金融危机下收益法评估中β系数研究

发布时间：2018-01-09 21:45

本文关键词：金融危机下收益法评估中β系数研究　出处：《北京交通大学》2017年硕士论文　论文类型：学位论文

【摘要】：随着我国企业并购重组、股权交易、资产转让等经济活动逐渐增多,客观、合理的企业价值评估对维护资本市场估价稳定起到了尤为重要的作用。而企业价值评估的三大基本方法中使用范围最为广泛的当属收益法,其中重点和难点是对折现率的测算。而基于CAPM模型的系统性风险系数β值的估计对折现率预测的准确性有着重大的影响,然而其苛刻的假设条件要求只有市场因素对收益产生影响,而宏观经济、行业景气程度、经济周期等各方面影响的忽略均会导致β系数估计值的偏差,进而影响收益法企业价值评估的结果。基于以上理论及现实背景,以及2015年我国出现的重大市场异常波动,本文从经济周期角度研究市场波动甚至金融危机的爆发对收益法评估中β估计值的影响:从评估方法的使用及行业特点两个方面选择所研究的行业,即具有经济周期敏感性的采矿业和无周期性、高技术高风险性的医药制造业,对比一般方法和剔除金融危机区间进行回归得到的行业β系数估计值,发现金融危机对两种行业都有不同程度的影响,其对周期性行业影响更为显著;进而为了探索在进行β系数估计时消除金融危机影响的新方法,从不断拉长回溯期的角度,分析两个行业及单个企业β估计值的变化情况,得出以下结论:在进行周期性行业β系数估计时,应充分考虑周期波动的影响,回溯期尽量选择涵盖整个行业周期或者周期的整倍数,其中采矿业可选择10年;而医药制造业的行业β估计值具有一定的稳定性,回溯期的拉长一定程度上可削弱金融危机的影响,其回溯期可选择6年;但个股β估计值随回溯期的不断增长呈现出很强的波动性,因此在收益法评估β参数确定时,应尽量选择行业而非可比公司的β系数作为参考,从而获得更加稳定、准确的评估价值。希望通过本文的研究,为企业价值评估理论研究及实务操作中β参数的确定开拓新的思路。
[Abstract]:With the merger and reorganization of Chinese enterprises, equity trading, asset transfer and other economic activities are gradually increasing, objective. Reasonable evaluation of enterprise value plays a particularly important role in maintaining the stability of capital market valuation, and the most widely used of the three basic methods of enterprise value assessment is the income method. The key and difficult point is the calculation of discount rate, and the estimation of systemic risk coefficient 尾 based on CAPM model has a great influence on the accuracy of discount rate prediction. However, its harsh assumptions require that only market factors have an impact on earnings, while the neglect of macroeconomic, industry prosperity, economic cycle and other aspects of the impact will lead to the deviation of 尾 coefficient estimates. Based on the above theoretical and practical background, as well as the major market fluctuations in 2015 in China. This paper studies the impact of market volatility and even the outbreak of financial crisis on the 尾 estimation in income assessment from the perspective of economic cycle: choose the industry to be studied from two aspects: the use of evaluation methods and the characteristics of the industry. That is, the mining industry with economic cycle sensitivity and non-cyclical, high-tech and high-risk pharmaceutical manufacturing industry, compared with the general method and excluding the financial crisis interval regression to get the estimated value of industry 尾 coefficient. It is found that the financial crisis has a different degree of influence on both industries, and it has a more significant impact on cyclical industries. Then in order to explore a new method to eliminate the impact of financial crisis in the estimation of 尾 coefficient, this paper analyzes the changes of 尾 estimates in two industries and individual enterprises from the point of continuously extending the backtracking period. The following conclusions are drawn: when estimating the 尾-coefficient of periodic industries, the influence of cycle fluctuation should be fully considered, and the whole multiple covering the whole industry cycle or cycle should be selected as far as possible in the backdating period. Among them, the mining industry can choose 10 years; The industry 尾 value of pharmaceutical manufacturing industry has certain stability, the extension of retrospective period can weaken the impact of financial crisis to some extent, and the backdating period can be chosen for 6 years. However, the 尾 estimate of individual stock shows strong volatility with the increasing of backdating period. Therefore, when evaluating the 尾 parameter of income method, we should choose the 尾 coefficient of the industry rather than the comparable company as the reference as far as possible. It is hoped that the research in this paper will open up a new way of thinking for the theoretical research of enterprise value evaluation and the determination of 尾 parameters in practical operation.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.59;F426;F406.7

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