本文選題：企業(yè)價值 + 實物期權(quán)��； 參考：《西南財經(jīng)大學(xué)》2014年碩士論文

【摘要】：在金融、投資和其他領(lǐng)域,價值評估研究隨處可見。在經(jīng)濟活動中,資產(chǎn)評估工作作為企業(yè)管理、投資等行為的先導(dǎo)性工作,在管理,投資各種實物資產(chǎn)和金融資產(chǎn)中,起著相當重要的作用。這是因為無論是實物資產(chǎn)還是金融資產(chǎn),都有其自身的價值,要想成功的管理、投資這些資產(chǎn),就要了解這些資產(chǎn)的價值構(gòu)成以及其價值的計量方法。隨著我國經(jīng)濟的快速發(fā)展,企業(yè)兼并重組已經(jīng)變得越來越頻繁,市場對企業(yè)價值評估的需求也在不斷增加,同時也對企業(yè)價值評估方法體系提出了更高的要求。在經(jīng)濟生活中,公司的股權(quán)收購,兼并等行為都需要對企業(yè)價值進行評估,可以預(yù)見的是,企業(yè)價值評估將成為未來的資產(chǎn)評估的重要組成部分。 目前,在發(fā)達國家的資本市場中,企業(yè)價值評估理論和方法已經(jīng)逐漸成熟。這是由于發(fā)達國家對企業(yè)價值評估研究的起步較早,并且其市場更加成熟規(guī)范,這些都為其企業(yè)價值評估實踐提供了良好的環(huán)境,因此在實際操作中,發(fā)達國家的企業(yè)價值評估方法較為成熟,在實踐中應(yīng)用廣泛。 然而在我國,企業(yè)價值評估理論的研究還不夠深入,評估體系尚不完善。同時我國對企業(yè)價值評估研究的起步相對較晚,受國內(nèi)研究條件限制,尚未形成成熟的理論體系。國內(nèi)企業(yè)價值的評估方法主要包括市場法,收益法,期權(quán)法等等,其中大多數(shù)評估方法的理論體系都存在一定的不完整性,從而導(dǎo)致了在實際操作中存在技術(shù)上的局限性。 本文選取了7家鋼鐵行業(yè)的上市公司,以其數(shù)據(jù)為基礎(chǔ),運用B-S期權(quán)定價模型計算其五年的評估價值,并與其市場價值做對比分析,得出分析結(jié)論,旨在說明期權(quán)法具有相當?shù)目陀^性與穩(wěn)定性,應(yīng)加強其在企業(yè)價值評估中的實際應(yīng)用。 本文主要內(nèi)容及觀點： 全文共分為五章。第一章是引言,闡述了本文的研究背景及意義,說明了企業(yè)價值評估方法研究在促進社會經(jīng)濟發(fā)展中的重要作用。本文認為,對企業(yè)價值評估方法的研究,不僅能為企業(yè)在經(jīng)營管理中的決策提供參考依據(jù),也有助于推動經(jīng)濟增長,滿足市場需求,對促進我國經(jīng)濟發(fā)展有著重大意義。主要包括以下幾個方面：企業(yè)價值最大化管理的需要；企業(yè)并購的需要；企業(yè)進行投資決策的需要；量化企業(yè)價值、動態(tài)管理的需要；董事會、股東會了解生產(chǎn)經(jīng)營成果的需要；企業(yè)提高影響力,展示自身實力的途徑。 第二章為企業(yè)價值評估的理論與方法。首先簡要介紹了企業(yè)價值理論和企業(yè)價值評估理論。本文認為,當把企業(yè)看成一個整體來評估其價值時,不能簡單的通過評估其所有單項資產(chǎn)的價值并加總來計算其整體價值,企業(yè)整體價值的評估原理和評估方法體系與單項資產(chǎn)的評估原理和方法有著相當大的差異。企業(yè)價值具有以下幾個基本特點：一、企業(yè)價值是整體價值；二、企業(yè)價值能夠帶來一定的效用；三、企業(yè)價值能夠較全面的反映企業(yè)經(jīng)營管理的總體情況；四、企業(yè)價值是市場價值的體現(xiàn)。企業(yè)價值類型主要分為內(nèi)在價值、賬面價值、市場價值、破產(chǎn)清算價值幾種。接著對幾種主要的企業(yè)價值評估方法進行了說明,包括現(xiàn)金流折現(xiàn)法,經(jīng)濟值增加法,成本法,市場法及B-S期權(quán)定價法。根據(jù)實物期權(quán)的概念、特點提出企業(yè)價值具有的實物期權(quán)特性。期權(quán)是一種合約,合約的持有者在規(guī)定的時間內(nèi)有權(quán)利,但沒有義務(wù)(可以但不一定)按照合約規(guī)定的價格購買或賣出某項標的資產(chǎn)。在具體運用中,實物期權(quán)包括：推遲期權(quán)、擴張期權(quán)、收縮期權(quán)、放棄期權(quán)和轉(zhuǎn)化期權(quán)等主要類型；實物期權(quán)的評估方法主要有B-S模型、二叉樹模型等方法。由于實物期權(quán)理論是從金融期權(quán)理論發(fā)展而來的,因此實物期權(quán)理論與金融期權(quán)理論有很多相似之處,但兩者之間仍然有一些差異,盡管如此,金融期權(quán)定價法仍然可以應(yīng)用于對實物期權(quán)定價中。對此,梅森和麥爾登給出了非常直觀的解釋,因此,B-S期權(quán)定價模型可以應(yīng)用到對實物期權(quán)即企業(yè)股權(quán)價值的評估。 第三章主要介紹了B-S期權(quán)定價法在企業(yè)價值評估中的應(yīng)用。首先解釋了評估標的公司的選擇標準,接著對模型所需的數(shù)據(jù)來源等進行了說明并計算出所需的模型參數(shù),同時對模型參數(shù)進行了敏感性分析,發(fā)現(xiàn)隨著企業(yè)的波動率σ、到期時間T和無風(fēng)險利率r的變化,企業(yè)的股權(quán)價值逐漸增加,但變動幅度較小,由此可見期權(quán)法對于主觀性較強的參數(shù)如到期時間、無風(fēng)險收益率的變動并不敏感,說明這種方法的主觀性影響較弱。同時期權(quán)法對企業(yè)標的資產(chǎn)的波動率σ的變動也不敏感,表明期權(quán)法能減小標的資產(chǎn)價值波動對企業(yè)價值評估結(jié)果的影響。從而得出結(jié)論,B-S期權(quán)定價法對模型參數(shù)的敏感性較弱,評估結(jié)果具有較強的穩(wěn)定性,不易大幅波動。 