企业并购中目标企业价值评估研究
摘要
近年来，企业并购在我国愈演愈烈，并购中的核心内容就是对目标企业价值的评估。本文从现有的并购评估理论入手，针对并购中目标企业价值评估的特点，研究如何运用现金流贴现法、期权定价模型和EVA体系从不同的角度来评估目标企业价值。
本文首先探讨了并购中现金流贴现模型的理论和运用，研究在并购评估中如何确定模型中的参数。提出建立目标企业的行业、产业和财务分析等绩效预测体系，根据绩效来预测现金流状况和估算企业价值。期权定价模型作为一种衡量风险和收益的工具在并购评估中有很好的应用前景。本文接着研究了如何运用期权定价模型来评估并购机会，评估目标企业股权、债权价值和目标企业无形资产，并研究了模型的变形和模型的输入变量。EVA在国外已经被用于公司价值评估，本文探讨了EVA评估公司价值的理论和模型，分析了EVA及其相关的价值评估体系，探讨了如何从EVA的角度来衡量并购溢价。最后，本文通过华润三洋公司的并购案例实证分析了并购评估中现金流贴现法的运用。
Over recent years, corporate merge and acquisition (M&A) are booming in China. In the course of corporate merge and acquisition, the evaluation of target corporate value is rather essential. Proceeding with existing theories of such an evaluation, aiming at the characteristics of M&A, it analyses how to evaluate the target corporate value by means of DCF (discount of cash flow), the Options Pricing Model and EVA system.
At the first beginning, it explores the theory and analyses how to ascertain its parameters and the application of DCF , then puts forward the performance prediction system including the trade, industrial and financial analysis of the target corporate. Such a system can predict the probable status of cash flow and therefore help evaluate the corporate value. The optional pricing model, as a tool of measuring risk and return, has a bright prospect when being used in such an evaluation. Then It researches how to use that model to evaluate opportunities of merge and acquisition, the equity of the target corporate, the creditor value and intangible assets of the target corporate as well as variants and input variables of the model. EVA has been widely used in the evaluation of corporate value. It reviews the existing theory and model of using EVA to evaluate corporate value and analyses the EVA system as well as other relevant evaluation systems. Additionally, it explains how to measure added value of merge and
acquisition in terms of EVA. Finally, it makes a case study on the merge and acquisition of Huarun sanyoo company to demonstrate the application of DCF.
本文首先探讨了并购中现金流贴现模型的理论和运用，研究在并购评估中如何确定模型中的参数。提出建立目标企业的行业、产业和财务分析等绩效预测体系，根据绩效来预测现金流状况和估算企业价值。期权定价模型作为一种衡量风险和收益的工具在并购评估中有很好的应用前景。本文接着研究了如何运用期权定价模型来评估并购机会，评估目标企业股权、债权价值和目标企业无形资产，并研究了模型的变形和模型的输入变量。EVA在国外已经被用于公司价值评估，本文探讨了EVA评估公司价值的理论和模型，分析了EVA及其相关的价值评估体系，探讨了如何从EVA的角度来衡量并购溢价。最后，本文通过华润三洋公司的并购案例实证分析了并购评估中现金流贴现法的运用。
Over recent years, corporate merge and acquisition (M&A) are booming in China. In the course of corporate merge and acquisition, the evaluation of target corporate value is rather essential. Proceeding with existing theories of such an evaluation, aiming at the characteristics of M&A, it analyses how to evaluate the target corporate value by means of DCF (discount of cash flow), the Options Pricing Model and EVA system.
At the first beginning, it explores the theory and analyses how to ascertain its parameters and the application of DCF , then puts forward the performance prediction system including the trade, industrial and financial analysis of the target corporate. Such a system can predict the probable status of cash flow and therefore help evaluate the corporate value. The optional pricing model, as a tool of measuring risk and return, has a bright prospect when being used in such an evaluation. Then It researches how to use that model to evaluate opportunities of merge and acquisition, the equity of the target corporate, the creditor value and intangible assets of the target corporate as well as variants and input variables of the model. EVA has been widely used in the evaluation of corporate value. It reviews the existing theory and model of using EVA to evaluate corporate value and analyses the EVA system as well as other relevant evaluation systems. Additionally, it explains how to measure added value of merge and
acquisition in terms of EVA. Finally, it makes a case study on the merge and acquisition of Huarun sanyoo company to demonstrate the application of DCF.
