基于期权定价理论的公司价值评估研究
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摘要
资产价值评估是商品经济发展到一定阶段的必然产物。特别是随着市场经济制度的产生,资产交易规模不断得到发展和壮大,为保证交易的科学性和合理性,人们对资产评估的需求也随之提高。资产评估一般有两类方法:一类是凭实践经验做出定性的约略估计,称为主观估价法。另一类则是依据某种理论或模型,通过推导出来的公式定量地计算企业价值,称为客观估价法。资产评估经历了原始评估、经验评估、科学评估三个阶段。行成了现行市价法、重置成本法、收益现值法等几种主要方法。
现代金融学认为企业价值取决于企业的未来现金流量,而未来现金流量源于未来的一个或多个投资业务。运用期权定价理论,可以把企业的每一个未来的投资机会看作是一种买权,计算其价值并加总,然后按现金流量折现的方法计算业务现有部分的价值,最后将期权价值与现有部分价值相加就得到了企业的总价值。因此企业的价值可以看作是一个以企业为标的资产的看涨期权,可使用期权定价模型对其价值进行评估。
本文利用几种资产评估方法对唐钢股份有限公司的资产价值进行研究,并通过得到的结论来分析几种评估方法的优缺点、需要改进的地方、所需数据的标准化处理方法、适用范围等内容,希望通过对此的分析研究能有助于我们更加合理的选择价值评估方法,更加准确的评估各企业的资产价值,使我国的金融资本市场朝着更加健康,有序的方向方展。
本文创新之处在于对期权价值的研究中充分考虑了红利对股票价格和企业价值的影响。在一般假设条件下是不考虑股票红利情况的。但在实际情况中大多数股票是要支付红利的,而且有一部份股票所支付的红利极高,并且股票是否支付红利还存在着极大的不确定性。红利的支付会使股票价格下降,下降的幅度是每股支付的红利,并因此影响期权定价法的评估结果。于是本文重点分析了在期权定价法中红利率是以怎样的方式、在什么范围内影响到最后的评估结果的。
最后通过几种方法的对比发现收益现值法和重置成本法的结果较为相近,这是因为收益现值法和重置成本法所参照的数据较为封闭和隐定。而现行市价法的结果与实际情况的差别比较大,这是因为所使用的数据来自于存在投机行为的开放的金融市场,投机行为常常会使得这些数据偏离实际正常。所以如果采用的数据来至于投机行为较多的某个时间段,则最后的评估结果就有可能出现偏差,因此需要对收集的这些数据进行标准化的处理。期权定价法对其价值的评估最为接近实际情况,这是因为它是通过活跃的股票市场对资产价值的公认程度来确定股价的权重,再由权重的大小来决定公司价值的大小。另外期权定价法也还面对着理论不成熟、金融市场不完善,各种投机和套利行为严重影响到其数据真实性,企业信息接露的速度和真假难以判断等有待解决的问题。
The property value appraisal is the inevitable producted when commodity economy developed the certain stage. Specially with the emergence of market economy system, The property transaction obtains the development and the strength unceasingly. In order to ensure the scientific and rationality of the transaction, the property appraises needs to enhance. The property appraised has two kind of methods: One kind is depends on the experience to make the qualitative estimated, called the Objective valuation method; Another kind is rests on some kind of theory or the model, called the subjective valuation. The property appraised experienced original appraised, experience in the appraised and scientific appraised. Produced current market value method, Replacement cost method and the present value of earnings method.
The modern finance study thought the enterprise value will be decided by capacity of enterprise's future cash current. The future cash current capacity will come from one or many future investment service. Using option fixed price theory. Enterprise's opportunities for investment can be seen as a right to buy. Calculate the value, then according to cash current capacity commutation method computation service existing part value. Finally, obtain the enterprise's value, According to option value and existing value adding together. Therefore enterprise's value may regard as call option that underlying asset is enterprise. May use the option fixed price model carry on enterprise asset value.
This article uses several property appraisal method carries on the analysis to the Tang steel limited liability company's related value and through the conclusion which obtains explains several appraisal methods the good and bad points. The hope can be helpful through the regarding this comparison research to us more reasonable choice value appraisal method, More accurate appraisal various enterprises' property value, Causes our country's financial capital market to face healthily, the order direction side unfolds
This article innovates the place is considered fully the influence of dividend to the stock price and the enterprise value. In the hypothetical situation that does not consider the stock dividend situation. But in actual situation, the majority stocks are must pay the dividend. Moreover has the dividend which a partial stock pays to be extremely high, And stock whether pays the dividend also to have the enormous uncertainty. The dividend payment can cause the stock price to drop, the drop scope is each payment dividend. And therefore influence option fixed price method appraisal result. So this article analyzed in how does the dividend rate affected the final appraisal result.
