本文選題：價(jià)值投資　切入點(diǎn)：DCF模型　出處：《河南大學(xué)》2017年碩士論文

【摘要】：隨著我國資本市場與國際接軌,國際投資界盛行的價(jià)值投資理論于2001年傳入我國。價(jià)值投資理論主張投資股價(jià)被市場低估的企業(yè),即以足夠低的價(jià)格買入自己能力圈內(nèi)的股票,在企業(yè)內(nèi)在價(jià)值增長和股價(jià)回歸的過程中售出以獲利。本杰明·格雷厄姆被譽(yù)為價(jià)值投資之父,他認(rèn)為內(nèi)在價(jià)值至關(guān)重要。巴菲特繼承并發(fā)展了價(jià)值投資理論,認(rèn)為威廉姆斯的現(xiàn)金流貼現(xiàn)模型可以很好地評估企業(yè)內(nèi)在價(jià)值。價(jià)值投資理論通常運(yùn)用DCF模型評估企業(yè)內(nèi)在價(jià)值,DCF模型采用銷售百分比法確定FCF參數(shù),對企業(yè)未來增長率的估計(jì)往往存在一定的主觀性,而且財(cái)務(wù)報(bào)表中各個(gè)項(xiàng)目與營業(yè)收入之比不一定能夠長期保持穩(wěn)定,所以預(yù)測結(jié)果可能帶有一定的主觀性�？破仗m教授提出了FCF計(jì)算公式,各參數(shù)取自管理用財(cái)務(wù)報(bào)表,更能反映企業(yè)的經(jīng)營情況,不過公式中有兩個(gè)項(xiàng)目的數(shù)據(jù)不能從管理用財(cái)務(wù)報(bào)表中直接提取。白酒板塊是資本市場的重要組成部分,現(xiàn)金流良好,非常適合運(yùn)用DCF模型進(jìn)行價(jià)值投資研究。白酒行業(yè)經(jīng)歷了低谷后,目前基本面已經(jīng)回暖。白酒板塊股價(jià)不斷走高,尤其是龍頭企業(yè)貴州茅臺的股價(jià)已高達(dá)400多元,其內(nèi)在價(jià)值究竟是多少,股價(jià)是否已經(jīng)達(dá)到或者高出其內(nèi)在價(jià)值,是很多投資者都很關(guān)心的問題。本文在對國內(nèi)外價(jià)值投資理論進(jìn)行全面分析的基礎(chǔ)上,引入計(jì)量經(jīng)濟(jì)學(xué)中的時(shí)間序列分析法改進(jìn)DCF模型,結(jié)合影響企業(yè)價(jià)值變動的因素分析,運(yùn)用改進(jìn)DCF模型進(jìn)行價(jià)值投資實(shí)證研究,構(gòu)建了適合我國的價(jià)值投資方法。在實(shí)證研究中,考慮到DCF模型的局限性,擬對其改進(jìn):第一,簡化FCF的計(jì)算;第二,運(yùn)用時(shí)間序列分析法取代銷售百分比法預(yù)測未來自由現(xiàn)金流。FCF的計(jì)算經(jīng)過簡化后,各個(gè)項(xiàng)目的數(shù)據(jù)均可以從管理用財(cái)務(wù)報(bào)表中提取。時(shí)間序列分析法根據(jù)歷史自由現(xiàn)金流自身的變化規(guī)律,通過Eviews軟件預(yù)測未來自由現(xiàn)金流,減少了人為假設(shè)的主觀性。在對白酒板塊進(jìn)行價(jià)值投資研究的過程中,我們發(fā)現(xiàn)樣本企業(yè)每年的現(xiàn)金流量波動較大,因此增加了現(xiàn)金流量年均增長率方差指標(biāo),該指標(biāo)可以很好地反映現(xiàn)金流量年增長率的變化幅度,有效地控制投資風(fēng)險(xiǎn),最后得出白酒板塊中價(jià)值投資風(fēng)險(xiǎn)最小的是貴州茅臺。本文的價(jià)值投資研究通過了F檢驗(yàn)和T檢驗(yàn),驗(yàn)證了樣本企業(yè)股票內(nèi)在價(jià)值與其市場價(jià)格在統(tǒng)計(jì)上顯著正相關(guān),說明改進(jìn)DCF模型可以很好地評估股票的內(nèi)在價(jià)值,構(gòu)建了適合我國的價(jià)值投資研究方法。投資者可以借鑒本文的研究思路與方法,對資本市場其他板塊進(jìn)行價(jià)值投資研究,以提高價(jià)值投資的科學(xué)性。
[Abstract]:With China's capital market in line with international standards, the theory of value investment prevailing in the international investment circle was introduced into China in 2001.The theory of value investment advocates investing in enterprises whose stock prices are undervalued, that is, buying stocks in their own ability circle at a sufficiently low price, and selling them in the process of increasing the internal value of the firm and returning the stock price to profit.Benjamin Graham, known as the father of value investing, believes that intrinsic value is of paramount importance.Buffett inherits and develops the theory of value investment, and thinks that Williams' cash flow discount model can evaluate the intrinsic value of an enterprise well.In the theory of value investment, the DCF model is usually used to evaluate the internal value of an enterprise. The sales percentage method is used to determine the FCF parameters. The estimation of the future growth rate of an enterprise is often subjective.Moreover, the ratio of items to operating income in financial statements may not be stable for a long time, so the forecast results may be subjective.Professor Copland put forward the FCF calculation formula, each parameter is taken from the management financial statement, which can better reflect the business situation of the enterprise, but the data of two items in the formula can not be directly extracted from the management financial statement.Liquor plate is an important part of capital market, and its cash flow is good, so it is very suitable to use DCF model to study value investment.Liquor industry has experienced a trough, the current fundamentals have rebounded.The share price of liquor plate keeps rising, especially the stock price of Guizhou Maotai, a leading enterprise, is as high as 400 yuan, the intrinsic value of which is exactly what, and whether the price has reached or is higher than its intrinsic value, is a question that many investors are very concerned about.Based on the comprehensive analysis of the theory of value investment at home and abroad, this paper introduces the time series analysis method in econometrics to improve the DCF model and analyzes the factors that affect the change of enterprise value.Using the improved DCF model to carry on the value investment demonstration research, has constructed the value investment method suitable for our country.In the empirical study, considering the limitations of the DCF model, we propose to improve it: first, to simplify the calculation of FCF; second, to use time series analysis method to replace the sales percentage method to predict the future free cash flow.Data for each project can be extracted from management financial statements.According to the change law of historical free cash flow, time series analysis method predicts future free cash flow through Eviews software, which reduces the subjectivity of artificial hypothesis.In the course of studying the value investment of liquor plate, we found that the cash flow of sample enterprises fluctuated greatly every year, so the variance index of average annual growth rate of cash flow was increased.The index can well reflect the change of the annual growth rate of cash flow and effectively control the investment risk. Finally, it is concluded that the lowest value investment risk in liquor plate is Moutai, Guizhou.The research of value investment in this paper has passed F test and T test, which proves that the intrinsic value of the sample enterprise stock is statistically significant positive correlation with its market price, which indicates that the improved DCF model can evaluate the intrinsic value of the stock well.The research method of value investment suitable for our country is constructed.In order to improve the scientific nature of value investment, investors can use the research ideas and methods of this paper for reference to study the value investment in other parts of the capital market.
【學(xué)位授予單位】：河南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51;F406.7;F426.82

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