引文
[1] Clark, John, J. Business Merger and Acquisitions Strategies Prentice hall, Englewood Cliffs NJ, 1985.
[2] 袁洁．论我国国有企业并购中企业价值的评估[J]．交通财会，2001．(2)
[3] Gordon, M. 1962. The investment, financing and valuation of the corporation. Homewood
[4] [美]汤姆·科普兰著 贾辉然译．价值评估[M]．北京：中国大百科全书出版社，1997
[5] Merton Miller. Franco Modigliani. Dividend Policy, Growth and the Valuation of Shares[J]. Journal of Business 1961
[6] Aswath Damodaran 著 朱武祥 邓海峰译．投资估价[M]．北京：清华大学出版社 1999．4
[7] Black, F. Scholes, M. The Pricing of Option and Corporate Liabilities[J]. Journal of Political Economy, 1973,81(3):637-659
[8] Green, Milford B. Mergers and Acquisitions: Geographical and Spatial Perpectives Routledge Books, London, 1990.
[9] Cox, J. C., Ross, S. A. and Rubinsten, M. Potionpricing:asimplified approach[J]. Journal of Financial Economics, 1979,(7):229-263
[10] Black, F. Scholes, M. 1972. The valuation of option contracts and a test of market efficiency. Journal of Finance 27:399—417.
[11] Estep, T. 1985. A new method for valuing common stocks. Financial Analysts Journal 41:26, 27, 30-33.
[12] Nir Kossovsky. Fair value of intellectual property, An option-based Valuation of nearly 8000 intellectual property assets [J] Journal of Intellectua1 Capital, 2002 Volume3, NO. 1
[13] 李延喜．基于EVA的企业业绩评价方法研究[J]．科学学与科学技术管理 2002．(9)
[14] 陆敏．企业价值评估方法及其在我国的应用前景[J]．国际金融研究 2002．(6)
[15] 喻剑．购并中的非上市企业价值评估[J]．上海理工大学学报 第24卷 第3期
[16] 邓培林．并购中CAMP资本资产定价模型与研究[J]．西南民族学院学报 2003．(2)
[17] 邱云．企业价值评估中的折现率和资本化率[J]．研究探索改革 2002．(11)
[18] 石晓军．非上市企业价值评价：基于CAPM的DCF方法与实证[J]．商业研究 2003．(3)
[19] 杨春鹏，伍海华．实物期权在专利权价值评估中的应用[J]．系统工程理论与实践 2002．(6)
[20] 周子康．期权定价理论在风险投资项目评估中的应用[J]．管理前沿 2000．(5)
[21] 杨晓云．经济增加值(EVA)方法的分析意义[J]．技术经济 2001．(7)
[22] 王庆芳 周子剑．EVA，价值评估与业绩评价的理论探讨[J]．当代财经 2001．(10)
[23] The Tobin tax:Reving a discussion, world development V26, March 1998.
[24] Kaplan, R.S., and R, Roll. 1972. Investor evaluation of accounting information: Some empirical evidence. Journal of Business 45:225—257.
[25] 沈维涛．企业价值评估模型与评估过程[J]．经济师 2001．(9)
[26] Levy, H., and Z. Lerman. Testing P/E ratio filters with stochastic dominance. Journal of Portfolio Management 11:31—40.
[27] Bethke, W. M., and S. E. Boyd. 1983. Should dividend discount models be yield-tilted? Journal of Port-folio management 9:2327.
[28] 李秀华，王广亮．企业并购决策中的价值评估[J]．建筑管理现代化 2001．(2)
[29] Haugen, R. A. 1990. Modern investment theory. Englewood Cliffs, N. J.: Prentice Hall.
