企业价值评估与股票价格相关性研究
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摘要
企业价值评估在中国还是一个较新的评估领域,还没有形成非常完整的理论体系,对评估模型也没有比较全面和详实的研究。因此研究适用于我国企业的科学的价值评估体系和模型,是非常紧迫和必要的。企业在证券市场中通过股票价格来反映其自身价值,而价值投资者会依据企业价值来决定对市场上投资对象的选择,那么理解企业价值和股票价格之间的关系,对于价值投资在中国股市的推广和应用,具有重要的理论和实践意义。论文首先从传统金融学经典理论和行为金融学角度出发,分析了它们与企业价值评估及股票价格的关系,并给出企业内在价值和股票价格关系的理论分析。接着对目前国际上主流的六种企业价值评估方法进行了比较分析。在此基础上,论文从现金流量折现方法入手,改用每股账面价值计算企业价值。同时引入了信息冲击衰减系数作为衡量价值偏离程度的依据,分析了我国股票市场中上市公司价值与股票价格的偏离情况。然后对剩余收益模型进行了拓展分析,给出了以股东权益报酬率为计算依据的剩余收益改进模型,考察了经计算得到的企业价值与股票价格之间的相关关系。最后运用中国上市公司的数据自行计算EVA和MVA值,考察了选取样本的企业价值与市场价值的相关程度,最终得出全文的结论,并指出了进一步的研究重点和方向。
With the rapid developments of financial markets, Enterprise valuation has attracted the sight of investors and become the focus, enterprise valuation models play the more important roles. With the development of valuation method in west country of the world, it has been widely used in practice. But in china, it is a new field, and there is not an whole style of research. We still use traditional method of finance and it isn’t effective. So it is necessary to find which Enterprise valuation method is appropriate to our country. In reality, enterprise can reflect its value by stock price, and information is important to the fluctuation of price. The information include the situation of macroeconomics, the financial and monetary policy and operations of enterprise, which decides the direction of price moving. In the other hand, the information also affects the behavior of investors, finally affects the stock price. The rational investors will select the objects to invest according to its enterprise value, so it is important to understand the relation of the value and the price. The research of enterprise value has the meanings in theory and practice.
This thesis is categorized into six chapters whose concrete structure and content are outlined as follows:
Chapter 1: introduction. First, this thesis discusses the motivation and meaning of choosing this subject pithily. Secondly, some fundamental concepts and their definition are made clear, especially the meaning of the financial development. Again, based on a summary of existing work, the system of this thesis and methodologies in the corresponding part are put forward. At last, the structure and innovations of this thesis is introduced.
Chapter 2: summary of extant work on the enterprise valuation theory. Firstly, this thesis discusses the essence of the enterprise value, and introduces the research development of valuation from the classic theory. Secondly this chapter explains the relation between the current financial theory and enterprise valuation, and analyses the influence to the price from the investors’behavior. Finally, the financial goal about the max enterprise value is embodied.
Chapter 3: the compare research on enterprise valuation methods. There are six kinds of methods, and gives the model and applicability separately. These methods include DCF, Feltham-Ohlson valuation, EVA, option valuation and the adjusted book value method. The emphases of this paper lie in the DCF and Feltham-Ohlson model and EVA.
Chapter 4: the value bias research based on DCF method. This chapter analyses the reason of the bias between the value and price, and gives the explanation. Because there was much longer horizon of information appearance in real market price would perform bias in value in generally, and average bias in value could scale the precision of reflection to information. Market Emotional Index could describe how investor expected the future market. Then the listed corporation of China is used to test the model, and does the Grange test.
Chapter 5: the demonstration test about the Ohlson’s residual income model. In this chapter, the extend analysis is done for the Feltham-Ohlson model, and calculates the enterprise value for our listed corporation. Finally, the relation between the enterprise value and market price is given.
Chapter 6: the application of EVA on the market of China. The value of MVA and EVA is calculates through the analysis for the theory and method about EVA. The result is used to test the relation between the enterprise value and market value of the China’s listed corporations.
At last, the thesis draws a conclusion.