第四章的主要內(nèi)容是市場檢驗。對第三章的評估結(jié)果與當前的市場價值進行對比并應(yīng)用數(shù)理統(tǒng)計原理進行比較分析,結(jié)果表明期權(quán)法的評估價值相對平穩(wěn),波幅不大,而市場價值的波動則相對較大,且市場價值在評估價值附近上下波動。得出分析結(jié)論,認為B-S期權(quán)定價法評估出的企業(yè)價值相較市場價值表現(xiàn)的更為穩(wěn)定。 第五章對本文進行了總結(jié)說明,由于以下幾點理由,得出了推薦在企業(yè)價值評估實踐中推廣使用期權(quán)法的結(jié)論：一、期權(quán)法評估價值對到期時間、無風(fēng)險收益率、企業(yè)標的資產(chǎn)的波動率等參數(shù)的變動不敏感。二、市場價值總是圍繞期權(quán)法所得到的評估價值上下波動,說明期權(quán)法得出的評估價值可以作為企業(yè)的內(nèi)在價值。三、總的來說,期權(quán)法評估價值的方差較市場價值小,說明期權(quán)法的評估價值比市場價值更加穩(wěn)定。且期權(quán)評估法也可以應(yīng)用于非上市公司的企業(yè)價值評估中。同時對本文中存在的不足進行了剖析,主要包括以下幾點：一、本文中計算企業(yè)價值時的壽命假設(shè)值得商榷；二、標的資產(chǎn)波動率的計算假設(shè)較理想化；三、時間精力等各方面條件限制,無法進行大樣本各行業(yè)與各種評估方法所得結(jié)果分別進行比較。
[Abstract]:In financial, investment, and other fields, value assessment studies are everywhere. In economic activities, asset assessment plays a significant role in managing, investing in all kinds of physical assets and financial assets, as a precursor to business management and investment. This is because both physical assets and financial assets have their own self. With the rapid development of our economy, the merger and reorganization of enterprises have become more and more frequent with the rapid development of our country's economy, and the demand for the evaluation of enterprise value is increasing, and the method of evaluating the value of the enterprise is also on the body. In economic life, the company's stock acquisition, merger and other behaviors all need to evaluate the value of the enterprise. It is foreseeable that the enterprise value assessment will become an important part of the future asset evaluation.
At present, in the capital market of developed countries, the theory and method of enterprise value evaluation have matured gradually. This is due to the early start of the research on enterprise value evaluation in developed countries, and its market is more mature and standardized. These all provide a good environment for the practice of enterprise value evaluation, so in practical operation, developed countries The method of enterprise valuation is relatively mature and widely applied in practice.
However, in our country, the research on the theory of enterprise value evaluation is not thorough enough and the evaluation system is not perfect. At the same time, the research on enterprise value evaluation is relatively late in our country, and is limited by the conditions of domestic research, and has not yet formed a mature theoretical system. The evaluation methods of domestic enterprise value include market law, income method, option law, etc. The theoretical system of most of the evaluation methods is incomplete, which leads to technical limitations in practical operation.