Finally is close through several method contrast discovery income law and the cost method result are more similar to. This is because the income law and the cost law refer to the data that seals up and hidden. But the market current value method result and the actual situation difference quite is big. This is because uses the data comes from the money market,The congenial behavior causes these data deviation reality. If the data which uses comes as same time what the congenial behavior to be many, then the final result has the possibility to appear the deviation. The option fixed price law is closest to its value appraisal actual situation. This is because it is decides the company the value size through the Market to property value recognition degree. Moreover The option fixed price law also has the problem just as theory of immature, the money market is imperfect, congenial and the arbitrage behavior affects seriously its data authenticity,The enterprise information difficult to judge.
现代金融学认为企业价值取决于企业的未来现金流量,而未来现金流量源于未来的一个或多个投资业务。运用期权定价理论,可以把企业的每一个未来的投资机会看作是一种买权,计算其价值并加总,然后按现金流量折现的方法计算业务现有部分的价值,最后将期权价值与现有部分价值相加就得到了企业的总价值。因此企业的价值可以看作是一个以企业为标的资产的看涨期权,可使用期权定价模型对其价值进行评估。
本文利用几种资产评估方法对唐钢股份有限公司的资产价值进行研究,并通过得到的结论来分析几种评估方法的优缺点、需要改进的地方、所需数据的标准化处理方法、适用范围等内容,希望通过对此的分析研究能有助于我们更加合理的选择价值评估方法,更加准确的评估各企业的资产价值,使我国的金融资本市场朝着更加健康,有序的方向方展。
本文创新之处在于对期权价值的研究中充分考虑了红利对股票价格和企业价值的影响。在一般假设条件下是不考虑股票红利情况的。但在实际情况中大多数股票是要支付红利的,而且有一部份股票所支付的红利极高,并且股票是否支付红利还存在着极大的不确定性。红利的支付会使股票价格下降,下降的幅度是每股支付的红利,并因此影响期权定价法的评估结果。于是本文重点分析了在期权定价法中红利率是以怎样的方式、在什么范围内影响到最后的评估结果的。
最后通过几种方法的对比发现收益现值法和重置成本法的结果较为相近,这是因为收益现值法和重置成本法所参照的数据较为封闭和隐定。而现行市价法的结果与实际情况的差别比较大,这是因为所使用的数据来自于存在投机行为的开放的金融市场,投机行为常常会使得这些数据偏离实际正常。所以如果采用的数据来至于投机行为较多的某个时间段,则最后的评估结果就有可能出现偏差,因此需要对收集的这些数据进行标准化的处理。期权定价法对其价值的评估最为接近实际情况,这是因为它是通过活跃的股票市场对资产价值的公认程度来确定股价的权重,再由权重的大小来决定公司价值的大小。另外期权定价法也还面对着理论不成熟、金融市场不完善,各种投机和套利行为严重影响到其数据真实性,企业信息接露的速度和真假难以判断等有待解决的问题。
The property value appraisal is the inevitable producted when commodity economy developed the certain stage. Specially with the emergence of market economy system, The property transaction obtains the development and the strength unceasingly. In order to ensure the scientific and rationality of the transaction, the property appraises needs to enhance. The property appraised has two kind of methods: One kind is depends on the experience to make the qualitative estimated, called the Objective valuation method; Another kind is rests on some kind of theory or the model, called the subjective valuation. The property appraised experienced original appraised, experience in the appraised and scientific appraised. Produced current market value method, Replacement cost method and the present value of earnings method.
The modern finance study thought the enterprise value will be decided by capacity of enterprise's future cash current. The future cash current capacity will come from one or many future investment service. Using option fixed price theory. Enterprise's opportunities for investment can be seen as a right to buy. Calculate the value, then according to cash current capacity commutation method computation service existing part value. Finally, obtain the enterprise's value, According to option value and existing value adding together. Therefore enterprise's value may regard as call option that underlying asset is enterprise. May use the option fixed price model carry on enterprise asset value.
This article uses several property appraisal method carries on the analysis to the Tang steel limited liability company's related value and through the conclusion which obtains explains several appraisal methods the good and bad points. The hope can be helpful through the regarding this comparison research to us more reasonable choice value appraisal method, More accurate appraisal various enterprises' property value, Causes our country's financial capital market to face healthily, the order direction side unfolds
This article innovates the place is considered fully the influence of dividend to the stock price and the enterprise value. In the hypothetical situation that does not consider the stock dividend situation. But in actual situation, the majority stocks are must pay the dividend. Moreover has the dividend which a partial stock pays to be extremely high, And stock whether pays the dividend also to have the enormous uncertainty. The dividend payment can cause the stock price to drop, the drop scope is each payment dividend. And therefore influence option fixed price method appraisal result. So this article analyzed in how does the dividend rate affected the final appraisal result.
