基于全要素生产率的公司估值分析
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摘要
上市公司的整体质量和价值直接关系到公司的吸引力和竞争力,是公司在市场中实现健康、稳定、可持续发展的关键环节。上市公司估值是证券分析中最重要、最关键的环节,但绝不仅是公司各项资产简单的评估加总,而是将公司及公司的内部经营单位、分支机构看作一个经营整体对其持续经营价值进行判断、估计的过程,也是对公司未来经营效果水平进行科学量化的过程。
传统的公司价值估计理论与方法是估计公司的重要财务指标、预测财务报表,主要有主营业务收入增长率与现金流,这只是公司价值体现的一个方面,不能够全面反映公司价值。本文通过仔细分析我国目前上市公司状况和研究现状,将理论阐述与实证分析相结合,建立了基于全要素生产率的价值评估模型,重点研究了年均股价模型,说明了全要素生产率与公司价值之间的关系,进而间接比较公司价值大小,并利用中国石油化工行业的上市公司进行了实证分析。
本文通过DEA方法计算得到的全要素生产率指数,有效回避了宏观经济的影响,体现了公司的经营能力,主要包括盈利能力和发展能力等。本文得到的模型不仅体现当期的全要素生产率指数在公司估值模型中有比较高的权重,而且全要素生产率指数的滞后期对公司价值亦有较大影响,滞后一期的为正,该结论印证了公司能力理论中关于公司既是各种资源和能力积累沉淀,又是不断创新发展的结果。同时,模型的实证检验各个统计指标都比较好,具有比较强的统计意义,说明本文得到的估值模型能比较客观地评估公司价值,能更好地服务于市场交易和投资决策。
The overall quality and the value of listed companies have a direct relationship to the their attraction and competition, and are the key to healthy, stable, and sustainable development in the market. Valuation of the securities of listed companies is the most important and crucial step in the security analysis. This is absolutely not a simple summation of the assets assessment, but the process of judging and estimating the persistent management value regarding the company and its internal business units and branch organization as a whole. Furthermore it is the process of scientific quantifying the future operating level of the company.
The traditional theories and methods estimating the value of the company are estimating the company's key financial indicators as well as forecasting the financial report forms, which mainly are business revenue growth rate and cash flow of the company. However, this is only an aspect of the company value and can not completely reflect the actual value. The paper combined the theory with empirical analysis and established the assessment model based on the value of total factor productivity (TFP) by carefully analyzing of Chinese listed companies and research valuation status quo. We focused on the average annual share price model and explained the relationship between total factor productivity and the company's value, which made the indirect comparison of the value of the companies possible. Then we made the empirical analysis of Chinese Petroleum and Chemical Industry the listed companies.
The article used the DEA method to calculate the total factor productivity index which could help avoiding macro-economic impact effectively. The TFP index reflected the operating ability of the company, which mainly including profitability and development capacity, and so on. In this paper, the current model not only showed that the total factor productivity index had a relatively high weight in the company valuation model, but also that one period lag of the TFP index had a positive and great impact of the value of the company. The conclusions proved that the company ability theory that the company itself was the accumulation of the various resources and capabilities as well as the result of constant innovation and development. At the same time, various of statistical indexes in the empirical testing of the model showed strong statistical significance. We drew the conclusion that the valuation model could be an objective assessment of the value of the company and better serve the market transactions and investment decision-making.
传统的公司价值估计理论与方法是估计公司的重要财务指标、预测财务报表,主要有主营业务收入增长率与现金流,这只是公司价值体现的一个方面,不能够全面反映公司价值。本文通过仔细分析我国目前上市公司状况和研究现状,将理论阐述与实证分析相结合,建立了基于全要素生产率的价值评估模型,重点研究了年均股价模型,说明了全要素生产率与公司价值之间的关系,进而间接比较公司价值大小,并利用中国石油化工行业的上市公司进行了实证分析。
本文通过DEA方法计算得到的全要素生产率指数,有效回避了宏观经济的影响,体现了公司的经营能力,主要包括盈利能力和发展能力等。本文得到的模型不仅体现当期的全要素生产率指数在公司估值模型中有比较高的权重,而且全要素生产率指数的滞后期对公司价值亦有较大影响,滞后一期的为正,该结论印证了公司能力理论中关于公司既是各种资源和能力积累沉淀,又是不断创新发展的结果。同时,模型的实证检验各个统计指标都比较好,具有比较强的统计意义,说明本文得到的估值模型能比较客观地评估公司价值,能更好地服务于市场交易和投资决策。
The overall quality and the value of listed companies have a direct relationship to the their attraction and competition, and are the key to healthy, stable, and sustainable development in the market. Valuation of the securities of listed companies is the most important and crucial step in the security analysis. This is absolutely not a simple summation of the assets assessment, but the process of judging and estimating the persistent management value regarding the company and its internal business units and branch organization as a whole. Furthermore it is the process of scientific quantifying the future operating level of the company.
