【摘要】：收益法評估是資產(chǎn)評估方法中最為準(zhǔn)確科學(xué)的評估方法，其中主要涉及收益額、折現(xiàn)率、收益期限這三個(gè)參數(shù)的估值問題。由于被評估對象處于不斷變化的市場中，評估客體不僅受到了來自外部環(huán)境中的宏觀因素的影響，內(nèi)部的微觀因素也對其有一定的影響，這就導(dǎo)致了在應(yīng)用收益法評估的過程中參數(shù)的不確定性。對于不確定性的影響可以用概率論與數(shù)理統(tǒng)計(jì)的相關(guān)理論來進(jìn)行描述，通過對歷史數(shù)據(jù)的分析可得出參數(shù)的隨機(jī)變量及其參數(shù)。傳統(tǒng)方法是以完全信息為假設(shè)，忽略了收益法評估中的不確定性因素，通常得出的評估結(jié)果是點(diǎn)估計(jì)。無論是在理論界還是實(shí)務(wù)界，越來越多的專家和評估從業(yè)人員對這種以確定性為基礎(chǔ)所得出的點(diǎn)估計(jì)的評估結(jié)果的合理性表現(xiàn)出質(zhì)疑。本文對收益法在企業(yè)價(jià)值評估中的應(yīng)用進(jìn)行探討，從而對蒙特卡羅模擬在收益法應(yīng)用得到以管窺豹的啟示和作用，而在企業(yè)價(jià)值評估中收益法的具體應(yīng)用的主要體現(xiàn)是自由現(xiàn)金流量折現(xiàn)模型。 本文以收益法在資產(chǎn)評估中的不確定性為突破口，并結(jié)合收益法在企業(yè)價(jià)值評估中的具體應(yīng)用——自由現(xiàn)金流量折現(xiàn)模型（DCF模型）中所存在的問題進(jìn)行了研究分析。本文首先對傳統(tǒng)的自由現(xiàn)金流量折現(xiàn)模型進(jìn)行了分析，并介紹了收益額、收益期和折現(xiàn)率這三個(gè)主要參數(shù)的確定方法；其次對資產(chǎn)評估中所存在的不確定性以及來源進(jìn)行了分析，構(gòu)造了含有這些不確定性因素的DCF模型，以現(xiàn)有數(shù)據(jù)和專家意見法兩種方法對參數(shù)的所符合的隨機(jī)變量進(jìn)行了論述，同時(shí)也對參數(shù)的相關(guān)性處理進(jìn)行了研究，提出了將不可重復(fù)重大事件考慮到模型之中的思想。 最后，結(jié)合自由現(xiàn)金流量折現(xiàn)模型的特點(diǎn)和蒙特卡羅模擬方法要點(diǎn)和步驟，建立了以蒙特卡羅模擬方法為基礎(chǔ)的收益法評估的步驟，，并對重要環(huán)節(jié)進(jìn)行了詳細(xì)的論述。結(jié)合實(shí)際案例，分別以傳統(tǒng)的企業(yè)價(jià)值評估方法和以蒙特卡羅模擬為基礎(chǔ)的企業(yè)價(jià)值評估法進(jìn)行了算例分析。比較兩種方法所得的評估結(jié)果，得出以蒙特卡羅模擬為基礎(chǔ)的企業(yè)價(jià)值評估方法所的區(qū)間估計(jì)更為客觀、可靠以及準(zhǔn)確，對于評估結(jié)果的使用者做出決策更有參考價(jià)值。
[Abstract]:Income assessment is the most accurate and scientific evaluation method in asset evaluation, which mainly involves the valuation of three parameters, namely, the amount of income, discount rate, and the period of income. Because the evaluated object is in the changing market, the evaluation object is not only affected by the macro factors from the external environment, but also by the internal micro factors. This leads to the uncertainty of the parameters in the process of applying the income method. The influence of uncertainty can be described by the theory of probability and mathematical statistics, and the random variables and their parameters can be obtained by analyzing the historical data. The traditional method is based on the assumption of complete information and neglects the uncertain factors in the income assessment. Whether in theory or practice, more and more experts and practitioners question the reasonableness of the point estimation based on certainty. In this paper, the application of income method in enterprise value assessment is discussed, and the enlightenment and function of Monte Carlo simulation in income method are discussed. The discounted free cash flow model is the main embodiment of the application of income method in enterprise value evaluation. In this paper, the uncertainty of income approach in asset evaluation is taken as the breakthrough point, and the problems existing in the free cash flow discount model (DCF model), which is the concrete application of income method in enterprise value assessment, are analyzed. In this paper, the traditional discount model of free cash flow is analyzed, and the methods of determining the three main parameters, namely, the amount of income, the period of income and the discount rate, are introduced. Secondly, the uncertainty and source of asset evaluation are analyzed, and the DCF model with these uncertain factors is constructed. By using the existing data and expert opinion method, the consonant random variables of the parameters are discussed. At the same time, the correlation processing of parameters is studied, and the idea of taking non-repeatable important events into account in the model is put forward. Finally, combining the characteristics of the free cash flow discount model and the main points and steps of Monte Carlo simulation method, the paper establishes the steps of income assessment based on Monte Carlo simulation method, and discusses the important links in detail. Combined with the actual cases, the paper analyzes the traditional enterprise value evaluation method and the Monte Carlo simulation method based on the enterprise value evaluation method. Comparing the evaluation results obtained by the two methods, it is concluded that the interval estimation of the enterprise value evaluation method based on Monte Carlo simulation is more objective, reliable and accurate, and it is more valuable for the users of the evaluation results to make decisions.
【學(xué)位授予單位】：河北農(nóng)業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F233

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