资产定价理论应用于风险投资中的局限性及创新方向研究
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摘要
风险投资的兴起带动了科技创新的发展,从而成为当今世界各国经济发展的重要推动力。在风险资本与科技产业并驾齐驱快速发展的背后,蕴藏着其产业本身巨大的金融经济价值,同时也蕴藏着风险投融资活动中资产定价和风险管理系统混乱所带来的隐患。本研究旨在通过对风险投资行为的深入剖析和对资产定价理论的逻辑梳理,对标准资产定价模型在风险投资中的适用性问题得出一定程度的分析与解决。
本研究主要回答两个问题：(1)标准的资产定价理论是否适用于风险投资,主要局限性表现在哪些方面；(2)标准资产定价理论能否通过改进使之适用于风险投资,模型应该怎样设定,有哪些创新的方向。针对第一个问题,本文首先分析了标准资产定价理论的思想框架和组成部分；其次在对照的基础上深入剖析了风险投资过程的特性,即风险投资中的资产定价一方面是创业风险主导的定价,另一方面投资行为本身也内含并创造了一定价值,而且风险资产的价值还受到投融资契约的显著影响；由此得出标准理论应用于风险投资中的八点局限性。针对第二个问题,本文从现实世界的实践经验角度出发,通过介绍国际上的成功案例提供定价思路；继而根据风险投资的各项特点,提出各具体模型在风险投资中各个阶段的适用性；然后研究了如何通过对现金流贴现模型和实物期权模型前提假设和模型设定的调整,构造应用于风险投资中的定价模型,主要包括如何根据创业风险调整贴现率,如何预测风险投资未来现金流,风险投资中包括哪些实物期权,如何评估这些实物期权的价值等等；最后考虑到研究能力和时间的限制,针对本研究的不足以及风险投资实践资产定价的需求,提出了未来的创新方向。
The rise of venture capital pushes forward the development of scientific and technological innovation, now becoming an important impetus for economic development all around the world. Behind the rapid development of venture capital keeping pace with science and technology industry, the industry itself bears a huge financial and economic value, but also bears hidden dangers caused by the disorder of the asset pricing and risk management system in venture investment and financing activities. This study intends to through in-depth analysis of venture capital behavior and the logic of asset pricing theory, to a certain degree analyze and solve the applicability of standard asset pricing model in venture capital.
This study mainly answers two questions:(1) whether standard asset pricing theory can apply to venture capital, in what aspects there are the major limitations; (2) whether the standard asset pricing theory can be improved to apply to venture capital, how the model should be set, what can be the direction of innovation. For the first question, the paper first analyzes the ideological framework and components of the standard asset pricing theory; then on the basis of comparison, the paper studies the characteristics of venture capital process in-depth, namely, in one hand, asset pricing in venture capital is the pricing led by entrepreneurial risk, in the other hand, investment behavior itself also contains and creates a certain value and the value of risky assets has been significantly affected by the investment and financing contract; from these, we get eight limitations of the standard theory when it is applied to the venture capital. For the second question, from the perspective of the real-world practical experience, this paper provides pricing ideas by introducing the international successful cases; then according to the characteristics of venture capital, raises the applicability of each specific model in the various stages of venture capital; afterwards, study how to construct pricing model applied to venture capital through adjusting assumptions and model specification of discounted cash flow model and the real option model, mainly including how to adjust the discount rate based on the entrepreneurial risk, how to predict the future cash flows of venture capital, what kind of real options are included in venture capital, how to assess the value of these real options, etc.; finally, in consideration of the research capacity and time constraints, for the defects of this research and the demand for practice of asset pricing in venture capital, the paper sets out the future direction of innovation.
本研究主要回答两个问题：(1)标准的资产定价理论是否适用于风险投资,主要局限性表现在哪些方面；(2)标准资产定价理论能否通过改进使之适用于风险投资,模型应该怎样设定,有哪些创新的方向。针对第一个问题,本文首先分析了标准资产定价理论的思想框架和组成部分；其次在对照的基础上深入剖析了风险投资过程的特性,即风险投资中的资产定价一方面是创业风险主导的定价,另一方面投资行为本身也内含并创造了一定价值,而且风险资产的价值还受到投融资契约的显著影响；由此得出标准理论应用于风险投资中的八点局限性。针对第二个问题,本文从现实世界的实践经验角度出发,通过介绍国际上的成功案例提供定价思路；继而根据风险投资的各项特点,提出各具体模型在风险投资中各个阶段的适用性；然后研究了如何通过对现金流贴现模型和实物期权模型前提假设和模型设定的调整,构造应用于风险投资中的定价模型,主要包括如何根据创业风险调整贴现率,如何预测风险投资未来现金流,风险投资中包括哪些实物期权,如何评估这些实物期权的价值等等；最后考虑到研究能力和时间的限制,针对本研究的不足以及风险投资实践资产定价的需求,提出了未来的创新方向。
The rise of venture capital pushes forward the development of scientific and technological innovation, now becoming an important impetus for economic development all around the world. Behind the rapid development of venture capital keeping pace with science and technology industry, the industry itself bears a huge financial and economic value, but also bears hidden dangers caused by the disorder of the asset pricing and risk management system in venture investment and financing activities. This study intends to through in-depth analysis of venture capital behavior and the logic of asset pricing theory, to a certain degree analyze and solve the applicability of standard asset pricing model in venture capital.