The traditional theories and methods estimating the value of the company are estimating the company's key financial indicators as well as forecasting the financial report forms, which mainly are business revenue growth rate and cash flow of the company. However, this is only an aspect of the company value and can not completely reflect the actual value. The paper combined the theory with empirical analysis and established the assessment model based on the value of total factor productivity (TFP) by carefully analyzing of Chinese listed companies and research valuation status quo. We focused on the average annual share price model and explained the relationship between total factor productivity and the company's value, which made the indirect comparison of the value of the companies possible. Then we made the empirical analysis of Chinese Petroleum and Chemical Industry the listed companies.
The article used the DEA method to calculate the total factor productivity index which could help avoiding macro-economic impact effectively. The TFP index reflected the operating ability of the company, which mainly including profitability and development capacity, and so on. In this paper, the current model not only showed that the total factor productivity index had a relatively high weight in the company valuation model, but also that one period lag of the TFP index had a positive and great impact of the value of the company. The conclusions proved that the company ability theory that the company itself was the accumulation of the various resources and capabilities as well as the result of constant innovation and development. At the same time, various of statistical indexes in the empirical testing of the model showed strong statistical significance. We drew the conclusion that the valuation model could be an objective assessment of the value of the company and better serve the market transactions and investment decision-making.
引文
[1]Denison,E.F.,Why Growth Rate Differ[J].Washington,D.C.The Brookings Institution.1967
[1]李京文,钟学义.中困生产率分析前沿[M].北京:社会科学文献出版社,2007.
[2]孙巍,基于产出的生产规模效率及其测度方法研究,数量经济技术经济研究,1999第7期
[1]何晓群.现代统计分析方法与应用[M].北京:中国人民大学出版社,2005
[7]Bradford Cornell著,张志强等译,公司价值评估一有效评估与决策的工具[M],华夏出版社,2001
[1]杜彦鹏等.利用经营期权评估方法对公司整体价值的评估[J].重庆大学学报,2001(7)
[2]方芳,周传道等.资本市场中公司价值评估方法[J].经济理论与经济管理,2003(6)
[3]何晓群.现代统计分析方法与应用[M].北京:中国人民大学出版社,2005
[4]罗国勋.二十一世纪:中国中小公司的发展[M].北京:社会科学出版社,1999
[5]李京文,钟学义.中国生产率分析前沿[M].北京:社会科学文献出版社,2007
[6]李麟,李骥.公司价值评估与价值增长[M].北京:民主与建设出版社,2001
[7]李焰.期权定价理论在公司价值评估中的应用[J].财贸经济,2001(5)
[8]潘琐,程小可.上市公司经营业绩的主成分评价方法[J].会计研究,2000(3)
[9]苏为华.多指标综合评价理论与方法研究[M].北京:中国物价出版社,2001
[10]孙巍.基于产出的生产规模效率及其测度方法研究[J].数量经济技术经济研究,1999(7)
[11]王核成.中国公司国际竞争力的评价指标体系研究[J].科研管理,2001(5)
[12]王喜刚,丛海涛等.什么解释公司价值:EVA还是会计指标[J].会计研究,2003(6)
[13]赵卫亚.计量经济学教程[M].上海:上海财经大学出版社,2003
[14]魏权龄.数据包络分析[M].北京:科学出版社,2005
[15]许冰,杜云杰.中国全要素生产率的再测量[D].特区经济,2005(12)
[16]许冰,章上峰.中国城乡经济生产要素绩效比较研究[D].农业技术经济,2008(1)
[17]袁桂秋.基于全要素生产率的公司能力理论分析[D].浙江大学博士后出站报告,2008(6)
[18]赵卫亚.中国城镇居民消费函数的变系数Panel Data模型[J].数量经济技术经济研究,2003(11)
[19]赵新华,万威武.实物期权在公司价值评估中的应用框架分析[J].经济师,2003(8)
[20]赵国忻.M&D投资的期权创造和期权享有过程中的应用[J].科研管理,2000
[21]朱武样.股权激励、公司价值创造与投资估价[J].证券市场导报,2001(5)
[22]Albert N.Link and Michael B.Boger.The hrt and Science of Business Valuation[M].Westport,Conn.1999
[23]Bradford Cornell著.张志强等译.公司价值评估-有效评估与决策的工具[M].北京:华夏出版社,2001
[24]Benninga Simon.邵建利等译.财务金融建模[M].上海:上海财经大学出版社,2003
[25]Baumol,Panzar,Willing.Contestable Markets and the Theory of Industry Structure.Harcourt Brace Jovanovich Inc.,1982
[26]Damodaran,Answath.Investment Valuation.John Wiley(New York),2001
[27]F.Black,M.Scholes.The Pricing of Options and Corporate Liability[J].Political Economy,1973
[28]Haugen,Robert(1997).Modern Investment Theory.4~(th) edition Prentice Hall
[29]Hamilton.1777.An Introduction to Merchandize.Edinburgh
[30]克里舍·G·佩普(Krishna.G.Pale)等著.孔宁宁,丁志杰译.运J{j财务报表进行企业分析与估价[M].中信出版社,2004
[31]Jeffrey Wooldridge.Econometric Analysis of Cross Section and Panel Data[M].北京:中国人民大学出版社,2007
[32]Leonard Soffer,Robin Soffer著.肖星,胡谨颖,陈晓译.财务报表分析--估值方法[M].北京:清华大学出版社,2005(8)
[33]M.Reinganum.A New Empirical Perspective on the CAPM[J].Journal of Financial and Quantitative Analysis,1981(16)
[34]Ross Westerfield Jordan.张建平译.公司理财精要[M].北京:人民邮电出版社,2003
[35]S.戴维.扬,F.奥伯恩等.EVA与价值管理[M].北京:社会科学文献出版社,2002
[1]李京文,钟学义.中困生产率分析前沿[M].北京:社会科学文献出版社,2007.
