企業(yè)價值評估模型研究綜述

1、企業(yè)價值評估企業(yè)價值評估Corporate Valuation中國山東大學管理學院 袁明哲Dr. Mingzhe Yuan, Professor, Management School, Shandong University, China 第一講(Part I)企業(yè)價值評估的基本模型(Basic models of corporate valuation)一、企企業(yè)業(yè)價價值值的的概概念念(concepts about firm value)(concepts about firm value)（一）企業(yè)價值的定義（一）企業(yè)價值的定義(Definition of firm value)(Defi

2、nition of firm value)1.1. 內在價值內在價值( (Intrinsic value): :2. 企業(yè)價值企業(yè)價值負債價值股權價值負債價值股權價值負債價值負債價值 + 優(yōu)先股價值優(yōu)先股價值 + 普通股價值普通股價值 firm value= value of debt+ value of equity =value of debt +value of preferred stocks +value of common stocks123231111TTE CFE CFE CFE CFVrrrr3.3.公允價值公允價值(fair value )(fair value )：財務會

3、計：在公平交易中，熟悉情況的交易雙財務會計：在公平交易中，熟悉情況的交易雙方自愿進行資產交換或者債務清償的金額。方自愿進行資產交換或者債務清償的金額。Financial accounting: Financial accounting: the amount for which an the amount for which an asset could be exchanged, or a liability asset could be exchanged, or a liability settled, between knowledgeable, willing parties set

4、tled, between knowledgeable, willing parties in an arms length transactionin an arms length transaction資產評估：資產評估：在特定時期、地點和條件約束下的在特定時期、地點和條件約束下的公平交換價值。公平交換價值。Valuation: Valuation: the fair exchange value, in a the fair exchange value, in a particular period, place and under constraints particular per

5、iod, place and under constraints conditionsconditions4. 4. 市場價值（市場價值（market value): market value): 市場價值是在符合市場價值定義的條件下，市場市場價值是在符合市場價值定義的條件下，市場上能夠合理形成的最可能價格。上能夠合理形成的最可能價格。(The most likely price under market value (The most likely price under market value conditions )conditions ) 市場價值條件：（市場價值條件：（1 1）買者

6、和賣者的地位是平等的，）買者和賣者的地位是平等的，彼此都有獲取足夠市場信息的機會和時間；（彼此都有獲取足夠市場信息的機會和時間；（2 2）買賣雙方的交易都是在自愿的、理智的條件下進買賣雙方的交易都是在自愿的、理智的條件下進行的，不受任何強迫和壓制。行的，不受任何強迫和壓制。market value conditions:(1) the position of buyers market value conditions:(1) the position of buyers and sellers are equal, and both of them have and sellers are

7、equal, and both of them have chance and time to acquire market information; (2) chance and time to acquire market information; (2) the transactions are voluntary and rational the transactions are voluntary and rational without external coercion and repression.without external coercion and repression

8、.有效市場中有效市場中(efficient market)(efficient market)：市場價值公允價值市場價值公允價值= =內在價值市場價內在價值市場價格格Market value=fair value Market value=fair value =intrinsic value=intrinsic value=market price=market price5.5.賬面價值：根據會計準則確認的資產價值賬面價值：根據會計準則確認的資產價值Book value: total asset value recognized by Book value: total asset val

9、ue recognized by accounting standardsaccounting standards7.7.企業(yè)價值評估中使用的價值類型：企業(yè)價值評估中使用的價值類型：Value type in corporate valuationValue type in corporate valuation市場價值與非市場價值市場價值與非市場價值Market value and non market valueMarket value and non market value市場價值以外的價值市場價值以外的價值: : 投資價值，持續(xù)經營價值，投資價值，持續(xù)經營價值，清算價值等。清算價值等

10、。non market value: investment value,non market value: investment value,going concern valuegoing concern value , liquidation value 1. 1. 現(xiàn)金流量折現(xiàn)模型現(xiàn)金流量折現(xiàn)模型(discounted cash flow model)(discounted cash flow model)CFCF：現(xiàn)金流量：現(xiàn)金流量( cash flow)( cash flow)二、企業(yè)價值評估的基本模型（Basic models of corporate valuation)Basi

