【摘要】：前任證監(jiān)會(huì)主席郭樹清極力推廣價(jià)值投資理念，但投資者很迷茫，不知如何操作。價(jià)值投資是對(duì)公司詳盡分析獲得其內(nèi)在價(jià)值，在價(jià)格低于內(nèi)在價(jià)值，呈現(xiàn)可觀的安全邊際時(shí)，采取投資行動(dòng)的一種投資理念。論文依據(jù)價(jià)值投資理念，以自由現(xiàn)金流量、折現(xiàn)率為基礎(chǔ)展開研究，提供了一個(gè)評(píng)估公司價(jià)值的分析框架。 依據(jù)中國會(huì)計(jì)準(zhǔn)則，自由現(xiàn)金流量由調(diào)整稅后凈營(yíng)業(yè)利潤(rùn)、非現(xiàn)金費(fèi)用、資本支出、營(yíng)運(yùn)資本增量四部分組成。歷史自由現(xiàn)金流量可直接利用財(cái)務(wù)報(bào)告數(shù)據(jù)計(jì)算，為避免預(yù)測(cè)參數(shù)過多引起偏差，選取趨勢(shì)增長(zhǎng)率法估算自由現(xiàn)金流量預(yù)期增長(zhǎng)率。 在投資者理性與資本結(jié)構(gòu)不變的假設(shè)下，依據(jù)自由現(xiàn)金流量的資本結(jié)構(gòu)來源，將其分為股東權(quán)益性自由現(xiàn)金流量與債務(wù)性自由現(xiàn)金流量。股東權(quán)益性自由現(xiàn)金流量折現(xiàn)率可由預(yù)期凈資產(chǎn)收益率與預(yù)期凈資產(chǎn)增長(zhǎng)率之和估算；考慮到應(yīng)收預(yù)付項(xiàng)目的經(jīng)濟(jì)成本性和應(yīng)付預(yù)收會(huì)計(jì)項(xiàng)目的經(jīng)濟(jì)收益性，債務(wù)性自由現(xiàn)金流量折現(xiàn)率由有息負(fù)債利率、經(jīng)營(yíng)性租賃利率及與預(yù)付預(yù)收項(xiàng)目之差和應(yīng)收應(yīng)付項(xiàng)目之差相匹配的機(jī)會(huì)成本替代。股東權(quán)益性與債務(wù)性自由現(xiàn)金流量折現(xiàn)率的加權(quán)平均即自由現(xiàn)金流量折現(xiàn)率。在更長(zhǎng)期內(nèi)，預(yù)測(cè)的有效性降低，折現(xiàn)率由與投資標(biāo)的相匹配的機(jī)會(huì)成本估算。公司價(jià)值受宏觀、行業(yè)等外部系統(tǒng)性風(fēng)險(xiǎn)因素影響，，管理層的職業(yè)道德和能力顯著影響公司價(jià)值最大化，并體現(xiàn)為公司的財(cái)務(wù)能力和競(jìng)爭(zhēng)優(yōu)勢(shì)。 五糧液案例分析說明白酒行業(yè)特性使五糧液收益性較好、受外部影響較小，但五糧液業(yè)績(jī)?nèi)耘c茅臺(tái)有較大差距，管理層能力平平且缺乏為股東服務(wù)意識(shí)，具有規(guī)模經(jīng)濟(jì)產(chǎn)生的低成本優(yōu)勢(shì)和產(chǎn)品特質(zhì)帶來的差異化優(yōu)勢(shì)。利用自由現(xiàn)金流量折現(xiàn)法，依據(jù)2007~2011年五糧液公司財(cái)務(wù)報(bào)告數(shù)據(jù)估算2012年初內(nèi)在價(jià)值為16.53元，遠(yuǎn)遠(yuǎn)低于市價(jià)33元，股價(jià)沒有安全邊際，五糧液不具有投資價(jià)值。
[Abstract]:Former Securities Regulatory Commission Chairman Guo Shuqing vigorously promote the concept of value investment, but investors are confused, do not know how to operate. Value investment is a kind of investment idea that takes investment action when the price is lower than the intrinsic value and presents a considerable margin of safety through detailed analysis of the internal value of the company. According to the concept of value investment, this paper studies on the basis of free cash flow and discount rate, and provides an analytical framework for evaluating the value of a company. According to China's accounting standards, free cash flow consists of four parts: net operating profit after tax adjustment, non-cash expenses, capital expenditure, and increment of working capital. The historical free cash flow can be directly calculated by using financial report data. In order to avoid the deviation caused by too many prediction parameters, the trend growth rate method is selected to estimate the expected growth rate of free cash flow. Under the assumption of investor rationality and capital structure invariance, according to the source of capital structure of free cash flow, it is divided into shareholder equity free cash flow and debt free cash flow. The discount rate of shareholders' equity free cash flow can be estimated by the sum of the expected return on net assets and the expected growth rate of net assets; Taking into account the economic cost of prepaid accounts receivable and the economic profitability of accounts payable in advance, that the discounted rate of debt free cash flows is interest bearing liability interest rates, Operating lease interest rate and opportunity cost replacement matching the difference between prepaid items and receivables and payable items. The weighted average of the free cash flow discount rate of shareholder equity and debt is the free cash flow discount rate. In the longer term, the effectiveness of the forecast is reduced, and the discount rate is estimated by the opportunity cost matching the investment target. Corporate value is influenced by external systemic risk factors, such as macro, industry, etc. The professional ethics and ability of management significantly affect the maximization of corporate value, and reflect the financial ability and competitive advantage of the company. The analysis of Wuliangye case shows that the characteristics of liquor industry make Wuliangye more profitable and less affected by external factors, but the performance of Wuliangye still has a big gap with that of Moutai, the management ability is flat and the consciousness of serving shareholders is lacking. It has the low cost advantage of scale economy and the differentiation advantage brought by product characteristics. According to the financial report data of Wuliangye Company from 2007 to 2011, the intrinsic value is 16.53 yuan at the beginning of 2012, which is far below the market value of 33 yuan. The stock price has no margin of safety, and Wuliangye has no investment value.
【學(xué)位授予單位】：湖北工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F275;F233

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