[2]孙巍,基于产出的生产规模效率及其测度方法研究,数量经济技术经济研究,1999第7期
[1]何晓群.现代统计分析方法与应用[M].北京:中国人民大学出版社,2005
[7]Bradford Cornell著,张志强等译,公司价值评估一有效评估与决策的工具[M],华夏出版社,2001
[1]杜彦鹏等.利用经营期权评估方法对公司整体价值的评估[J].重庆大学学报,2001(7)
[2]方芳,周传道等.资本市场中公司价值评估方法[J].经济理论与经济管理,2003(6)
[3]何晓群.现代统计分析方法与应用[M].北京:中国人民大学出版社,2005
[4]罗国勋.二十一世纪:中国中小公司的发展[M].北京:社会科学出版社,1999
[5]李京文,钟学义.中国生产率分析前沿[M].北京:社会科学文献出版社,2007
[6]李麟,李骥.公司价值评估与价值增长[M].北京:民主与建设出版社,2001
[7]李焰.期权定价理论在公司价值评估中的应用[J].财贸经济,2001(5)
[8]潘琐,程小可.上市公司经营业绩的主成分评价方法[J].会计研究,2000(3)
[9]苏为华.多指标综合评价理论与方法研究[M].北京:中国物价出版社,2001
[10]孙巍.基于产出的生产规模效率及其测度方法研究[J].数量经济技术经济研究,1999(7)
[11]王核成.中国公司国际竞争力的评价指标体系研究[J].科研管理,2001(5)
[12]王喜刚,丛海涛等.什么解释公司价值:EVA还是会计指标[J].会计研究,2003(6)
[13]赵卫亚.计量经济学教程[M].上海:上海财经大学出版社,2003
[14]魏权龄.数据包络分析[M].北京:科学出版社,2005
[15]许冰,杜云杰.中国全要素生产率的再测量[D].特区经济,2005(12)
[16]许冰,章上峰.中国城乡经济生产要素绩效比较研究[D].农业技术经济,2008(1)
[17]袁桂秋.基于全要素生产率的公司能力理论分析[D].浙江大学博士后出站报告,2008(6)
[18]赵卫亚.中国城镇居民消费函数的变系数Panel Data模型[J].数量经济技术经济研究,2003(11)
[19]赵新华,万威武.实物期权在公司价值评估中的应用框架分析[J].经济师,2003(8)
[20]赵国忻.M&D投资的期权创造和期权享有过程中的应用[J].科研管理,2000
[21]朱武样.股权激励、公司价值创造与投资估价[J].证券市场导报,2001(5)
[22]Albert N.Link and Michael B.Boger.The hrt and Science of Business Valuation[M].Westport,Conn.1999
[23]Bradford Cornell著.张志强等译.公司价值评估-有效评估与决策的工具[M].北京:华夏出版社,2001
[24]Benninga Simon.邵建利等译.财务金融建模[M].上海:上海财经大学出版社,2003
[25]Baumol,Panzar,Willing.Contestable Markets and the Theory of Industry Structure.Harcourt Brace Jovanovich Inc.,1982
[26]Damodaran,Answath.Investment Valuation.John Wiley(New York),2001
[27]F.Black,M.Scholes.The Pricing of Options and Corporate Liability[J].Political Economy,1973
[28]Haugen,Robert(1997).Modern Investment Theory.4~(th) edition Prentice Hall
[29]Hamilton.1777.An Introduction to Merchandize.Edinburgh
[30]克里舍·G·佩普(Krishna.G.Pale)等著.孔宁宁,丁志杰译.运J{j财务报表进行企业分析与估价[M].中信出版社,2004
[31]Jeffrey Wooldridge.Econometric Analysis of Cross Section and Panel Data[M].北京:中国人民大学出版社,2007
[32]Leonard Soffer,Robin Soffer著.肖星,胡谨颖,陈晓译.财务报表分析--估值方法[M].北京:清华大学出版社,2005(8)
[33]M.Reinganum.A New Empirical Perspective on the CAPM[J].Journal of Financial and Quantitative Analysis,1981(16)
[34]Ross Westerfield Jordan.张建平译.公司理财精要[M].北京:人民邮电出版社,2003
[35]S.戴维.扬,F.奥伯恩等.EVA与价值管理[M].北京:社会科学文献出版社,2002