carlo simulation to evaluate the equity value of 40 new three-board companies.The evaluation results of the Black-Scholes model and the binary tree model are very close. In fact, through theoretical analysis, we can see that the results obtained by the two methods are infinitely close to each other in the case of infinitesimal interval, that is, when the number of steps is infinite.This is in keeping with the facts.The results obtained by Monte Carlo simulation are a little larger than the former two methods, and are closer to the actual market value, and the difference of the overall evaluation value is smaller, which is more advantageous than the former two methods.Secondly, referring the results of the three methods to the actual stock price of the market, we find that the evaluation results of the real options method are lower, but the error between the three methods and the real equity value of the enterprise is mostly within 20%, and the results are acceptable.The analysis shows that the evaluation results of the real options method are lower: first, the three models assume that the future changes of asset prices follow a continuous geometric Brownian motion.However, in practice, changes in asset prices cannot be described in a certain way. Irrational behavior in the market often leads to one-way, large and irreversible fluctuations in stock prices.But the real option method obviously does not consider this kind of irreversible fluctuation to bring the exercise right opportunity, therefore the possible exercise right income is reduced, the appraisal value is reduced.Second, the Black-Scholes model assumes that it is not possible in any country, in any market, to have no transaction costs and no dividend distribution.The binary tree model and Monte Carlo model do not consider the possible dividend distribution in the future. The three models only consider the income of capital dividend, and in practice, both dividend and capital dividend should be considered as income.Therefore, the real option method underestimated the value of the enterprise.Third, the Black-Scholes model and the binomial tree model both assume that options are European options that cannot be exercised before they expire. This also ignores the benefits of some possible exercise opportunities and makes the evaluation value smaller.Comparing the evaluation value of Monte Carlo simulation model we can find that the latter model is larger than the former because the Monte Carlo simulation model assumes that the option is an American option and takes into account the benefits of the exercise opportunity at the possible time point so it is more reasonable.Finally, through the evaluation process of the above three methods, we know that the real options method requires less financial data when evaluating the enterprise value, only need to know the most basic enterprise assets and liabilities and the stock price of the enterprise, in the practical operation,As long as a good program, get some simple data can be calculated results, very convenient, efficient.In view of the deficiency of traditional evaluation methods in evaluating high risk and high growth industries, the real option method can play a better role in the value evaluation of new three board high-tech enterprises, which is beneficial to the discovery of value depression in high-tech enterprises.
【學(xué)位授予單位】：云南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F275;F832.51

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