创业板企业价值评估中的风险分析及量化问题研究

发布时间：2018-01-04 05:12

本文关键词：创业板企业价值评估中的风险分析及量化问题研究　出处：《首都经济贸易大学》2013年硕士论文　论文类型：学位论文

【摘要】：从2009年我国创业板市场推出至今，已有将近四年。伴随着该市场的不断壮大与发展，关于对创业板上市公司进行合理有效的价值评估的问题日益突显，已经成为当前资产评估行业亟待解决的热门话题。创业板上市公司“两高五新”的特点，使其相较于主板上市公司更缺乏经营上的稳定性，单一的估值结果所面临的与未来实际价值不一致的风险更大。因此，采用何种方法和途径对创业板上市公司进行价值评估，如何突显其更高的资产评估风险，是当前迫切需要解决的问题。而本文中所提出的解决办法即是针对创业板上市公司，，在传统的估值方法中嵌入一套符合其特征的风险量化系统，并在评估报告中予以披露，以突显其高风险性。本文首先对文中所指的资产评估风险作出了一个明确的界定。其次，通过收集和整理创业板和主板上市公司相关数据，比较了两个市场在行业增长率、无形资产占总资产比重以及股权集中度三方面的差异性。同时，还对这种差异性情况所给创业板上市公司资产评估带来更大风险的原因进行了较为细致和全面的剖析。再后，本文对所采用的资产评估风险量化方法的定义和应用逐一进行了介绍，包括蒙特卡罗模拟法、敏感性分析法和VAR分析法。最后，本文选取了一个创业板上市公司进行了资产评估风险分析与量化的实例分析。一方面对该案例创业板上市公司所处现状及影响其资产评估风险的因素做了细致的分析。另一方面，有效地将多种风险量化手段嵌入到了案例公司价值评估的过程。在以传统方法对该公司进行估值之后，通过蒙特卡罗模拟法，量化了该公司永续期价值估值在各种区间的风险概率；又通过VAR分析，得出了案例公司永续期价值波动至某一数值下的置信度。最后，通过敏感性分析，得出了利润表中的各变量对该价值的影响程度大小，找出了最敏感因素。
[Abstract]:With the growth and development of the market , the problem of fair and effective value assessment of GEM listed companies has become a hot topic to be solved urgently in the current asset appraisal industry . Therefore , what kind of method and way to evaluate the value of the GEM listed company and how to highlight the risk of its higher asset appraisal is the problem urgently needed to be solved . The solution proposed in this paper is to insert a set of risk quantification system in accordance with its characteristics in the traditional valuation method and disclose it in the evaluation report to highlight its high risk . Firstly , this paper makes a clear definition of the risk of asset appraisal referred to in the paper . Secondly , by collecting and arranging the data of the GEM and the listed company , the differences between the two markets in the industry growth rate , the intangible assets account for the total assets proportion and the equity concentration degree are compared . At the same time , the reasons for the greater risk for the asset appraisal of the GEM listed company are also analyzed . Then , the definition and application of the risk quantification method for asset appraisal are introduced , including Monte Carlo simulation method , sensitivity analysis method and VAR analysis method . In the end , this paper analyzes the risk analysis and quantification of asset appraisal in a listed company of GEM . On the other hand , the author makes a detailed analysis on the factors that affect the risk of asset appraisal . On the other hand , the risk probability of the value valuation of the company in various intervals is quantified by the Monte Carlo simulation method .

【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51

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