[30] Jacobs, B. I., and K. N. Levy. 1988b. ON the value of "Value." Financial Analysts Journal 44:47—62.
[31] Ross, S. Westerfild, 1998, Corporate Finance, Times
Mirror/Mosby College Publishing P521-530
[32] The Appraisal Foundation, 1999. Uniform Standards of Professional Appraisal Practice (Washington, D.C.: The Appraisal Foundation), pp. 67-78.
[33] Palepu，Bernard&Healy．Introduction to Business Analysis &Valuation．东北财经大学出版社 2000．1
[34] 李青．FCF方法：评估公司价值的先进方法[J]．商业研究．2002．(7)
[35] Jensen, M. C. 1969. Risk, the pricing of capital assets and the evaluation of investment portfolios. Journal of Business 42:167—247.
[36] Roll, R. 1977. A critique of the asset pricing theory's tests: Part Ⅰ: On past and potential testability of theory. Journal of Financial Economics 4:129—176.
[37] Rosenberg, B., and V. Marathe. 1979. Tests of capital asset pricing hypotheses. Research in Finance 1: 115—124.
[38] Sarig, O., and A. Warga. 1989. Some empirical estimates of the term structure of interest rates. Journal of Finance 44:1351—1360.
[39] 赵强 苏一纯．企业价值评估中折现率的估算方法[J]．中国资产评估 2001．(6)
[40] 高坡．企业价值评估中折现率模型[J]．中国资产评估，2003．(2)
[41] 丁战．企业整体资产评估中折现率的确定方法[J]．东北大学学报 2002．(4)
[42] Kelliber, C. F. and Maboney, L. S. (2000). Using Monter Carlo simulation to improve long-term investment decisions. The Appraisal Journal, No. 44:44-56.
[43] Cannaday, R. E., 1991. A syustematic framework for alternative methods of the income approach. The real estate appraiser, No. 3:52-64.
[44] Patterson, D. E., Husar R. B., Wilson W. E. and Smith L. F. (1981). Monte Carlo simulation of daily regional sulfur distribution: comparison with SURE data and visibility observations during August 1977. J. Appl. Meteor. 20, 404-420.
[45] Liu, J. S., Liang F. and Wong, W. H. 2000. A theory for dynamic weighting in Monte Carlo computation. Journal of the American Statistical Association.
[46] 帕利普．伯纳德．希利．企业分析与评估[M]．大连：东北财经大学出版社，1998．4
[47] 左旭，董邦国．公司价值评估指标分析及应用[J]．上海会计 2002．(3)
[48] 范龙振，唐国兴．项目价值的期权评价方法[J]．系统工程学报 2001．(2)
[49] John C．Hull．Fundamentals of futures and options markets．[M] 清华大学出版社 2001．8
[50] Clifford W. Smith "Option Pricing:A review", Journal of Financial Economics 3(1976)P3-51
[51] 郑长德．布莱克——肖尔斯期权定价模型在公司价值评估中的应用[J]．中国管理科学 1999．(3)
[52] 代瑜，梁栋．资本投资抉择权理论在公司价值评估中的应用[J]．山西财经大学学报 2001．(8)
[53] John．C．Hill．期权货和其他生品[M]．北京：清华大学出版社，2001．9
[54] Peters, D. J. 1991. Valuing a growth stock. Journal of Portfolio Management 17:49—51.
