折现现金流量估价模型一致性研究
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摘要
各种折现现金流估价模型已经被估价者和研究者广泛的应用于实际的估价工作中，而运用不同的折现现金流估价模型对同一公司进行估价得到不同估价结果的情况经常出现，很多人认为这种情况是正常的，原因是使用了不同的估价模型。本文对运用四种折现现金流估价模型(自由现金流折现估价模型、股权现金流折现估价模型、资本现金流折现估价模型和调整现值法)得到的估价结果是否是一致的进行深入的探讨。
首先本文介绍了折现估价模型传统的表达式，并且认为传统的折现现金流估价模型无法适用于折现率不断变化情况，因此改进了传统的折现现金流估价模型，使模型使用范围扩大。同时界定了四种模型现金流的表达式以及现金流之间的关系，介绍了四种模型涉及的折现率的计算方法。这些为估价结果一致性分析提供更广泛的基础。税盾价值理论是影响模型参数最重要的因素，本文总结了学者们提出的主要的税盾价值理论，为一致性分析做了铺垫。本文提出了四种折现现金流估价模型共同的前提假设，恰当的界定了模型的使用范围。之后，本文对不同的税盾价值理论，在三种情况(现金流永续零增长的情况、稳定增长的情况和有限期现金流的情况)下的适用性进行了分析，根据分析的结果确定调整现值法表达式的形式，并运用Taggart在1989年得出的股权资本成本一般表达式和资本资产定价模型推导出四种折现估价模型间参数的关系，将得到的参数表达式代入估价模型中，将估价模型用于实例，证实了在正确运用基本估价模型和遵循前提假设的情况下，四种折现估价模型估价结果在理论上是一致性。在一致性分析的过程中，本文找到了解决循环计算问题的方法，使得自由现金流折现估价模型和资本现金流折现估价模型能够应用于实践，使四种折现估价模型估价结果在实践中的一致性成为可能。
Various discounted cash flow models have already been applied to practice by valuators and researchers.But the results of company valuation made by different discounted cash flow model appear dissimilarity. Many people think that this kind of circumstance is normal,for different models are quoted.This paper makes a further study towards consistency of valuation result made by four kinds of discounted cash flow models(free cash flow to firm method,equit cash flow method,capital cash flow method and adjusted present value method).
Firstly,this paper introduces traditional expressions of discounted cash flow models and considers that traditional discounted cash flow models are not applicable to the situation that discounted rate changes continuously. So this paper improves the models,which extends the usage scope of models.At the same time,this paper defines the expression of cash flow and the relation between cash flow.And this paper also introduces the method of computing discounted rates.All of these can provide more extensive foundation for consistancy analysis.The tax shield value theorie is one of the most important factors in influencing the parameters.And this paper tallys up most important tax shield value theories,which can do cushion for the consistency analysis.This paper put forward assumptions of four discounted cash flow models ,which defines the usage scopes of the models fittingly.Then,under three kinds of circumstances(cash flow are constant with zero growth rate, cash flow are constant with fixed growth rate and cash flow are finite),this paper analys the applicability of different tax shield value theories,and adjusts the expression type of adjusted present value method according to the analytical result.Through making use of general expression of cost of equit put forward by Taggart at 1989 and CAPM,this paper deduces the relationship between parameters of the four models.Putting the parameters into discounted cash flow models and using the models in practice,the paper confirms that if we use discounted cash flow models correctly and also follow the assumptions,we can get consistant valuation result. In the process of consistency analysis,the paper finds out the method of solving circularity problem,which can make free cash flow to firm method and capital cash flow method be useful in fulfillment and make it possible that valuation results of the four model are consistant in practice.
