基于剩余收益模型的万科集团估值研究

发布时间：2018-06-09 11:37

本文选题：企业价值 + 价值评估　；参考：《广东工业大学》2017年硕士论文

【摘要】：随着中国经济的快速发展,资产重组、企业并购等资本运作活动日益增加,对企业的利益相关者来说,如何准确地估计企业价值是急需解决的问题。收益现值评估方法提供了一种解答。收益现值评估方法,包括股利折现模型、自由现金流折现模型、剩余收益模型。企业管理者和投资者广泛使用自由现金流折现模型和股利折现模型评估企业价值,但是其存在诸多缺陷。相对而言,运用传统剩余收益模型对房地产企业价值评估,弥补了传统评估方法仅能对有限利用会计信息的不足。但是仍存在两大缺陷:未阐明如何利用企业历史财务数据预测其未来剩余收益的方法;未解决由于无限预期造成的长期收益预测的难题。从而本文引入了杜邦分析体系及P/E和P/B乘数,改进了传统剩余收益模型,推导出新的剩余收益模型公式。然后以万科集团为例,运用改进后的剩余收益模型对其进行价值评估。首先,本文文献调研了四个部分,包括基于剩余收益模型的盈余信息价值相关性、剩余收益估值模型与其他估值模型的比较分析、剩余收益估值模型对股票收益预测能力、剩余收益估值模型应用于具体的企业估值。其次,介绍了企业价值的概念、艾尔文·费雪的资本价值理论、MM理论、权衡理论。再次,由于传统剩余收益模型存在实践应用方面的缺陷,本文引入了杜邦分析体系及P/E和P/B乘数,改进传统剩余收益模型,推导出新的剩余收益模型。这也为接下来的案例研究做了铺垫。接着,本文以万科集团为例,考虑企业所面临的商业环境及历年会计数据,运用改进后的剩余收益模型进行价值评估。本文计算出企业在2016年12月31日时点的股权价值,分析内在价值与股价产生差异化的原因。最后,本文基于对案例的研究,得出三点结论。第一,运用改进后的剩余收益模型测算出万科集团在2016年12月31日时点的股权价值为21,391,212.61万元,计算结果比实际市值低1,294,240.39万元,说明万科集团当年年末的股价比内在价值高;第二,万科集团内在价值对资产周转率(ATO)、权益乘数(EM)、市盈率(P/E)、每股盈余(E)敏感性强,而对于销售收入(S)、销售净利率(MOS)、权益资本成本(r)敏感性弱。进行多因素敏感性分析,可得万科集团股权价值最乐观的估值是27,899,898.95万元,最悲观的结果为14,127,438.74万元;第三,剩余收益模型能够科学评定企业价值创造的能力。
[Abstract]:With the rapid development of Chinese economy, capital operation activities such as asset reorganization, enterprise merger and acquisition are increasing day by day. How to estimate the enterprise value accurately is an urgent problem for the stakeholders of the enterprise. The present value method provides an answer. The present value evaluation methods include dividend discount model, free cash flow discount model and residual income model. The discounted free cash flow model and the dividend discount model are widely used by managers and investors to evaluate the enterprise value, but they have many defects. Comparatively speaking, the traditional residual income model is used to evaluate the value of real estate enterprises, which makes up for the deficiency that the traditional evaluation method can only make use of the limited accounting information. However, there are still two defects: how to use the historical financial data of enterprises to predict their future residual income, and not to solve the problem of long-term income prediction caused by infinite expectations. In this paper, we introduce the DuPont analysis system and P / E and P / B multipliers, improve the traditional residual income model, and deduce a new formula of residual income model. Then take Vanke Group as an example, use the improved residual income model to evaluate its value. Firstly, this paper investigates four parts, including the correlation of surplus information value based on residual return model, the comparative analysis between residual income valuation model and other valuation models, and the ability of residual income valuation model to predict stock returns. The residual income valuation model is applied to the specific enterprise valuation. Secondly, it introduces the concept of enterprise value, Alvin Fisher's capital value theory and weighing theory. Thirdly, due to the defects of the traditional residual income model, this paper introduces the DuPont analysis system and P- / E and P- / B multipliers, improves the traditional residual income model, and deduces a new residual income model. This also paved the way for the next case study. Then, taking Vanke Group as an example, considering the business environment faced by enterprises and accounting data over the years, this paper uses the improved residual income model to evaluate the value. This paper calculates the equity value of the enterprise at December 31, 2016, and analyzes the reasons for the difference between the intrinsic value and the stock price. Finally, based on the case study, this paper draws three conclusions. Firstly, using the improved residual income model, the equity value of Vanke Group is estimated to be 213.9121261 billion yuan at December 31, 2016, which is 12.9424039 billion yuan lower than the actual market value, indicating that the stock price of Vanke Group at the end of that year is higher than the intrinsic value. Second, Vanke Group's intrinsic value is highly sensitive to asset turnover, equity multiplier, P / E ratio and earnings per share. Through multifactor sensitivity analysis, the most optimistic valuation of equity value of Vanke Group is 278.9989895 billion yuan, and the most pessimistic result is 141.2743874 billion yuan. Thirdly, the residual income model can scientifically evaluate the ability of enterprise value creation.
【学位授予单位】：广东工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F299.233.42

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