This study mainly answers two questions:(1) whether standard asset pricing theory can apply to venture capital, in what aspects there are the major limitations; (2) whether the standard asset pricing theory can be improved to apply to venture capital, how the model should be set, what can be the direction of innovation. For the first question, the paper first analyzes the ideological framework and components of the standard asset pricing theory; then on the basis of comparison, the paper studies the characteristics of venture capital process in-depth, namely, in one hand, asset pricing in venture capital is the pricing led by entrepreneurial risk, in the other hand, investment behavior itself also contains and creates a certain value and the value of risky assets has been significantly affected by the investment and financing contract; from these, we get eight limitations of the standard theory when it is applied to the venture capital. For the second question, from the perspective of the real-world practical experience, this paper provides pricing ideas by introducing the international successful cases; then according to the characteristics of venture capital, raises the applicability of each specific model in the various stages of venture capital; afterwards, study how to construct pricing model applied to venture capital through adjusting assumptions and model specification of discounted cash flow model and the real option model, mainly including how to adjust the discount rate based on the entrepreneurial risk, how to predict the future cash flows of venture capital, what kind of real options are included in venture capital, how to assess the value of these real options, etc.; finally, in consideration of the research capacity and time constraints, for the defects of this research and the demand for practice of asset pricing in venture capital, the paper sets out the future direction of innovation.
引文
1徐永前,李宇龙.2001：“风险投资法律实务”[M],企业管理出版社.
2孙淑红编著.2002：“风险投资与融资”[M],对外经济贸易大学出版社.
3 Gompers P. A., Lerner J.,1999:"The Venture Capital Cycle"[M], Cambridge:MIT Press.
4 Fama E.,1970:"Efficient capital markets:a review of theory and empirical work"[J], Journal of Finance 25, 383-417.
5 Markowitz M.,1952:" Portfolio Selection"[J], Journal of Finance,7 (1), pp.77-91.
Sharpe W.,1964:"Capital Asset Prices:A Theory of Capital Market Equilibrium under Conditions of risk"[J], Journal of Finance,19, pp.425-442.
Lintner L,1965:" The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets"[J], Review of economies and Statistics,47,P13-37.
8Black F.,1972:"Capital market equilibrium with restricted borrowing"[J], Journal of Business,45.
9Merton Robert C,1973:"An intertemporal capital asset pricing model"[J], Econometrica,41, p867-887.
10Ross S.,1976:" Arbitrage Theory of Capital Asset Pricing"[J], Journal of Economic Theory,13, pp.341-360.
11Black F., Scholes M.S.,1973:"The pricing of options and corporate liabilities"[J]. Journal of political Economy, 81.
12Cochran John H.,2000:"Asset pricing"[M], University of Chicago Press
I3rving Fisher.,1927:"The Nature of Capital and lncome"[M], New York:The Macmillan co..
14 Hayes R., D. Garvin,1982:"Managing as if tomorrow mattered"[J], Harvard Business Review,60,No.3.
15 Myers C,1977:"Determinants of Corporate Borrowing"[J], Journal of Financial Economies,5(2):325-364.
16 Mason S P., Merton R C,1985:"The Role of Contingent Claim Analysis in Corporate Finance"[J], Recent Advances in Corporate Finance:7-5.
17 Cox J., Ingersoll J., Ross S.,1985:"An Intertemporal General Equilibrium Model of Asset Prices"[J], Econometrica.53:363-384.
18 Trigeorgis L,1991:"Anticipated competitive entry and early preemptive investment in deferrable projects"[J], Journal of Economies and Business,43(2):143-156.
