风险调整的剩余收益模型的理论与实证研究

发布时间：2018-01-06 12:41

本文关键词：风险调整的剩余收益模型的理论与实证研究　出处：《上海交通大学》2012年博士论文　论文类型：学位论文

【摘要】：众所周知，对上市公司价值的估计和预测历来都是证券市场各利益相关方所关注的重要问题。本文在对近年来权益估值模型进行梳理综述的基础上，重点探讨分析奥尔森系列剩余收益模型的优缺点、适用条件及评估系数的测算方法。基于已有剩余收益模型的不足之处，进行模型的改进与构建，并对所构建的模型进行实证检验，进而运用个股分析。其结果证明了改进后的模型在中国资本市场的合理性和有效性。随着中国证券市场的兴起，在这一方面对研究者提出了新的研究课题，即国外的Feltham-Ohlson模型等经典理论能否应用于中国这样的新兴市场、如何应用。本文首先对Feltham-Ohlson模型的国内外研究进行了回顾，并在详细阐述Feltham-Ohlson模型的基础上，在实证分析部分，采用1999年-2009年期间的全部有效观察值数据作为研究样本，对Feltham-Ohlson模型三种不同形式的线性信息动态方程和估值回归方程进行了实证研究，，力图完善和规范Feltham-Ohlson模型在中国的实证应用基础。本文的研究结果支持Feltham-Ohlson模型在中国A股市场上的适用性，并且发现三种不同形式的线性信息动态方程及估值方程的适用程度不同，Feltham-Ohlson模型(1995)的适用性要强于Ohlson模型(1995)和Feltham-Ohlson模型(1996)。关于奥尔森模型的实证结果，一方面说明了我国资本市场的效率有待提高，另一方面在一定程度上说明了剩余收益模型对我国股票内在价值的有用性。不过奥尔森系列剩余收益模型的总体效果并非很理想。本文基于一般的三阶段剩余收益模型理论提出了一个新的模型，即线性风险因子调整的三阶段剩余收益模型（RIM-σ~2模型）。 RIM-σ~2模型通过将企业价值的评估分成三个不同的阶段加以计算。其解决了以下两方面问题，一方面是解决关于无穷项求和项在实际中无法计算的问题。另一方面是引入了线性的风险因子。本文所构建新的RIM-σ~2模型，用另一种方式来刻画风险因子对价值评估的影响。所引入的风险因子将作为一个模型的线性变量。同时还引入了其他一些新的会计信息变量，从而使模型能够更充分地利用现有的会计等相关信息进行价值评估。最后，本文利用资本市场的有关历史数据与分析师的预测数据，从模型的适用性和预测能力两方面进行实证检验与分析。并对RIM-σ~2模型与TSSV-θ模型进行实证比较分析。实证结果证实了RIM-σ~2模型适用性与优越性。总体上体现了RIM-σ~2模型相对以往的剩余收益模型有较大的改进。同时通过从总体和个股两方面的实证研究分析均表明RIM-σ~2模型具有较好的运用价值。
[Abstract]:As everyone knows, to estimate and forecast the value of listed companies is one of the important problems of the securities market stakeholders concerned. Based on combing review of equity valuation model in recent years, focusing on the analysis of the Olsen series of residual income model and disadvantages, applicable conditions and calculation method of evaluation coefficient. Shortcomings of the existing based on residual income model, and constructs the model and empirical test of the model, and then use the stock analysis. The results show that the modified model in the China capital market is reasonable and effective.
With the development of Chinese securities market, on the one hand, the researchers put forward a new research project, how to emerging markets, namely foreign Feltham-Ohlson model theory can be applied to Chinese such applications. This paper carried out a review of Feltham-Ohlson model research at home and abroad, and expounds in detail based on the Feltham-Ohlson model and in the part of empirical analysis, all the effective observation period by the year 1999 -2009 data as the research sample, the linear information dynamic equation and the regression equation of Feltham-Ohlson valuation model three kinds of empirical research, to improve and standardize the application of Feltham-Ohlson model in the China foundation. The results of this study support the applicability of Feltham-Ohlson model in the China A stock market, and found that the three kinds of linear information dynamic and different forms of the process of valuation. The application of different Feltham-Ohlson model (1995) is better than the Ohlson model (1995) and Feltham-Ohlson (1996) model. The empirical results on the Olsen model, the one hand shows the efficiency of China's capital market should be improved, on the other hand, to a certain extent, illustrate the usefulness of the residual income model to me the intrinsic value of the stock.
However, the overall effect of Olsen series residual income model is not very satisfactory. Based on the general three stage residual income model theory, this paper proposes a new model, namely, the three stage residual income model adjusted by linear risk factor (RIM- ~2 model).
RIM- Sigma ~2 model of the enterprise value evaluation is divided into three different stages are calculated. It solves the following two problems, one is to solve the infinite sum can not be calculated in practical problems about. On the other hand is the risk factor into linear. This paper built a new model of ~2 RIM-. The effect of using another way to describe the risk factor of value evaluation. The risk factor as a linear variable model. At the same time also introduced some other new accounting information variable, so that the model can make full use of the existing accounting related information of value assessment.
At last, this paper forecasts the use of capital market and relevant historical data analysts, conducted empirical test and analysis from two aspects of applicability and prediction ability of the model. And the RIM- ~2 model and TSSV- model of Sigma Theta comparative analysis to carry on the empirical analysis. The empirical results confirm the applicability and superiority of RIM- Sigma ~2 model. The overall reflect the RIM- Sigma ~2 model relative residual income model in the past have greatly improved. At the same time, through empirical research and analysis from the two aspects of the overall stock showed that RIM- Sigma ~2 model has good application value.

【学位授予单位】：上海交通大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F275;F832.51;F224

【引证文献】