期权定价法在传媒业估值中的作用探究

发布时间：2018-05-16 09:38

本文选题：期权定价 + 二叉树模型　；参考：《上海交通大学》2013年硕士论文

【摘要】：本文的主要研究内容是对于传媒行业的部分优质上市公司采用期权定价模型进行估值。传媒行业属于新兴产业，也是国家十二五规划重点扶植的产业，因此研究传媒行业上市公司的估值方法对于新兴产业的估值方法会有一定的启示作用。在我国当前的产业估值方法之中，评估者亦或是偏重于上市公司所参与投资的项目的收益率，，以数量化方法即净现值法(NPV)的计算结果作为估值的根本依据；抑或是依赖个人的主观经验直觉，即以市盈率(P/E)、市净率(P/B)等相对估值法对企业价值进行评估，然而，不幸的是，这两种方法本身都存在着一定的缺陷，因此极有可能会导致估值的偏差。传统的现金流净现值法往往忽略了企业投资项目中可能存在的经营柔性与其背后的战略价值，而且也没有考虑到公司对投资时机的选择，因此，NPV法是一种静态、刚性的评价方法，在很多情况下并不能十分准确地、真实地评估企业的价值，从而导致投资者的决策失误。实物期权是期权定价理论在企业战略投资领域应用研究的一个推广。企业在其日常的经营、投资过程中，企业的管理者往往会拥有各式各样的选择权，这些选择权即实物期权。实物期权能够让企业管理者在决策的过程中，充分发挥经营柔性，以达到企业利益最大化的目标。简而言之，实物期权就是期权思想在实物投资领域的应用。传媒行业的上市公司一项重要的业务就是电视剧和电影投拍，此类业务的投资是高风险的投资活动，要拍的内容无法做市场研究，更不能发行试行版，只有到了拍摄完成了才能看到最终的效果。而在独立电影市场，电影的淘汰率则更高。对于一个没有试营业就出现的新产品，想在初步阶段就设计好营销和广告战略，困难程度可想而知，因此其风险是巨大的。在市场条件好时，公司可以采取追加投资进行拍摄；在市场条件不好时，公司可以采取收缩的投资策略，避免更大的损失，因此传媒行业的上市公司的主营业务与实物期权所拥有的特性十分相似。本文采用二叉树期权定价模型，分析了东方财富最近获批的基金代销业务的成长期权的价值，并采用Black-Scholes期权定价模型，对传媒行业的28家典型上市公司进行了估值，通过对这些企业的估值，本文对于类似于传媒行业的高风险行业的估值方法进行一些探究和讨论，同时对于期权估值法与当前市场价格的差异进行探讨，分析其差异的原因。
[Abstract]:The main research content of this paper is to use option pricing model to evaluate some high quality listed companies in the media industry. The media industry is a new industry, which is also supported by the national 12th Five-Year Plan. Therefore, the study of the valuation methods of listed companies in the media industry will have a certain enlightenment to the valuation methods of emerging industries. In the current industrial valuation method of our country, the evaluator also pays more attention to the return rate of the project in which the listed company participates, and takes the calculation result of the quantitative method (net present value method) as the basic basis of the valuation. Or it depends on the subjective empirical intuition of individuals, that is to say, the relative valuation methods, such as P / E ratio and P / P / B, are used to evaluate the value of the enterprise. Unfortunately, both of these two methods have their own defects. As a result, it is highly likely to lead to a bias in estimates. The traditional net present value of cash flow (NPV) method often ignores the possible management flexibility and the strategic value behind the enterprise investment project, and does not take into account the choice of investment opportunity, so NPV method is a static method. In many cases, the rigid evaluation method can not evaluate the value of the firm accurately and truly, which leads to the investors' decision making mistakes. Real option is an extension of option pricing theory in the field of strategic investment. In the course of their daily operation and investment, the managers of enterprises often have all kinds of options, which are called real options. Real option can make managers make full use of management flexibility in the process of decision-making, in order to achieve the goal of maximizing the interests of enterprises. In short, real option is the application of option in the field of real investment. One of the most important businesses of listed companies in the media industry is TV dramas and films. Investment in such businesses is a high-risk investment activity. The content to be produced cannot do market research, let alone issue a trial version. Only when the shooting is finished can the final effect be seen. But in the independent film market, the movie elimination rate is higher. For a new product that appears without trial operation, it is difficult to design the marketing and advertising strategy in the initial stage, so the risk is enormous. When the market conditions are good, the company can take additional investment to film; when the market conditions are bad, the company can take a contractionary investment strategy to avoid more losses. Therefore, the main business of listed companies in the media industry and real options have very similar characteristics. Based on the binomial tree option pricing model, this paper analyzes the value of the growth options of Dongfang Wealth's recently approved fund agency business, and uses the Black-Scholes option pricing model to evaluate 28 typical listed companies in the media industry. Through the valuation of these enterprises, this paper explores and discusses the valuation methods of high-risk industries similar to the media industry. At the same time, it discusses the difference between the option valuation method and the current market price, and analyzes the reasons for the differences.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：G206-F;F832.51;F275;F224

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