19 Schwartz E.S, Moon.,2000:"Rational Pricing of Internet Companies"[J], Financial Analysts Journal, 2000(3):7-26.
20刘曼红,胡波.2004：“风险投资理论：投资过程研究的理论发展和前沿”[J].国际金融研究,第(3)期.
21陈一博.2010：“风险投资中的企业估值问题研究”[J].金融理论与实践,第(1)期.
22张绍璞,马薇.1998：“企业风险投资决策的计算方法”[J],天津轻工业学院学报,第1期.
23张维,程功.2001：“实物期权方法的信息经济学解释”[J],现代财经,第21(1)期.
24迟建新.2009：“创业企业融资定价方法的适用性研究”[J].经济与管理研究,第(11)期.
25陈永庆.2001：“期权理念在风险投资决策中的应用”[Jl,管理工程学报,第15(2)期.
26谈毅,赵明清等.1999：“高新技术产业风险投资的期权特征与经济评价”[J],科研管理,第20(3)期.
27沈洪,赵明清等.2001：“基于美式期权估价的风险投资策略研究”[J]，山东科技大学学报,第20(4)期.
28李焰,刘丹.2003：“实物期权、二项式定价模型与融资结构——不确定性环境下初创企业融资决策探讨”[J].财经研究,第(5)期.
29赵振武,鲁春晓.2011：“风险投资项目价值评估的多阶段复合实物期权模型”[J].系统管理学报,第(1)期.
30Schumpeter J.A.,1934:"The Theory of Economic Development"[M], Harvard University Press.
32 Steven N. Kaplan, Per Stroemberg,2003:"Financial contracting theory meets the real world:An empirical analysis of venture capital contracts"[J], The Review of Economic Studies, Vol.70.
33 Tyebjee Tyzoon T., Albert V. Bruno. A.,1984:" Model of Venture Capitalist Investment Activity"[J],Management Science,9.
34 Keeley, Robert H., Punjabi, Sanjeev,1996:'Valuation of early stage ventureroption valuation models vs traditional approaches"[J], Journal of Entrepreneurial & Small Business Finance, Vol 5, pp.P114-138.
Fama Eugene, Kenneth French,1993:"Common Risk Factors in the Returns on Stocks and Bonds"[J], Journal of Financial Economics 33(1),3-56.
36 Pastor Lubos, Robert Stambaugh,2003:"Liquidity Risk and Expected Stock Returns"[J], Journal of Political Economy 111(3),624-685.
[1]Black F.,1972:"Capital market equilibrium with restricted borrowing"[J], Journal of Business,45.
[2]Black F., Scholes M.S.,1973:"The pricing of options and corporate liabilities''^], Journal of political Economy,81.
[3]Cochran John H.,2000:"Asset pricing"[M], University of Chicago Press
[4]Cox J., Ingersoll J., Ross S.,1985:"An Intertemporal General Equilibrium Model of Asset Prices"[J], Econometrica,53:363-384.
[5]Fama Eugene, Kenneth French,1993:"Common Risk Factors in the Returns on Stocks and Bonds"[J], Journal of Financial Economics 33(1),3-56.
[6]Fama E.,1970:"Efficient capital markets:a review of theory and empirical work"[J], Journal of Finance,25,383-417.
[7]Gompers P. A., Lerner J.,1999:"The Venture Capital Cycle"[M], Cambridge:MIT Press.
[8]Hayes R., D. Garvin,1982:"Managing as if tomorrow mattered"[J], Harvard Business Review,60, No.3.
[9]Irving Fisher.,1927:"The Nature of Capital and Income"[M], New York:The Macmillan co.
[10]Keeley Robert H., Punjabi Sanjeev,1996:"Valuation of Early Stage Venture:Option Valuation Models v.s. Traditional Approaches"[J], Journal of Entrepreneurial & Small Business Finance, Vol.5, Issue2, P114.
[11]Lintner L.,1965:" The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets"[J], Review of economies and Statistics,47,P13-37.
[12]Markowitz M.,1952:" Portfolio Selection"[J], Journal of Finance,1 (1), pp.77-91.
[13]Mason S P., Merton R C,1985:"The Role of Contingent Claim Analysis in Corporate Finance"[J], Recent Advances in Corporate Finance,7,5.
[14]Merton Robert C,1973:"An intertemporal capital asset pricing model"[J], Econometrica,41, p867-887.
[15]Myers C,1977:"Determinants of Corporate Borrowing"[J], Journal of Financial Economies, 5(2):325-364.
[16]Pastor Lubos, Robert Stambaugh,2003:"Liquidity Risk and Expected Stock Returns"[J], Journal of Political Economy,111 (3),624-685.