The primary conclusions of this thesis include:
1. This thesis carries out the compare with the usual enterprise valuation methods by combining with the fact of our enterprise. The result indicates: option valuation is complex and has the rigorous restrict condition, so it has not the practicability in China; the relative comparison valuation method is easy to use, however, because of the monotonous factor the model considers and the high degree of subjectivity in discrepancy adjustment, it makes standard measurement necessary; the adjusted book value method is straight and convenient, but it is based on the history data and does not consider the influence of inflation and economic depreciation, so it can not reflect the true market value. It is not used by the enterprise in practice.
2. The discount method of cash flow is based on the cash flow, and has the reality meaning. It is easy to use the accounting data, so it has the practicability. Residual income model uses the accounting data to calculate, and it has not the strict request except to satisfy the CRS, then it has the better using value. Based on shareholder’s value, EVA system has caused extensive concern of the domestic and international theory and practice circle. Because of its excellence in performance measure and management ideology, EVA has been adopted in many world famous corporations. But EVA is a new concept in China. It is an initial stage both theory research and practice explore. It is necessary to introduce this new advanced ideology and management method to our domestic enterprises to establish an applicable EVA management system. The emphases of this thesis lie in the DCF and Feltham-Ohlson model and EVA.
3. This thesis analyses the reason of the bias between the value and price, and gives the explanation. Because there was much longer horizon of information appearance in real market price would perform bias in value in generally, and average bias in value could scale the precision of reflection to information. Market Emotional Index could describe how investor expected the future market. It can’t choose the dividend and cash flow as the discounted factors when using the DCF model because of the own reason of the listed corporation, so the book value per stock is selected. By using the data of the A stock in China’s securities market, the result is that there are the steady linearity relation between the value and price when MEI is 0.8, but the price is the reason of the value’s change.
4. This thesis carries out extend analysis about Ohlson’s residual income model, and uses ROE as the basis of the calculation. This thesis constructs three regression equation, and selects the financial index to compare with the residual income model. The result indicates that the Ohlson’s model has the better ability of explanation. The financial index such as EPS and ROTA has the positive influence, and the other selected index has negative influence on the price. The explanation of the Ohlson’s model for the price is not sufficient(adjusted R 2=0.205), and there are also a lot of information which will affect the price. So it is important for investors to regard the information out of the financial index.
5. The thesis calculates the EVA and MVA of the listed corporations in China, and makes them the emphases of the research. The thesis reviews the relation of the enterprise value and market value of the China’s listed corporations, and selects the financial index to compare with the market value, finally reviews the conjunct influence of EVA and the financial index. The result indicates that there are relation between EVA and MVA, and EVA has more information content than the financial index, but the latter has the effect on the market value and is not lacked.
Finally, since lots of content in this thesis is a maiden attempt and the ways and means of the research maybe limited, the conclusion of this thesis needs to be confirmed by the correlative theories and practice in future. It is inevitable that anything important is ignored or anything wrong. So any suggestion or comment is welcome, thanks in advance.
With the rapid developments of financial markets, Enterprise valuation has attracted the sight of investors and become the focus, enterprise valuation models play the more important roles. With the development of valuation method in west country of the world, it has been widely used in practice. But in china, it is a new field, and there is not an whole style of research. We still use traditional method of finance and it isn’t effective. So it is necessary to find which Enterprise valuation method is appropriate to our country. In reality, enterprise can reflect its value by stock price, and information is important to the fluctuation of price. The information include the situation of macroeconomics, the financial and monetary policy and operations of enterprise, which decides the direction of price moving. In the other hand, the information also affects the behavior of investors, finally affects the stock price. The rational investors will select the objects to invest according to its enterprise value, so it is important to understand the relation of the value and the price. The research of enterprise value has the meanings in theory and practice.
This thesis is categorized into six chapters whose concrete structure and content are outlined as follows:
Chapter 1: introduction. First, this thesis discusses the motivation and meaning of choosing this subject pithily. Secondly, some fundamental concepts and their definition are made clear, especially the meaning of the financial development. Again, based on a summary of existing work, the system of this thesis and methodologies in the corresponding part are put forward. At last, the structure and innovations of this thesis is introduced.
Chapter 2: summary of extant work on the enterprise valuation theory. Firstly, this thesis discusses the essence of the enterprise value, and introduces the research development of valuation from the classic theory. Secondly this chapter explains the relation between the current financial theory and enterprise valuation, and analyses the influence to the price from the investors’behavior. Finally, the financial goal about the max enterprise value is embodied.