[55] 郭民生，常林朝，张晓原，唐敬年．技术资产评估[M]．河北：中国物资出版社，1996．6
[56] 孙东川 赵建生 实物期权理论在高新技术企业估价中的应用[J]．企业经济 2003．(2)
[57] AT．埃巴．经济增加值如何为股东创造财富[M]．北京：立信会计出版社，2001．
[58] [英]菲尔·荷马斯著 王嗣俊，白玉明译．投资评价[M]．北京：机械工业出版社，1999．6
[59] 马忠．经济增加值的业绩评价方法的应用研究[J]．北方交通大学学报 2000．(5)．
[60] 张失治．EVA指标计算的探讨[J]．统计研究，1995，(1)．
[61] 戚海峰．试论EVA的经济本质[J]．山西财经大学学报，2001，(3)
[62] Al Ehrbar．EVA：财富创造的真谛．纽约：John Wiley & Sons出版社，1998
[2] 袁洁．论我国国有企业并购中企业价值的评估[J]．交通财会，2001．(2)
[3] Gordon, M. 1962. The investment, financing and valuation of the corporation. Homewood
[4] [美]汤姆·科普兰著 贾辉然译．价值评估[M]．北京：中国大百科全书出版社，1997
[5] Merton Miller. Franco Modigliani. Dividend Policy, Growth and the Valuation of Shares[J]. Journal of Business 1961
[6] Aswath Damodaran 著 朱武祥 邓海峰译．投资估价[M]．北京：清华大学出版社 1999．4
[7] Black, F. Scholes, M. The Pricing of Option and Corporate Liabilities[J]. Journal of Political Economy, 1973,81(3):637-659
[8] Green, Milford B. Mergers and Acquisitions: Geographical and Spatial Perpectives Routledge Books, London, 1990.
[9] Cox, J. C., Ross, S. A. and Rubinsten, M. Potionpricing:asimplified approach[J]. Journal of Financial Economics, 1979,(7):229-263
[10] Black, F. Scholes, M. 1972. The valuation of option contracts and a test of market efficiency. Journal of Finance 27:399—417.
[11] Estep, T. 1985. A new method for valuing common stocks. Financial Analysts Journal 41:26, 27, 30-33.
[12] Nir Kossovsky. Fair value of intellectual property, An option-based Valuation of nearly 8000 intellectual property assets [J] Journal of Intellectua1 Capital, 2002 Volume3, NO. 1
[13] 李延喜．基于EVA的企业业绩评价方法研究[J]．科学学与科学技术管理 2002．(9)
[14] 陆敏．企业价值评估方法及其在我国的应用前景[J]．国际金融研究 2002．(6)
[15] 喻剑．购并中的非上市企业价值评估[J]．上海理工大学学报 第24卷 第3期
[16] 邓培林．并购中CAMP资本资产定价模型与研究[J]．西南民族学院学报 2003．(2)
[17] 邱云．企业价值评估中的折现率和资本化率[J]．研究探索改革 2002．(11)
[18] 石晓军．非上市企业价值评价：基于CAPM的DCF方法与实证[J]．商业研究 2003．(3)
[19] 杨春鹏，伍海华．实物期权在专利权价值评估中的应用[J]．系统工程理论与实践 2002．(6)
[20] 周子康．期权定价理论在风险投资项目评估中的应用[J]．管理前沿 2000．(5)
[21] 杨晓云．经济增加值(EVA)方法的分析意义[J]．技术经济 2001．(7)
[22] 王庆芳 周子剑．EVA，价值评估与业绩评价的理论探讨[J]．当代财经 2001．(10)
[23] The Tobin tax:Reving a discussion, world development V26, March 1998.
[24] Kaplan, R.S., and R, Roll. 1972. Investor evaluation of accounting information: Some empirical evidence. Journal of Business 45:225—257.
[25] 沈维涛．企业价值评估模型与评估过程[J]．经济师 2001．(9)
[26] Levy, H., and Z. Lerman. Testing P/E ratio filters with stochastic dominance. Journal of Portfolio Management 11:31—40.
[27] Bethke, W. M., and S. E. Boyd. 1983. Should dividend discount models be yield-tilted? Journal of Port-folio management 9:2327.
[28] 李秀华，王广亮．企业并购决策中的价值评估[J]．建筑管理现代化 2001．(2)
[29] Haugen, R. A. 1990. Modern investment theory. Englewood Cliffs, N. J.: Prentice Hall.
[30] Jacobs, B. I., and K. N. Levy. 1988b. ON the value of "Value." Financial Analysts Journal 44:47—62.