[17]Ross S.,1976:" Arbitrage Theory of Capital Asset Pricing"[J], Journal of Economic Theory, 13, pp.341-360.
[18]Schumpeter J.A.,1934:"The Theory of Economic Development"[M], Harvard University Press.
[19]Schwartz E.S, Moon.,2000:"Rational Pricing of Internet Companies"[J], Financial Analysts Journal,2000(3):7-26.
[20]Sharpe W.,1964:"Capital Asset Prices:A Theory of Capital Market Equilibrium under Conditions of risk"[J], Journal of Finance,19, pp.425-442.
[21]Steven N. Kaplan, Per Stroemberg,2003:"Financial contracting theory meets the real world: An empirical analysis of venture capital contracts"[J], The Review of Economic Studies, Vol.70.
[22]Trigeorgis L.,1991:"Anticipated competitive entry and early preemptive investment in deferrable projects"[J], Journal of Economies and Business,43(2):143-156.
[23]Tyebjee Tyzoon T., Albert V. Bruno. A.,1984:" Model of Venture Capitalist Investment Activity"[J], Management Science,9.
[24]迟建新.2009：“创业企业融资定价方法的适用性研究”[J].经济与管理研究,第(11)期.
[25]陈一博.2010：“风险投资中的企业估值问题研究”[J].金融理论与实践,第(1)期.
[26]陈永庆.2001：“期权理念在风险投资决策中的应用”[J],管理工程学报,第15(2)期.
[27]邓琼.1999：“风险投资项目评估决策”[J].中国科技信息,第(19)期.
[28]方曙,武振业.2001：“实物期权理论及其在企业决策中的应用”[J],科学管理研究,第19(2)期.
[29]刘曼红,胡波.2004：“风险投资理论：投资过程研究的理论发展和前沿”[J].国际金融研究,第(3)期.
[30]李焰,刘丹.2003：“实物期权、二项式定价模型与融资结构——不确定性环境下初创企业融资决策探讨”[J].财经研究,第(5)期.
[31]沈洪,赵明清等.2001：“基于美式期权估价的风险投资策略研究”[J],山东科技大学学报,第20(4)期.
[32]孙淑红.2002：“风险投资与融资”[M],对外经济贸易大学出版社.
[33]谈毅,赵明清等.1999：“高新技术产业风险投资的期权特征与经济评价”[J],科研管理,第20(3)期.
[34]徐永前,李宇龙.2001：“风险投资法律实务”[M],企业管理出版社.
[35]应可慧.2010：“投资组合的风险度量问题研究”[J].学术界,第(12)期.
[36]颜莉,黄卫来.2007：“初创期高新技术企业价值评估研究”[J].研究与发展管理,第(6)期.
[37]晏文隽,郭菊娥.2011：“风险投资估值调整协议的实物期权价值及其应用”[J].运筹与管理,第(1)期.
[38]朱东辰,余津津.2003：“论风险投资中的风险企业价值评估：一种基于多阶段复合实物期权的分析”[J],科研管理,第4期.
[39]张陆洋.2007：“风险投资导论——科技企业创业与风险投资”[M],复旦大学出版社.
[40]张陆洋.2010：“创业—组合投资理论与实务”[M],复旦大学出版社.
[41]张绍璞,马薇.1998：“企业风险投资决策的计算方法”[J],天津轻工业学院学报,第1期.
[42]张维,程功.2001：“实物期权方法的信息经济学解释”[J],现代财经,第21(1)期.
[43]赵振武,鲁春晓.2011：“风险投资项目价值评估的多阶段复合实物期权模型”[J].系统管理学报,第(1)期.
2孙淑红编著.2002：“风险投资与融资”[M],对外经济贸易大学出版社.
3 Gompers P. A., Lerner J.,1999:"The Venture Capital Cycle"[M], Cambridge:MIT Press.
4 Fama E.,1970:"Efficient capital markets:a review of theory and empirical work"[J], Journal of Finance 25, 383-417.
5 Markowitz M.,1952:" Portfolio Selection"[J], Journal of Finance,7 (1), pp.77-91.
Sharpe W.,1964:"Capital Asset Prices:A Theory of Capital Market Equilibrium under Conditions of risk"[J], Journal of Finance,19, pp.425-442.
Lintner L,1965:" The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets"[J], Review of economies and Statistics,47,P13-37.
8Black F.,1972:"Capital market equilibrium with restricted borrowing"[J], Journal of Business,45.