Chapter 3: the compare research on enterprise valuation methods. There are six kinds of methods, and gives the model and applicability separately. These methods include DCF, Feltham-Ohlson valuation, EVA, option valuation and the adjusted book value method. The emphases of this paper lie in the DCF and Feltham-Ohlson model and EVA.
Chapter 4: the value bias research based on DCF method. This chapter analyses the reason of the bias between the value and price, and gives the explanation. Because there was much longer horizon of information appearance in real market price would perform bias in value in generally, and average bias in value could scale the precision of reflection to information. Market Emotional Index could describe how investor expected the future market. Then the listed corporation of China is used to test the model, and does the Grange test.
Chapter 5: the demonstration test about the Ohlson’s residual income model. In this chapter, the extend analysis is done for the Feltham-Ohlson model, and calculates the enterprise value for our listed corporation. Finally, the relation between the enterprise value and market price is given.
Chapter 6: the application of EVA on the market of China. The value of MVA and EVA is calculates through the analysis for the theory and method about EVA. The result is used to test the relation between the enterprise value and market value of the China’s listed corporations.
At last, the thesis draws a conclusion.
The primary conclusions of this thesis include:
1. This thesis carries out the compare with the usual enterprise valuation methods by combining with the fact of our enterprise. The result indicates: option valuation is complex and has the rigorous restrict condition, so it has not the practicability in China; the relative comparison valuation method is easy to use, however, because of the monotonous factor the model considers and the high degree of subjectivity in discrepancy adjustment, it makes standard measurement necessary; the adjusted book value method is straight and convenient, but it is based on the history data and does not consider the influence of inflation and economic depreciation, so it can not reflect the true market value. It is not used by the enterprise in practice.
2. The discount method of cash flow is based on the cash flow, and has the reality meaning. It is easy to use the accounting data, so it has the practicability. Residual income model uses the accounting data to calculate, and it has not the strict request except to satisfy the CRS, then it has the better using value. Based on shareholder’s value, EVA system has caused extensive concern of the domestic and international theory and practice circle. Because of its excellence in performance measure and management ideology, EVA has been adopted in many world famous corporations. But EVA is a new concept in China. It is an initial stage both theory research and practice explore. It is necessary to introduce this new advanced ideology and management method to our domestic enterprises to establish an applicable EVA management system. The emphases of this thesis lie in the DCF and Feltham-Ohlson model and EVA.
3. This thesis analyses the reason of the bias between the value and price, and gives the explanation. Because there was much longer horizon of information appearance in real market price would perform bias in value in generally, and average bias in value could scale the precision of reflection to information. Market Emotional Index could describe how investor expected the future market. It can’t choose the dividend and cash flow as the discounted factors when using the DCF model because of the own reason of the listed corporation, so the book value per stock is selected. By using the data of the A stock in China’s securities market, the result is that there are the steady linearity relation between the value and price when MEI is 0.8, but the price is the reason of the value’s change.
4. This thesis carries out extend analysis about Ohlson’s residual income model, and uses ROE as the basis of the calculation. This thesis constructs three regression equation, and selects the financial index to compare with the residual income model. The result indicates that the Ohlson’s model has the better ability of explanation. The financial index such as EPS and ROTA has the positive influence, and the other selected index has negative influence on the price. The explanation of the Ohlson’s model for the price is not sufficient(adjusted R 2=0.205), and there are also a lot of information which will affect the price. So it is important for investors to regard the information out of the financial index.
5. The thesis calculates the EVA and MVA of the listed corporations in China, and makes them the emphases of the research. The thesis reviews the relation of the enterprise value and market value of the China’s listed corporations, and selects the financial index to compare with the market value, finally reviews the conjunct influence of EVA and the financial index. The result indicates that there are relation between EVA and MVA, and EVA has more information content than the financial index, but the latter has the effect on the market value and is not lacked.
Finally, since lots of content in this thesis is a maiden attempt and the ways and means of the research maybe limited, the conclusion of this thesis needs to be confirmed by the correlative theories and practice in future. It is inevitable that anything important is ignored or anything wrong. So any suggestion or comment is welcome, thanks in advance.
引文
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