首先本文介绍了折现估价模型传统的表达式，并且认为传统的折现现金流估价模型无法适用于折现率不断变化情况，因此改进了传统的折现现金流估价模型，使模型使用范围扩大。同时界定了四种模型现金流的表达式以及现金流之间的关系，介绍了四种模型涉及的折现率的计算方法。这些为估价结果一致性分析提供更广泛的基础。税盾价值理论是影响模型参数最重要的因素，本文总结了学者们提出的主要的税盾价值理论，为一致性分析做了铺垫。本文提出了四种折现现金流估价模型共同的前提假设，恰当的界定了模型的使用范围。之后，本文对不同的税盾价值理论，在三种情况(现金流永续零增长的情况、稳定增长的情况和有限期现金流的情况)下的适用性进行了分析，根据分析的结果确定调整现值法表达式的形式，并运用Taggart在1989年得出的股权资本成本一般表达式和资本资产定价模型推导出四种折现估价模型间参数的关系，将得到的参数表达式代入估价模型中，将估价模型用于实例，证实了在正确运用基本估价模型和遵循前提假设的情况下，四种折现估价模型估价结果在理论上是一致性。在一致性分析的过程中，本文找到了解决循环计算问题的方法，使得自由现金流折现估价模型和资本现金流折现估价模型能够应用于实践，使四种折现估价模型估价结果在实践中的一致性成为可能。
Various discounted cash flow models have already been applied to practice by valuators and researchers.But the results of company valuation made by different discounted cash flow model appear dissimilarity. Many people think that this kind of circumstance is normal,for different models are quoted.This paper makes a further study towards consistency of valuation result made by four kinds of discounted cash flow models(free cash flow to firm method,equit cash flow method,capital cash flow method and adjusted present value method).
Firstly,this paper introduces traditional expressions of discounted cash flow models and considers that traditional discounted cash flow models are not applicable to the situation that discounted rate changes continuously. So this paper improves the models,which extends the usage scope of models.At the same time,this paper defines the expression of cash flow and the relation between cash flow.And this paper also introduces the method of computing discounted rates.All of these can provide more extensive foundation for consistancy analysis.The tax shield value theorie is one of the most important factors in influencing the parameters.And this paper tallys up most important tax shield value theories,which can do cushion for the consistency analysis.This paper put forward assumptions of four discounted cash flow models ,which defines the usage scopes of the models fittingly.Then,under three kinds of circumstances(cash flow are constant with zero growth rate, cash flow are constant with fixed growth rate and cash flow are finite),this paper analys the applicability of different tax shield value theories,and adjusts the expression type of adjusted present value method according to the analytical result.Through making use of general expression of cost of equit put forward by Taggart at 1989 and CAPM,this paper deduces the relationship between parameters of the four models.Putting the parameters into discounted cash flow models and using the models in practice,the paper confirms that if we use discounted cash flow models correctly and also follow the assumptions,we can get consistant valuation result. In the process of consistency analysis,the paper finds out the method of solving circularity problem,which can make free cash flow to firm method and capital cash flow method be useful in fulfillment and make it possible that valuation results of the four model are consistant in practice.
引文
1．达莫达兰．投资估价-确定任何资产价值的工具和技术．北京：清华大学出版社，1999；
2．科普兰．价值评估-公司价值的衡量与管理．电子工业出版社，2002年7月；
3．刘淑莲，企业价值评估与价值创造战略研究—两种价值模式与六大驱动因素．会计研究，2004年9月；
4．张先治．EVA理论与应用的研究．求是学刊，1997第一期；
5．胡玄能．谈企业价值的评估方法．北京市经济管理干部学院学报，2001年12月；
6．张先治．论以现金流量为基础的价值评估．求是学刊，2001年11月；
7．穆平．企业价值评估中自由现金流量的确定及问题讨论．经贸财会，2005年10月：
8．翟其红．企业价值评估中现金流量折现模型的修正．太原大学学报，2004年9月；
9．王丰，宣国良．经济利润及折现现金流在企业价值评估中的应用研究．预测，2002年第2期；
10．丁战．企业整体资产评估中折现率的确定方法．东北大学学报，2002年4月；
11．赵强，苏一纯．企业价值评估中折现率的确定方法．理论与技术方法研讨，2001年6月；
12．原毅军，陈艳莹．论企业的价值．大连理工大学学报．1999年6月；