9Merton Robert C,1973:"An intertemporal capital asset pricing model"[J], Econometrica,41, p867-887.
10Ross S.,1976:" Arbitrage Theory of Capital Asset Pricing"[J], Journal of Economic Theory,13, pp.341-360.
11Black F., Scholes M.S.,1973:"The pricing of options and corporate liabilities"[J]. Journal of political Economy, 81.
12Cochran John H.,2000:"Asset pricing"[M], University of Chicago Press
I3rving Fisher.,1927:"The Nature of Capital and lncome"[M], New York:The Macmillan co..
14 Hayes R., D. Garvin,1982:"Managing as if tomorrow mattered"[J], Harvard Business Review,60,No.3.
15 Myers C,1977:"Determinants of Corporate Borrowing"[J], Journal of Financial Economies,5(2):325-364.
16 Mason S P., Merton R C,1985:"The Role of Contingent Claim Analysis in Corporate Finance"[J], Recent Advances in Corporate Finance:7-5.
17 Cox J., Ingersoll J., Ross S.,1985:"An Intertemporal General Equilibrium Model of Asset Prices"[J], Econometrica.53:363-384.
18 Trigeorgis L,1991:"Anticipated competitive entry and early preemptive investment in deferrable projects"[J], Journal of Economies and Business,43(2):143-156.
19 Schwartz E.S, Moon.,2000:"Rational Pricing of Internet Companies"[J], Financial Analysts Journal, 2000(3):7-26.
20刘曼红,胡波.2004：“风险投资理论：投资过程研究的理论发展和前沿”[J].国际金融研究,第(3)期.
21陈一博.2010：“风险投资中的企业估值问题研究”[J].金融理论与实践,第(1)期.
22张绍璞,马薇.1998：“企业风险投资决策的计算方法”[J],天津轻工业学院学报,第1期.
23张维,程功.2001：“实物期权方法的信息经济学解释”[J],现代财经,第21(1)期.
24迟建新.2009：“创业企业融资定价方法的适用性研究”[J].经济与管理研究,第(11)期.
25陈永庆.2001：“期权理念在风险投资决策中的应用”[Jl,管理工程学报,第15(2)期.
26谈毅,赵明清等.1999：“高新技术产业风险投资的期权特征与经济评价”[J],科研管理,第20(3)期.
27沈洪,赵明清等.2001：“基于美式期权估价的风险投资策略研究”[J]，山东科技大学学报,第20(4)期.
28李焰,刘丹.2003：“实物期权、二项式定价模型与融资结构——不确定性环境下初创企业融资决策探讨”[J].财经研究,第(5)期.
29赵振武,鲁春晓.2011：“风险投资项目价值评估的多阶段复合实物期权模型”[J].系统管理学报,第(1)期.
30Schumpeter J.A.,1934:"The Theory of Economic Development"[M], Harvard University Press.
32 Steven N. Kaplan, Per Stroemberg,2003:"Financial contracting theory meets the real world:An empirical analysis of venture capital contracts"[J], The Review of Economic Studies, Vol.70.
33 Tyebjee Tyzoon T., Albert V. Bruno. A.,1984:" Model of Venture Capitalist Investment Activity"[J],Management Science,9.
34 Keeley, Robert H., Punjabi, Sanjeev,1996:'Valuation of early stage ventureroption valuation models vs traditional approaches"[J], Journal of Entrepreneurial & Small Business Finance, Vol 5, pp.P114-138.
Fama Eugene, Kenneth French,1993:"Common Risk Factors in the Returns on Stocks and Bonds"[J], Journal of Financial Economics 33(1),3-56.
36 Pastor Lubos, Robert Stambaugh,2003:"Liquidity Risk and Expected Stock Returns"[J], Journal of Political Economy 111(3),624-685.
[1]Black F.,1972:"Capital market equilibrium with restricted borrowing"[J], Journal of Business,45.
[2]Black F., Scholes M.S.,1973:"The pricing of options and corporate liabilities''^], Journal of political Economy,81.
[3]Cochran John H.,2000:"Asset pricing"[M], University of Chicago Press
[4]Cox J., Ingersoll J., Ross S.,1985:"An Intertemporal General Equilibrium Model of Asset Prices"[J], Econometrica,53:363-384.
[5]Fama Eugene, Kenneth French,1993:"Common Risk Factors in the Returns on Stocks and Bonds"[J], Journal of Financial Economics 33(1),3-56.
[6]Fama E.,1970:"Efficient capital markets:a review of theory and empirical work"[J], Journal of Finance,25,383-417.
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