基于FCFE模型与B-S模型相结合的股票估值方法的应用研究
摘要
我国证券市场上,上市公司股票价值的评估无疑是一个难题。而传统的股票定价方法是基于股票现值应该等于该股票未来所有红利的现值这个假设前提下的。该假设简单地认为股票的价值可以通过对未来预测的现金流进行贴现而获得,即该假设是将股票的价值放在确定性条件下进行衡量的。但实际上,大多数公司的价值都包括了现金流价值和期权价值。一般来说,公司的生产和经营活动会产生稳定的现金流,同时公司的科研开发和市场拓展活动会产生期权价值。传统的定价模式,把所有的公司都放在现金流价值的标尺上进行衡量,结果被证明是不完全合理的。现金流贴现的方法只适用于那些具有稳定业务收入,没有不确定性增长的公司的价值评估。
为完善股票价值的评估方法,本文使用理论分析与案例分析相结合的方法展开研究,主要内容包括:
(1)股票的价值影响因素部分,主要通过宏观和微观两方面进行分析,说明股票价值的影响因素既包括GDP、通货膨胀、利率、汇率和财政政策、货币政策等和公司所处行业的特征及公司的基本面因素与财务指标还包括公司净资产、公司盈利水平等微观因素。
(2)股票价值的构成分析部分,主要是通过对行业特征的分析,指出不是任何企业都可以采用传统的贴现现金流方法估值,由于任何企业都既包含确定性的现金流价值也包含不确定性的期权价值,只是根据行业特征不同,其侧重点不同而已。
(3)股票估值模型分析部分,主要通过分析现有模型的局限性,进而提出新的估值模型。
(4)案例分析部分,以医药行业中的双鹭药业公司为例进行估值。其路径为:首先采用PE模型对其估值,指出这种模型的局限,然后针对双鹭药业的特征一分为二地对其进行估值,使用FCFE模型对其现有产品进行估值,使用B-S模型对其已获取产品批文但尚未投产的不确定性价值进行估值,然后将两个价值加总,从而得出该股票的真正价值。
(5)结论与展望部分,总结了研究工作的重要意义、存在的问题和有待拓展之处。
It is no doubt that the stock evaluation of listed company is a difficult problem on our country bond market. The traditional stock fixed price method is based on the premise that stock current value ought to be equal to the current value owing all stock future bonus.The hypothesis thinks that stock value is discounted current value of forecast cash flow, namely, the hypothesis is measured under detenninacy condition. However, in fact, the value of majority companies all not only includes cash flow value but also option value. Generally speaking, company's operations may produce the stable cash flow, at the same time, the research and development of the company may make option value. Traditional fixed price model that all companies be measured on the cash flow scale turned out to be unreasonable. The discounted cash flow method is applied to those companies only when they have stabilize business income and have no the uncertainty increases.
In order to impove it, this paper carries on applied research combining theory analysis with case analysis .Its main contents as followings:
(1) In the part of the influencing factor of stock value , mainly carries on the analysis through macroscopic and the microscopic two aspects, the analysis explains that the influencing factor of stock value not only includes GDP, the inflation, the interest rate, the exchange rate and the financial policy, the monetary policy, the profession characteristic that the company locates, company's fundamental plane factor and the financial norm but also includes the company net assets, the level of company 'profit, company's dividend policy and so on.
(2) In the part of the stock value constitution analysis, it mainly analyses the industry characteristic and then points out that not all enterprise may use traditional DCF method to evalue, because any enterprise not only contains the definite cash flow value but also contains the uncertainty option value. So, we should use different evaluation methods according to profession difference.
(3) In the part of stock evaluation model analysis, it mainly analyses the limitation of existed model and points out the new evaluation model.
(4) In the part of the case analysis, with the example of slpharm, firstly, it carries on the value assessment using PE model and points out the limitation of the kind model. Then it carries on the value assesment in view of the slpharm characteristic, it carries on the value assessment for its existed product using the FCFE model and for its patent abtained but not yet go into production using the B-S model, lastly it pluses the value of existed product with the value of the patent, thus obtaining the true value of this stock.