11、c models of corporate valuation)123231111TTE CFE CFE CFE CFVrrrr2.現(xiàn)金股利折現(xiàn)模型現(xiàn)金股利折現(xiàn)模型 (Cash dividend discount model)基本公式基本公式(basic model)：D：現(xiàn)金股利（含股票回購及清算股利）：現(xiàn)金股利（含股票回購及清算股利） cash dividend (including redemption of stock and liquidation dividend)122111ttttE DE DE DVrrr現(xiàn)金股利折現(xiàn)模型的變形transformationtransformat

12、ions of cash dividend discount modelcash dividend discount model （1 1） 年金法年金法(annuity method)(annuity method)： P=A/r P=A/r其中其中(where)(where)，1111nniiiiiADrr（2 2）分段法）分段法(segmentation(segmentation method)：假設年以后保持假設年以后保持D Dn n不變：不變：(Dividends remain unchanged after year n)(Dividends remain unchanged af

13、ter year n)假設從假設從 (n+1) (n+1)年起的后段，企業(yè)預期年現(xiàn)年起的后段，企業(yè)預期年現(xiàn)金股利將按一固定比率金股利將按一固定比率(g)(g)增長，則分段增長，則分段法的公式可寫成法的公式可寫成: :(Dividends grow by a fixed rate, g, after year n)(Dividends grow by a fixed rate, g, after year n) 1()11()ninniiD rgVDrrrg111ninniiDVDrRr（3 3）固定分配率股利折現(xiàn)模型 (Fixed distribution rate cash flow dis

14、count model)(Fixed distribution rate cash flow discount model)001Ebg EVg令現(xiàn)在時刻為令現(xiàn)在時刻為t=0t=0，每股收益為，每股收益為E E0 0，再投資收益率為常數，再投資收益率為常數ROEROE，收益留存率為收益留存率為b b（1-b1-b為股利分配率），為股利分配率），g = 1+b*ROET=0: present timeE0: earnings per shareROE: constant reinvestment returnb: retaining rate of the incomeg = 1+b*ROE（4

15、 4）收益價值模型 (Income value model)011EttttttEIVttttIEDFtF發(fā)行新股彌補投資所需資金或將剩余資金用于購回普通股(funds by issuance of new shares for investment or redemption of stocks)tttIEDtttDDF（5 5）非持續(xù)經營假設前提下：）非持續(xù)經營假設前提下： ( (Non-going concern assumptions)Non-going concern assumptions)111nininiVDrVr3.3.股權自由現(xiàn)金流量折現(xiàn)模型 (Free cash flow

16、 to equity discount model)3120231(1)(1)EFCFEFCFEFCFEVrrr其中，其中， FCFE=FCFE=可供分配的現(xiàn)金流量可供分配的現(xiàn)金流量( (free cash flow to equity ) NI = NI = 凈利潤凈利潤(net income)(net income) Dep = Dep = 折舊折舊( (depreciation) CE = CE = 資本性支出資本性支出(capital expenditure)(capital expenditure) WC= WC= 營運資本的變化量營運資本的變化量(change of working

17、 capital)(change of working capital) D=債務凈增加額（發(fā)行新債債務凈增加額（發(fā)行新債-償還舊債）償還舊債） FCFENIDepamortCEWCD4.4.企業(yè)自由現(xiàn)金流量折現(xiàn)模型 (Free cash flow to firm discount model)3120231(1)(1)FFCFFFCFFFCFFVWACCWACCWACC(1)FCFFEBITxDepCEWC企業(yè)價值企業(yè)價值=股權價值股權價值+債務價值債務價值firm value= value of debt + value of equity股權價值股權價值=企業(yè)價值企業(yè)價值-債務價值債務價

18、值value of equity =firm value - value of debt5.5.實物期權模型(real option model)(real option model)期權是指一種選擇權合約，它是指持有者在未來期權是指一種選擇權合約，它是指持有者在未來一段時間內以一定的價格購買或出售某項金融資一段時間內以一定的價格購買或出售某項金融資產（股票、匯率、利率等）的權利。產（股票、匯率、利率等）的權利。（An option is a contract giving the An option is a contract giving the holderholderthe right

