本文選題：不完全市場 + 效用函數(shù)��； 參考：《蘇州大學》2014年碩士論文

【摘要】：隨著中國的經(jīng)濟規(guī)模不斷擴大，相應的資本市場也在逐漸發(fā)展，資產(chǎn)權益的定價問題將越來越受到重視。 本文主要研究了公司股權的定價估值問題。我們把公司股票看成是以股息作為收益、標的量是各種現(xiàn)金流的永久合同，選擇每股賬面價值、每股凈收益、凈收益增速以及隨機紅利政策作為影響因子，并用隨機微分方程刻畫它們的變動，，建立了一個公司股權價值模型。同時考慮市場因素的影響，引入可交易經(jīng)濟指標和換手率這兩個市場因子，建立了第二個價值模型。在此基礎上，利用CARA無差異定價理論對兩個價值模型分別導出了它們的定價偏微分方程組，并在某些特定情況下得到了它們的解析解，即公司股權的定價表達式。進一步地，我們用滬深A股市場上的上市公司對所得到的定價表達式進行了實證分析，從實證結果可以看出，引入市場因素的第二個模型能夠較準確地反映公司實際股價的走勢。因此我們的研究在股票投資的市場價值分析上具有一定的指導意義，并有望對模型進行改進，得到更為精確的定價模型，應用于實際。
[Abstract]:With the expansion of Chinese economy and the development of capital market, more and more attention will be paid to the pricing of asset equity. This paper mainly studies the pricing and valuation of company equity. We regard company stock as dividend as income, target amount as permanent contract of all kinds of cash flow, choose book value per share, net income growth rate and random bonus policy as influence factors. The stochastic differential equation is used to describe their changes and a corporate equity value model is established. At the same time, considering the influence of market factors, the second value model is established by introducing two market factors: tradable economic index and turnover rate. On this basis, two value models are derived by using CARA's non-differential pricing theory, and their analytical solutions are obtained in some special cases, that is, the pricing expression of the company's equity. Furthermore, we use the listed companies in the Shanghai and Shenzhen A-share markets to make an empirical analysis of the pricing expressions obtained. From the empirical results, we can see that, The second model, which introduces market factors, can accurately reflect the actual stock price trend. Therefore, our research has a certain guiding significance in the market value analysis of stock investment, and it is expected to improve the model and get a more accurate pricing model, which can be applied to practice.
【學位授予單位】：蘇州大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F275

【參考文獻】

相關期刊論文 前1條

1 Srdjan D.STOJANOVIC;;INTEREST RATE RISK PREMIUM AND EQUITY VALUATION[J];Journal of Systems Science & Complexity;2010年03期

本文編號：1945421