(5)In the part of the conclusion and perspective, it points out the positive significance of the research, the existing problems and the field to expand it.
为完善股票价值的评估方法,本文使用理论分析与案例分析相结合的方法展开研究,主要内容包括:
(1)股票的价值影响因素部分,主要通过宏观和微观两方面进行分析,说明股票价值的影响因素既包括GDP、通货膨胀、利率、汇率和财政政策、货币政策等和公司所处行业的特征及公司的基本面因素与财务指标还包括公司净资产、公司盈利水平等微观因素。
(2)股票价值的构成分析部分,主要是通过对行业特征的分析,指出不是任何企业都可以采用传统的贴现现金流方法估值,由于任何企业都既包含确定性的现金流价值也包含不确定性的期权价值,只是根据行业特征不同,其侧重点不同而已。
(3)股票估值模型分析部分,主要通过分析现有模型的局限性,进而提出新的估值模型。
(4)案例分析部分,以医药行业中的双鹭药业公司为例进行估值。其路径为:首先采用PE模型对其估值,指出这种模型的局限,然后针对双鹭药业的特征一分为二地对其进行估值,使用FCFE模型对其现有产品进行估值,使用B-S模型对其已获取产品批文但尚未投产的不确定性价值进行估值,然后将两个价值加总,从而得出该股票的真正价值。
(5)结论与展望部分,总结了研究工作的重要意义、存在的问题和有待拓展之处。
It is no doubt that the stock evaluation of listed company is a difficult problem on our country bond market. The traditional stock fixed price method is based on the premise that stock current value ought to be equal to the current value owing all stock future bonus.The hypothesis thinks that stock value is discounted current value of forecast cash flow, namely, the hypothesis is measured under detenninacy condition. However, in fact, the value of majority companies all not only includes cash flow value but also option value. Generally speaking, company's operations may produce the stable cash flow, at the same time, the research and development of the company may make option value. Traditional fixed price model that all companies be measured on the cash flow scale turned out to be unreasonable. The discounted cash flow method is applied to those companies only when they have stabilize business income and have no the uncertainty increases.
In order to impove it, this paper carries on applied research combining theory analysis with case analysis .Its main contents as followings:
(1) In the part of the influencing factor of stock value , mainly carries on the analysis through macroscopic and the microscopic two aspects, the analysis explains that the influencing factor of stock value not only includes GDP, the inflation, the interest rate, the exchange rate and the financial policy, the monetary policy, the profession characteristic that the company locates, company's fundamental plane factor and the financial norm but also includes the company net assets, the level of company 'profit, company's dividend policy and so on.
(2) In the part of the stock value constitution analysis, it mainly analyses the industry characteristic and then points out that not all enterprise may use traditional DCF method to evalue, because any enterprise not only contains the definite cash flow value but also contains the uncertainty option value. So, we should use different evaluation methods according to profession difference.
(3) In the part of stock evaluation model analysis, it mainly analyses the limitation of existed model and points out the new evaluation model.
(4) In the part of the case analysis, with the example of slpharm, firstly, it carries on the value assessment using PE model and points out the limitation of the kind model. Then it carries on the value assesment in view of the slpharm characteristic, it carries on the value assessment for its existed product using the FCFE model and for its patent abtained but not yet go into production using the B-S model, lastly it pluses the value of existed product with the value of the patent, thus obtaining the true value of this stock.
(5)In the part of the conclusion and perspective, it points out the positive significance of the research, the existing problems and the field to expand it.
引文
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[2]. Bernard and Stober.The Nature and Amount of Information in Cash Flows and Accuruals[J].The Accounting Review. 1989.10:624-652.