13．姜楠．资产评估．东北财经大学出版社．2004；
14．高印朝，于渤．企业价值内涵及其评估方法[J]商场现代化，2004，(15)；
15．徐青．西方企业价值评估方法研究综述．现代管理科学，2005，(07)；
16．薛野．企业价值评估理论及应用研究．中国矿业大学硕士学位论文．徐州：中国矿业大学工商管理学院，2000，1-4；
17．洪荭．EVA财务系统研究[D]武汉理工女大学产业经济学，2002；
18．彭静．EVA业绩评价体系研究[D]．上海财经大学财务管理专业, 2001;
19. Ruback, R. "Capital Cash Flows: A Simple Approach to Valuing Risky Cash Flows." Working Paper. Available on the Social Science Research Network (SSRN) (2000);
20. Velez-Pareja, I. &Tham, J. "A note on the Weighted Average Cost of Capital (WACC) ." Working Paper. Available on the Social Science Research Network (SSRN) (2001);
21.Fernandez, P." Levered and Unlevered Beta." Available on the Social Science Research Network (SSRN) (2006);
22. Fernandez, P. "The Value of Tax Shields is not Equal to the Present Value of Tax Shields", Journal of Financial Economics. (2004);
23. Harris, R. and Pringle, J. "Risk-adjusted discount rates extensions form the average risk case", Tonrnal of Financial Research (fall) (1985) : 237-244;
24. Miles, J. and Ezzell, J. "The weighted average cost of capital, perfect capital markets and project life: a clarification", Journal of Financial and Quantitative Analysis (September) (1980) : 719-730;
25. Taggart, R."Consistent valuation and cost of capital Expressions with corporate and personal taxes", Financial Management. (1989);
26. Tham, J. and Velez-Pareja, I. "The correct discount rate for the tax shield: the N-period case", SSRN Working Paper (2001);
27. Miller, M. and F. Modigliani, "Dividend Policy, Growth and the Valuation of Shares", Journal of Business (1961) , 34, pp. 411-433;
28. Velez-Pareja." WACC, Value of Tax Savings and Value for Growing and Non Growing Perpetuities". Available on the Social Science Research Network (SSRN) ( 2006);
29. Fernandez, P."A General Formula for the WACC: a Correction" . Social Science Research Network (SSRN) (2006);
30.M.A.Mian."Applicability of the Classic WACC Concept in Practice" .Social Science Research Network (SSRN) (2005);
31. Tham, J. and Velez-Pareja, I. "Consistent Valuation of a Finite Stream of Cash Flows with a Terminal Value" .Social Science Research Network (SSRN) (2002);
32. Velez-Pareja."A New Approach to WACC, Value of Tax Savings and Value for Growing and Non Growing Perpetuities: A Clarification".Available on the Social Science Research Network (SSRN) (2006);
33.Fernandez, P."Discounted cash flow valuation methods: Examples of perpetuities, constant growth and general and general cash".Available on the Social Science Research Network (SSRN) (2004);
34. Fernandez, P. "The Value of Tax Shields and the risk of the net increase of debt", Journal of Financial Economics. (2004);
35. Velez-Pareja. "There Exists Circularity between WACC and Value? Anathor Solution." Available on the Social Science Research Network (SSRN) (2005);
36. Fernandez, P. "Financial Literature about Discounted Cash Flow Valuation". Available on the Social Science Research Network (SSRN) ( 2005);
37. Joseph Tham & Ignacio Velez-Pareja. "An Embarrassment of Riches: Winning Ways to Value with the WACC". Available on the Social Science Research Network (SSRN) (2002);
38. Velez-Pareja. "Consistency in Vlaluation: A Practical Guide". Available on the Social Science Research Network (SSRN) (2005);
39.Tham,Joseph and Ignacio Velez-Pareja."Principles of Cash Flow Valuation".Academic Press. (2004);
40.Fernandez, Pablo. "The Value of Tax Shields is not Equal to the Present Value of Tax Shields: A Correction", SSRN working paper No. 651206. (2005) .