19、 to buy or sell a given stock at the right to buy or sell a given stock at certain price , subject to various certain price , subject to various conditions.conditions. ） Black-Scholes Black-Scholes 期權定價模型期權定價模型(Option pricing (Option pricing model)model)（19731973）。）。期權定價模型的在企業(yè)價值評估中的應用期權定價模型的在企業(yè)價值評估中

20、的應用(application of option pricing model in corporate valuation)(application of option pricing model in corporate valuation)1.1.企業(yè)價值企業(yè)價值= =資產價值（有形資及無形資產）資產價值（有形資及無形資產）+ +期權價值（投期權價值（投資機會）資機會）Firm value = value of assets + value of option Firm value = value of assets + value of option (investment oppor

21、tunity)(investment opportunity)2.2.企業(yè)價值企業(yè)價值= =業(yè)務價值（已擁有的業(yè)務項目）業(yè)務價值（已擁有的業(yè)務項目）+ +創(chuàng)新價值（拓創(chuàng)新價值（拓展新業(yè)務）展新業(yè)務）Firm value = value of current business + value of Firm value = value of current business + value of new businessnew business3.3.企業(yè)價值企業(yè)價值= =股權價值（看漲期權）股權價值（看漲期權）+ +債權價值債權價值Firm value = value of equity (c

22、all option) + value Firm value = value of equity (call option) + value of debtof debt企業(yè)全部資產（企業(yè)全部資產（total assets)total assets)：標的資產：標的資產(underlying asset)(underlying asset)，看漲期權（，看漲期權（call call option)option)期權的執(zhí)行價格期權的執(zhí)行價格= =負債負債D D（exercise price exercise price of option=debt)of option=debt)到期日企業(yè)價值到

23、期日企業(yè)價值V VF F股東收益股東收益=max0=max0，V VF F-D-D股權價值股權價值= =看漲期權價值看漲期權價值Value of equity =value of call optionValue of equity =value of call option6.6.經濟附加值模型（經濟附加值模型（EVA model)EVA model)EVA=EBIT(1-T)-CapitalEVA=EBIT(1-T)-Capital* *WACCWACC122111TFTE EVAE EVAE EVAVCapitalWACCWACCWACC7.7.超常收益模型 (abnormal earn

24、ings model or residual income model)干凈盈余關系（Clean surplus relation）： 1ttttBBED1tttAErB 超常收益(abnormal earnings or residual income)： At:超常收益(abnormal earnings) Et：凈利潤(net earnings) Bt-1：期初所有者權益(beginning equity) r:股權資本成本(cost of equity capital)超常收益模型 (abnormal earnings model)11ttttErBVB 1r Ohlson Model

25、 線性自回歸假設(linear autoregressive assumption) ： 111,12,tttttttAAvvv 為會計報表中未包含的其他超常收益，小于1的非負數（other abnormal earnings not included in accounting reports, less than 1 greater than 0）。 tv, Ohlson Model/(1)(1)/()k2(1)/ 1(1)rrr 2()(1)tttttVkEDk BvFelthamFeltham和OhlsonOhlson模型（F-OF-O ModelModel） 假定金融資產不能產生非正

26、常的收益，并假設經營資產和超常經營收益滿足（Assume that financial assets can not generate abnormal earnings. Operating assets and abnormal operating earnings satisfy)： 其中：= 非正常營業(yè)收益(abnormal operating earnings)=營業(yè)收益(operating earnings)=營業(yè)資產(operating assets)111121,1,11222,2,11,11 1,3,12,122,4,1aatttttttttttttttoxoxoavoaoa

27、vvvvv1atttoxoxroa tox1toa Feltham和Ohlson模型（F-O Model）12atttttPBoxoav11111122112221211121(1)(1)(1)1( ,),(1)(1) 1rrrrrrrr tV 超常收益模型的實證研究(empirical studies about abnormal earnings model) Francis etc.Francis etc.，19971997；Penman and Penman and SougiannisSougiannis，1998:1998:雖然超常收益模型與股利貼現(xiàn)模型在本雖然超常收益模型與股利貼現(xiàn)模型在本質上是相同的，但超常收益模型在解釋質上是相同的，但超常收益模型在解釋橫斷面股票價格變化方面明顯優(yōu)于股利橫斷面股票價格變化方面明顯優(yōu)于股利貼現(xiàn)模型和自由現(xiàn)金流量模型貼現(xiàn)模型和自由現(xiàn)金流量模型(