[3]. Black, F., and Scholes,M.J.,1973,The Pricing of Option and Corporate Liabilities[J]. Journal of Political Economy81(3),May,637-54
[4]. Boness,A-James.Elements of a Theory of Stock-Option Values[J] Journal of Political Economy.72.1964.4:163-75
[5]. Dechow. Accounting Earnings and Cash Flow as Measures of Firm Performance: The Role of Accounting Accruals[J]. Journal of Accounting and Economics. 1994.7:3-42.
[6]. Edward J. Sullivan and Timothy M. Weithers. Louis Bachelier:The Father of Modern Option Pricing Theory[J]. Journal of Economic Education. 1991.3
[7]. Graham, B, and Dodd,D,L.Security Analysisy[M].Mc Gnaw Hill Publisher 1962:383-417.
[8]. Huebner,S.S. The Stock Market rer.ed.John WILEY&SON. 1934.
[9]. Modigliani. F. And M. H. Miller.The Cost of Capital,Corporation Finance and The Theory of Investment[J]. American Economic Review. 1958
[10]. Patell,Kaplan. The Information Content of Cash Flow Data Relative to Annual Earnings[J].Stanforal University Working Paper. 1977.8:16-20
[11]. Pratt, S. S. The Work of Wall Street[J]. Journal of Finance.March 1903:77-91.
[12].Rapaport, Alfred .The Affordable Dividend Approach Equity Valuation[J]. Financial Analysis Journal. 1986.6
[13]. Sloan,R.G. Do Stock Prices Fully Reflect Information in Accrual and Cash Flow about Future Earnings?[J].The Accounting Review. 1996.7:289-315
[14]. TrigeorgisL.Anticipated Competitive Entry and Early Preemptive Investment in Deferrable Projects[J] Journal of Economics and Business.May,1991a, 43(2):14-156.
[15].TrigeogisL.A Log Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investment,[J].Journal of Financial and Quantitative Analysis,September,t991b,26(3):309-326.
[16].Williams,J.B.The Theory of Investment Value[M].Harvard University Press.1938:347-400.
[17].(美)阿沃斯·达莫达让(A·Damodaran).深入评估价值[M].姜万军译.北京大学出版社.2005.3:240
[18].AswathDamodaran(美).投资估价[M].林谦译.第2版上册.清华大学出版社.2004年.
[19].博迪滋维著.投资学[M].朱宝宪译.第5版.机械工业出版社.2002
[20].陈君宁,许月丽.如何在投资决策中正确运用实物期权[J].科技管理研究,2005(10):167.
[21].陈卓群.高新技术企业价值评估方法研究-以中兴通讯公司为例[D].南京航空航天大学.2006年3月:47
[22].崔博.期权理论在公司理财方面的应用[J].沿海企业与科技.2005(6):128.
[23].葛家澍,杜兴强.无形资产会计的相关问题综评与探讨(下)[J].财会通讯(综合版).2004
[24].火颖,张汉飞.FCFE模型进行估价的方法应用-青岛啤酒股票价值分析[J].山东社会科学.2004年第5期
[25].姜宏伟,王馨园.高科技企业资产评估的研究[J].煤炭企业管理.2004
[26].姜宁.医药流通类上市公司投资价值分析及方法选择[D].广西大学.2007.5:18-20
[27].李国毅.论股票的投资价值[J].黑龙江财专学报.1997年第2期
[28].李黄海.寻找中国股市的合理市盈率[J].中国证券报.1998年4月7日
[29].李瑞海,邹礼瑞,陈宏民.基于净资产的证券投资价值评估模型[J].系统工程理论方法应用.2004年第4期
[30].刘国买,邹捷中,陈超.期权激励条件下经理行为与公司业绩[J].武汉理工大学学报.2004(2):113.
[31].马庆国.管理统计-数据获取、统计原理、SPSS工具与应用研究[M].科学出版社.2002.8:308-331
[32].马青山和余静.股利贴现模型及实例分析[J].云南金融与经济大学学报.2003年第6期
[33].沈玉志,黄训江.基于实物期权理论的投资项目评估方法研究[J].数量经济技术经济研究.2001(11):59.