2．科普兰．价值评估-公司价值的衡量与管理．电子工业出版社，2002年7月；
3．刘淑莲，企业价值评估与价值创造战略研究—两种价值模式与六大驱动因素．会计研究，2004年9月；
4．张先治．EVA理论与应用的研究．求是学刊，1997第一期；
5．胡玄能．谈企业价值的评估方法．北京市经济管理干部学院学报，2001年12月；
6．张先治．论以现金流量为基础的价值评估．求是学刊，2001年11月；
7．穆平．企业价值评估中自由现金流量的确定及问题讨论．经贸财会，2005年10月：
8．翟其红．企业价值评估中现金流量折现模型的修正．太原大学学报，2004年9月；
9．王丰，宣国良．经济利润及折现现金流在企业价值评估中的应用研究．预测，2002年第2期；
10．丁战．企业整体资产评估中折现率的确定方法．东北大学学报，2002年4月；
11．赵强，苏一纯．企业价值评估中折现率的确定方法．理论与技术方法研讨，2001年6月；
12．原毅军，陈艳莹．论企业的价值．大连理工大学学报．1999年6月；
13．姜楠．资产评估．东北财经大学出版社．2004；
14．高印朝，于渤．企业价值内涵及其评估方法[J]商场现代化，2004，(15)；
15．徐青．西方企业价值评估方法研究综述．现代管理科学，2005，(07)；
16．薛野．企业价值评估理论及应用研究．中国矿业大学硕士学位论文．徐州：中国矿业大学工商管理学院，2000，1-4；
17．洪荭．EVA财务系统研究[D]武汉理工女大学产业经济学，2002；
18．彭静．EVA业绩评价体系研究[D]．上海财经大学财务管理专业, 2001;
19. Ruback, R. "Capital Cash Flows: A Simple Approach to Valuing Risky Cash Flows." Working Paper. Available on the Social Science Research Network (SSRN) (2000);
20. Velez-Pareja, I. &Tham, J. "A note on the Weighted Average Cost of Capital (WACC) ." Working Paper. Available on the Social Science Research Network (SSRN) (2001);
21.Fernandez, P." Levered and Unlevered Beta." Available on the Social Science Research Network (SSRN) (2006);
22. Fernandez, P. "The Value of Tax Shields is not Equal to the Present Value of Tax Shields", Journal of Financial Economics. (2004);
23. Harris, R. and Pringle, J. "Risk-adjusted discount rates extensions form the average risk case", Tonrnal of Financial Research (fall) (1985) : 237-244;
24. Miles, J. and Ezzell, J. "The weighted average cost of capital, perfect capital markets and project life: a clarification", Journal of Financial and Quantitative Analysis (September) (1980) : 719-730;
25. Taggart, R."Consistent valuation and cost of capital Expressions with corporate and personal taxes", Financial Management. (1989);
26. Tham, J. and Velez-Pareja, I. "The correct discount rate for the tax shield: the N-period case", SSRN Working Paper (2001);
27. Miller, M. and F. Modigliani, "Dividend Policy, Growth and the Valuation of Shares", Journal of Business (1961) , 34, pp. 411-433;
28. Velez-Pareja." WACC, Value of Tax Savings and Value for Growing and Non Growing Perpetuities". Available on the Social Science Research Network (SSRN) ( 2006);
29. Fernandez, P."A General Formula for the WACC: a Correction" . Social Science Research Network (SSRN) (2006);
30.M.A.Mian."Applicability of the Classic WACC Concept in Practice" .Social Science Research Network (SSRN) (2005);
31. Tham, J. and Velez-Pareja, I. "Consistent Valuation of a Finite Stream of Cash Flows with a Terminal Value" .Social Science Research Network (SSRN) (2002);
32. Velez-Pareja."A New Approach to WACC, Value of Tax Savings and Value for Growing and Non Growing Perpetuities: A Clarification".Available on the Social Science Research Network (SSRN) (2006);
33.Fernandez, P."Discounted cash flow valuation methods: Examples of perpetuities, constant growth and general and general cash".Available on the Social Science Research Network (SSRN) (2004);
34. Fernandez, P. "The Value of Tax Shields and the risk of the net increase of debt", Journal of Financial Economics. (2004);
35. Velez-Pareja. "There Exists Circularity between WACC and Value? Anathor Solution." Available on the Social Science Research Network (SSRN) (2005);
36. Fernandez, P. "Financial Literature about Discounted Cash Flow Valuation". Available on the Social Science Research Network (SSRN) ( 2005);
37. Joseph Tham & Ignacio Velez-Pareja. "An Embarrassment of Riches: Winning Ways to Value with the WACC". Available on the Social Science Research Network (SSRN) (2002);
38. Velez-Pareja. "Consistency in Vlaluation: A Practical Guide". Available on the Social Science Research Network (SSRN) (2005);
39.Tham,Joseph and Ignacio Velez-Pareja."Principles of Cash Flow Valuation".Academic Press. (2004);
40.Fernandez, Pablo. "The Value of Tax Shields is not Equal to the Present Value of Tax Shields: A Correction", SSRN working paper No. 651206. (2005) .