[31] Ross, S. Westerfild, 1998, Corporate Finance, Times
Mirror/Mosby College Publishing P521-530
[32] The Appraisal Foundation, 1999. Uniform Standards of Professional Appraisal Practice (Washington, D.C.: The Appraisal Foundation), pp. 67-78.
[33] Palepu，Bernard&Healy．Introduction to Business Analysis &Valuation．东北财经大学出版社 2000．1
[34] 李青．FCF方法：评估公司价值的先进方法[J]．商业研究．2002．(7)
[35] Jensen, M. C. 1969. Risk, the pricing of capital assets and the evaluation of investment portfolios. Journal of Business 42:167—247.
[36] Roll, R. 1977. A critique of the asset pricing theory's tests: Part Ⅰ: On past and potential testability of theory. Journal of Financial Economics 4:129—176.
[37] Rosenberg, B., and V. Marathe. 1979. Tests of capital asset pricing hypotheses. Research in Finance 1: 115—124.
[38] Sarig, O., and A. Warga. 1989. Some empirical estimates of the term structure of interest rates. Journal of Finance 44:1351—1360.
[39] 赵强 苏一纯．企业价值评估中折现率的估算方法[J]．中国资产评估 2001．(6)
[40] 高坡．企业价值评估中折现率模型[J]．中国资产评估，2003．(2)
[41] 丁战．企业整体资产评估中折现率的确定方法[J]．东北大学学报 2002．(4)
[42] Kelliber, C. F. and Maboney, L. S. (2000). Using Monter Carlo simulation to improve long-term investment decisions. The Appraisal Journal, No. 44:44-56.
[43] Cannaday, R. E., 1991. A syustematic framework for alternative methods of the income approach. The real estate appraiser, No. 3:52-64.
[44] Patterson, D. E., Husar R. B., Wilson W. E. and Smith L. F. (1981). Monte Carlo simulation of daily regional sulfur distribution: comparison with SURE data and visibility observations during August 1977. J. Appl. Meteor. 20, 404-420.
[45] Liu, J. S., Liang F. and Wong, W. H. 2000. A theory for dynamic weighting in Monte Carlo computation. Journal of the American Statistical Association.
[46] 帕利普．伯纳德．希利．企业分析与评估[M]．大连：东北财经大学出版社，1998．4
[47] 左旭，董邦国．公司价值评估指标分析及应用[J]．上海会计 2002．(3)
[48] 范龙振，唐国兴．项目价值的期权评价方法[J]．系统工程学报 2001．(2)
[49] John C．Hull．Fundamentals of futures and options markets．[M] 清华大学出版社 2001．8
[50] Clifford W. Smith "Option Pricing:A review", Journal of Financial Economics 3(1976)P3-51
[51] 郑长德．布莱克——肖尔斯期权定价模型在公司价值评估中的应用[J]．中国管理科学 1999．(3)
[52] 代瑜，梁栋．资本投资抉择权理论在公司价值评估中的应用[J]．山西财经大学学报 2001．(8)
[53] John．C．Hill．期权货和其他生品[M]．北京：清华大学出版社，2001．9
[54] Peters, D. J. 1991. Valuing a growth stock. Journal of Portfolio Management 17:49—51.
[55] 郭民生，常林朝，张晓原，唐敬年．技术资产评估[M]．河北：中国物资出版社，1996．6
[56] 孙东川 赵建生 实物期权理论在高新技术企业估价中的应用[J]．企业经济 2003．(2)
[57] AT．埃巴．经济增加值如何为股东创造财富[M]．北京：立信会计出版社，2001．
[58] [英]菲尔·荷马斯著 王嗣俊，白玉明译．投资评价[M]．北京：机械工业出版社，1999．6
[59] 马忠．经济增加值的业绩评价方法的应用研究[J]．北方交通大学学报 2000．(5)．
[60] 张失治．EVA指标计算的探讨[J]．统计研究，1995，(1)．
[61] 戚海峰．试论EVA的经济本质[J]．山西财经大学学报，2001，(3)
[62] Al Ehrbar．EVA：财富创造的真谛．纽约：John Wiley & Sons出版社，1998