Finally is close through several method contrast discovery income law and the cost method result are more similar to. This is because the income law and the cost law refer to the data that seals up and hidden. But the market current value method result and the actual situation difference quite is big. This is because uses the data comes from the money market,The congenial behavior causes these data deviation reality. If the data which uses comes as same time what the congenial behavior to be many, then the final result has the possibility to appear the deviation. The option fixed price law is closest to its value appraisal actual situation. This is because it is decides the company the value size through the Market to property value recognition degree. Moreover The option fixed price law also has the problem just as theory of immature, the money market is imperfect, congenial and the arbitrage behavior affects seriously its data authenticity,The enterprise information difficult to judge.
引文
[1]唐建新,周娟.资产评估教程[M].清华大学出版社,2005:19-32 254-259
[2]张志强.期权理论与公司理财[M].北京:华夏出版社,2001
[3]单炳亮.公司价值评估理论的发展[J].当代经济科学,2004
[4]王永海.资产定价理论[M].经济科学出版社,2001.
[5]汪平.财务估计法[M].上海:上海财经大学出版社,2000
[6] Arrow,K,J.,Deberu,g . Alternative approaches to the theory of choice in risk-taking situations[J]. Econometrica,vol.19,404-437,1954
[7]Attanasio,O and G. Weber.Consumption growth,the interest rate,and aggregation Review of Economic Studies[J].1993,vol.60,631-649.
[8]Campbell,J,L, and A .Markinlay.The Econometrics of Financial Markets[J].Princeton University Press,Princeton,NJ ,1997
[9]Schwert,G William.Anomalies and market efficiency[J].NBER Working Paper,2002 9277,
[10]刘玉平.资产平估[M].经济科学出版社,2001
[11]Chamberlain,Gary.A Characterization of the Distributions that Imply Mean-Variance Utility Functions, [J]. Fournal of Economic Theory,29(1983),185-201
[12]Lintner,John.Distribution of Incomes of Corporations Among Dividends,Retained Earnings,and Taxes [J].Amercian Economic Review,46(may 1956),97-113
[13]Finnerty,J.E.Insiders and Market Efficiency[J].Journal of Finance,September 1976,1141-1148
[14]Douglas.Scarrett.Property[J] .Valuation:London:E&FNSpon,1991
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[17]John Hull.Options Futures and Other Derivatives[J].Fifth Edition,Prentice Hall ,2000
[18]Lenos Trigeorgis.Real Options in Capital Investment[J].Praeger Publisher ,1995
[19]乔纳森.芒.实物期权分析[M] .中国人民大学出版社,2006:63-65
[20]Richard.A.Brealey&Stewart C.Myers,Principles of Corporate Finance[J].Mcgraw Hill,1996
[21]black,schools.the pricing and option and corporate liabilities [J].journal of political economy,1973:637-659
[22]Dixit.A,Pindyck R.Investment Under Uncertainty[M].Princeton:Princeton University Press,1994
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[24]奎淑锦,谷兰俊.实物期权方法及其应用[J] .经济师,2004(1)
[25]Ruhuha J C & Young J E.Venture Capital Model of the Development Process for New Venture[J].Journal of Business Venturing,feb,1987
[26]Kemna.A,Case Studies on Real Options[J].Financial Management,Autumn 1993 : 259 -270
[27]孙玉甫.人力资产定价[M].立信会计出版社,2005:22-25
[28]苑泽明.无形资产评估[M].復旦大学出版社,2005.
[29]于春海.发展中金融市场上的资产定价问题研究[M].中国经济出版社,2006:151-152
[30]周洛华.资产定价学[M].上海财经大学出版社,2004:194-198
[31]约翰.赫尔.期权、期货和衍生证券[M].华夏出版社,1997:5-6 160-169 205-207 236-243
[32]杨锐.公司债券价值研究[J] .预测,1998
[33]王超宇.基于期权定价理论的徐州工程机械科技股份有限公司股权价值研究:[硕士学位论文].西安:西安理工大学,2005:34-40
[34]李子奈.计量经济学[M] .高等教育出版社,2000
[35]庄楚强,吴亚森.应用数理统计基础[M] .华南理工大学出版社,1992
[36]李胜坤.期权定价理论与资产评估[J] .财会,2004
[37]汤益民.实物期权定价理论及其在风险投资项目评价中的应用[J].期货日报,2006
[38]高世泽.概率统计引论[M] .重庆大学出版社,2000
[39]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,1999,7(1)
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[43]李铃.中国地产价格与评估[M].北京:中国人民大学出版社,1999
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[2]张志强.期权理论与公司理财[M].北京:华夏出版社,2001
[3]单炳亮.公司价值评估理论的发展[J].当代经济科学,2004
[4]王永海.资产定价理论[M].经济科学出版社,2001.