In this paper, 7 listed companies of iron and steel industry are selected. Based on their data, the B-S option pricing model is used to calculate the valuation value for five years, and the analysis results are compared with the market value. The purpose of this paper is to show that the option method has considerable objectivity and stability, and should strengthen its practical application in the enterprise value evaluation.
The main contents and views of this article are as follows:
The full text is divided into five chapters. The first chapter is an introduction, which illustrates the background and significance of the study, and illustrates the important role of the research on the method of enterprise value evaluation in promoting social and economic development. This paper holds that the research on the method of enterprise value evaluation can not only provide reference for the decision of business management, but also help to promote the enterprise's decision making in management. Economic growth and meet the demand of the market have great significance to promote the development of our country's economy. It mainly includes the following aspects: the needs of the enterprise value maximization management, the needs of the enterprise merger and acquisition, the needs of the investment decision of the enterprise, the value of the enterprise, the need for the dynamic management; the board of directors and the shareholders will understand the production and operation results. Enterprises need to improve their influence and demonstrate their strength.
The second chapter is the theory and method of enterprise value evaluation. First, it briefly introduces the theory of enterprise value and the theory of enterprise value evaluation. This article holds that when the enterprise is regarded as a whole to evaluate its value, it can not simply evaluate the value of all the individual assets and calculate the overall value of the enterprise, and the overall value of the enterprise is evaluated. There are considerable differences between the principle and evaluation method system and the principle and method of the evaluation of single assets. The enterprise value has the following basic characteristics: first, the enterprise value is the whole value; two, the value of the enterprise can bring certain utility; three, the enterprise value can reflect the overall situation of enterprise management in a more comprehensive way; four, enterprise The value of business is the embodiment of the market value. The type of enterprise value is mainly divided into internal value, book value, market value, and bankruptcy liquidation value. Then, several main methods of enterprise value evaluation are explained, including cash flow discounting method, economic value added method, cost method, market law and B-S option pricing method. An option is a kind of real option characteristic of an enterprise value. An option is a contract, the holder of a contract has a right in the prescribed time, but has no obligation (but not necessarily) to buy or sell a certain asset in accordance with the price stipulated in the contract. In concrete use, real options include postponed options, expansion options, contraction. Options, abandonment options and conversion options are the main types of real options, such as B-S model and two forked tree model. The real option theory is developed from the theory of financial options, so there are many similarities between real option theory and financial option theory, but there are still some differences between them, although there are still some differences between them. Therefore, the financial option pricing method can still be applied to the pricing of real options. Mason and Merten give a very intuitive explanation. Therefore, the B-S option pricing model can be applied to the assessment of the real option, that is, the equity value of the enterprise.
The third chapter mainly introduces the application of B-S option pricing method in the enterprise value evaluation. First, it explains the selection criteria of the company, then explains the data sources required by the model and calculates the required model parameters. At the same time, the sensitivity analysis of the model parameters is carried out, and it is found that with the volatility of the enterprise, the maturity of the model is due to maturity. The change of time T and risk free interest rate R, the equity value of the enterprise is gradually increasing, but the change is small, so it can be seen that the option method is not sensitive to the changes of the subjective parameters such as the time of maturity and the change of the risk rate of return, which indicates that the subjective influence of this method is weak. It is insensitive to movement, which indicates that option method can reduce the influence of the value fluctuation of the standard assets to the result of the enterprise value evaluation. Thus, it is concluded that the B-S option pricing method has weak sensitivity to the model parameters, and the evaluation result has strong stability and is not easy to fluctuate.
The main content of the fourth chapter is the market test. The evaluation results of the third chapters are compared with the current market value and are compared and analyzed with the principle of mathematical statistics. The results show that the valuation of the option method is relatively stable, the amplitude is small, and the fluctuation of the market value is relatively large, and the market value fluctuates near the value of the evaluation. The conclusion is that the B-S option pricing method is more stable than the market value.
The fifth chapter makes a summary of this article. Because of the following reasons, we draw the conclusion that the option method can be popularized in the practice of enterprise value evaluation. First, the value of the option method is not sensitive to the changes of the parameters such as the expiration time, the risk-free rate of return and the volatility of the assets of the enterprise. Two, the market value is always around the option method. The value of the assessment is fluctuating, indicating that the value of the option method can be used as the intrinsic value of the enterprise. Three, in general, the variance of the valuation value of the option method is smaller than the market value, indicating that the valuation value of the option method is more stable than the market value. And the option evaluation method can also be applied to the enterprise value of the non-listed company. At the same time, the shortcomings of this article are analyzed, including the following points: first, the assumption of life expectancy in the calculation of enterprise value is debatable; two, the calculation hypothesis of the underlying asset volatility is more idealized; three, time and energy and other conditions are limited, and can not carry out large sample industries and various evaluation methods. The results were compared respectively.

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F275

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本文編號：1835113