[34].孙国茂.公司价值理论与股票定价[J].中央财经大学学报.2002第4期
[35].孙永祥.我国股票内在价值的估测[J].中国证券报.1998年7月7日
[36].涂平晖,张子刚.实物期权方法及其在战略收购中的应用[J].科技进步与对策.2004(3):107.
[37].万敏.基于红利贴现模型的纯粹型控股公司股权价值评估[J].科教文汇(上半月).2006
[38].王加安.华北国际电力股份有限公司投资价值分析[D].厦门大学.硕士.2005年10月:34-39
[39].许尚德和范波.红利贴现模型应用实证分析[J].大众科技.2005年第10期
[40].许文静.浅议股权价值的计算[J].石油大学学报(社会科学版).2001第5期
[41].颜秀春,胡日东.期权理论在股票价值估算中的应用[J].莆田学院学报.2007年2月
[42].张大光.关于股票理论价格的探讨[J].财贸经济.1993年第7期
[43].赵国忻.高科技企业投资价值评估[J].科技管理研究.2003年第3期
[44].赵金红.贴现模型价值投资的实证分析[J].漯河职业技术学院学报.2005年第4期
[45].赵天荣,王晋.首次公开发行股票(IPO)定价模型的评析[J].孝感学院学报.2004年第2期
[46].赵锡军,李向科.证券投资分析[M].中国金融出版社,2003.6
[47].赵永.收益贴现模型及其在中国证券市场的应用--以上海机场股票为例的实证分析[J].世界经济情况.2007年2月
[48].中国银行业从业人员资格认证办公室编.风险管理.中国金融出版社.2007.7:69-71
[49].周洛华.资产定价学[M].上海财经大学出版社,2004.4:199-221
[50].周仁郁.SPSS13.0统计软件.西南交通大学.2005
[2]. Bernard and Stober.The Nature and Amount of Information in Cash Flows and Accuruals[J].The Accounting Review. 1989.10:624-652.
[3]. Black, F., and Scholes,M.J.,1973,The Pricing of Option and Corporate Liabilities[J]. Journal of Political Economy81(3),May,637-54
[4]. Boness,A-James.Elements of a Theory of Stock-Option Values[J] Journal of Political Economy.72.1964.4:163-75
[5]. Dechow. Accounting Earnings and Cash Flow as Measures of Firm Performance: The Role of Accounting Accruals[J]. Journal of Accounting and Economics. 1994.7:3-42.
[6]. Edward J. Sullivan and Timothy M. Weithers. Louis Bachelier:The Father of Modern Option Pricing Theory[J]. Journal of Economic Education. 1991.3
[7]. Graham, B, and Dodd,D,L.Security Analysisy[M].Mc Gnaw Hill Publisher 1962:383-417.
[8]. Huebner,S.S. The Stock Market rer.ed.John WILEY&SON. 1934.
[9]. Modigliani. F. And M. H. Miller.The Cost of Capital,Corporation Finance and The Theory of Investment[J]. American Economic Review. 1958
[10]. Patell,Kaplan. The Information Content of Cash Flow Data Relative to Annual Earnings[J].Stanforal University Working Paper. 1977.8:16-20
[11]. Pratt, S. S. The Work of Wall Street[J]. Journal of Finance.March 1903:77-91.
[12].Rapaport, Alfred .The Affordable Dividend Approach Equity Valuation[J]. Financial Analysis Journal. 1986.6
[13]. Sloan,R.G. Do Stock Prices Fully Reflect Information in Accrual and Cash Flow about Future Earnings?[J].The Accounting Review. 1996.7:289-315
[14]. TrigeorgisL.Anticipated Competitive Entry and Early Preemptive Investment in Deferrable Projects[J] Journal of Economics and Business.May,1991a, 43(2):14-156.
[15].TrigeogisL.A Log Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investment,[J].Journal of Financial and Quantitative Analysis,September,t991b,26(3):309-326.