[5]汪平.财务估计法[M].上海:上海财经大学出版社,2000
[6] Arrow,K,J.,Deberu,g . Alternative approaches to the theory of choice in risk-taking situations[J]. Econometrica,vol.19,404-437,1954
[7]Attanasio,O and G. Weber.Consumption growth,the interest rate,and aggregation Review of Economic Studies[J].1993,vol.60,631-649.
[8]Campbell,J,L, and A .Markinlay.The Econometrics of Financial Markets[J].Princeton University Press,Princeton,NJ ,1997
[9]Schwert,G William.Anomalies and market efficiency[J].NBER Working Paper,2002 9277,
[10]刘玉平.资产平估[M].经济科学出版社,2001
[11]Chamberlain,Gary.A Characterization of the Distributions that Imply Mean-Variance Utility Functions, [J]. Fournal of Economic Theory,29(1983),185-201
[12]Lintner,John.Distribution of Incomes of Corporations Among Dividends,Retained Earnings,and Taxes [J].Amercian Economic Review,46(may 1956),97-113
[13]Finnerty,J.E.Insiders and Market Efficiency[J].Journal of Finance,September 1976,1141-1148
[14]Douglas.Scarrett.Property[J] .Valuation:London:E&FNSpon,1991
[15]Steven E Landsburg.Price Theory and Applications[M].South-Western College Publishing,1999
[16]Michael L Kats, Harvey S Rose.Microeconomics[J].Irwin McGrowHill,1998
[17]John Hull.Options Futures and Other Derivatives[J].Fifth Edition,Prentice Hall ,2000
[18]Lenos Trigeorgis.Real Options in Capital Investment[J].Praeger Publisher ,1995
[19]乔纳森.芒.实物期权分析[M] .中国人民大学出版社,2006:63-65
[20]Richard.A.Brealey&Stewart C.Myers,Principles of Corporate Finance[J].Mcgraw Hill,1996
[21]black,schools.the pricing and option and corporate liabilities [J].journal of political economy,1973:637-659
[22]Dixit.A,Pindyck R.Investment Under Uncertainty[M].Princeton:Princeton University Press,1994
[23]金永红,叶中行,奚玉芹.价值评估[M].清华大学出版社,2004: 168-172
[24]奎淑锦,谷兰俊.实物期权方法及其应用[J] .经济师,2004(1)
[25]Ruhuha J C & Young J E.Venture Capital Model of the Development Process for New Venture[J].Journal of Business Venturing,feb,1987
[26]Kemna.A,Case Studies on Real Options[J].Financial Management,Autumn 1993 : 259 -270
[27]孙玉甫.人力资产定价[M].立信会计出版社,2005:22-25
[28]苑泽明.无形资产评估[M].復旦大学出版社,2005.
[29]于春海.发展中金融市场上的资产定价问题研究[M].中国经济出版社,2006:151-152
[30]周洛华.资产定价学[M].上海财经大学出版社,2004:194-198
[31]约翰.赫尔.期权、期货和衍生证券[M].华夏出版社,1997:5-6 160-169 205-207 236-243
[32]杨锐.公司债券价值研究[J] .预测,1998
[33]王超宇.基于期权定价理论的徐州工程机械科技股份有限公司股权价值研究:[硕士学位论文].西安:西安理工大学,2005:34-40
[34]李子奈.计量经济学[M] .高等教育出版社,2000
[35]庄楚强,吴亚森.应用数理统计基础[M] .华南理工大学出版社,1992
[36]李胜坤.期权定价理论与资产评估[J] .财会,2004
[37]汤益民.实物期权定价理论及其在风险投资项目评价中的应用[J].期货日报,2006
[38]高世泽.概率统计引论[M] .重庆大学出版社,2000
[39]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,1999,7(1)
[40]于鸿君.资产评估教程[M].北京:北京大学出版社,2000
[41]许小悦.资产评估理论与务实[M].上海:立信会计出版社,1994:23
[42]李士松.机电设备评估基础[M].北京:中国财政经济出版社,2004
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