[16].Williams,J.B.The Theory of Investment Value[M].Harvard University Press.1938:347-400.
[17].(美)阿沃斯·达莫达让(A·Damodaran).深入评估价值[M].姜万军译.北京大学出版社.2005.3:240
[18].AswathDamodaran(美).投资估价[M].林谦译.第2版上册.清华大学出版社.2004年.
[19].博迪滋维著.投资学[M].朱宝宪译.第5版.机械工业出版社.2002
[20].陈君宁,许月丽.如何在投资决策中正确运用实物期权[J].科技管理研究,2005(10):167.
[21].陈卓群.高新技术企业价值评估方法研究-以中兴通讯公司为例[D].南京航空航天大学.2006年3月:47
[22].崔博.期权理论在公司理财方面的应用[J].沿海企业与科技.2005(6):128.
[23].葛家澍,杜兴强.无形资产会计的相关问题综评与探讨(下)[J].财会通讯(综合版).2004
[24].火颖,张汉飞.FCFE模型进行估价的方法应用-青岛啤酒股票价值分析[J].山东社会科学.2004年第5期
[25].姜宏伟,王馨园.高科技企业资产评估的研究[J].煤炭企业管理.2004
[26].姜宁.医药流通类上市公司投资价值分析及方法选择[D].广西大学.2007.5:18-20
[27].李国毅.论股票的投资价值[J].黑龙江财专学报.1997年第2期
[28].李黄海.寻找中国股市的合理市盈率[J].中国证券报.1998年4月7日
[29].李瑞海,邹礼瑞,陈宏民.基于净资产的证券投资价值评估模型[J].系统工程理论方法应用.2004年第4期
[30].刘国买,邹捷中,陈超.期权激励条件下经理行为与公司业绩[J].武汉理工大学学报.2004(2):113.
[31].马庆国.管理统计-数据获取、统计原理、SPSS工具与应用研究[M].科学出版社.2002.8:308-331
[32].马青山和余静.股利贴现模型及实例分析[J].云南金融与经济大学学报.2003年第6期
[33].沈玉志,黄训江.基于实物期权理论的投资项目评估方法研究[J].数量经济技术经济研究.2001(11):59.
[34].孙国茂.公司价值理论与股票定价[J].中央财经大学学报.2002第4期
[35].孙永祥.我国股票内在价值的估测[J].中国证券报.1998年7月7日
[36].涂平晖,张子刚.实物期权方法及其在战略收购中的应用[J].科技进步与对策.2004(3):107.
[37].万敏.基于红利贴现模型的纯粹型控股公司股权价值评估[J].科教文汇(上半月).2006
[38].王加安.华北国际电力股份有限公司投资价值分析[D].厦门大学.硕士.2005年10月:34-39
[39].许尚德和范波.红利贴现模型应用实证分析[J].大众科技.2005年第10期
[40].许文静.浅议股权价值的计算[J].石油大学学报(社会科学版).2001第5期
[41].颜秀春,胡日东.期权理论在股票价值估算中的应用[J].莆田学院学报.2007年2月
[42].张大光.关于股票理论价格的探讨[J].财贸经济.1993年第7期
[43].赵国忻.高科技企业投资价值评估[J].科技管理研究.2003年第3期
[44].赵金红.贴现模型价值投资的实证分析[J].漯河职业技术学院学报.2005年第4期
[45].赵天荣,王晋.首次公开发行股票(IPO)定价模型的评析[J].孝感学院学报.2004年第2期
[46].赵锡军,李向科.证券投资分析[M].中国金融出版社,2003.6
[47].赵永.收益贴现模型及其在中国证券市场的应用--以上海机场股票为例的实证分析[J].世界经济情况.2007年2月
[48].中国银行业从业人员资格认证办公室编.风险管理.中国金融出版社.2007.7:69-71
[49].周洛华.资产定价学[M].上海财经大学出版社,2004.4:199-221
[50].周仁郁.SPSS13.0统计软件.西南交通大学.2005