商业银行商誉要素估值模型与实证研究

发布时间：2017-12-31 04:01

本文关键词：商业银行商誉要素估值模型与实证研究　出处：《对外经济贸易大学》2016年博士论文　论文类型：学位论文

【摘要】："银行到底值多少",是每个商业银行、监管机构和投资机构都在长期反复探索的一个问题。从外部利益相关者角度来说,商业银行估值理论可以为资本市场投资机构提供价值发现的方法,为银行业分析师提供价值评估的参考,甚至可以引导银行业监管机构的管理方向;从银行内部角度来看,商业银行估值理论可以为大股东提供量化自身价值的方法,评定经营活动的绩效,为管理层经营决策和价值提升提供思路。因此,商业银行估值理论在与时俱进中,不断发展和完善,形成了一个既复杂又颇具艺术性的流程,但也正因其复杂和艺术的结合,使如何对商业银行估值成为了一个有着诸多答案甚至存在较大争议的问题。本研究是在学习吸收了传统企业和现有商业银行估值理论的基础上,认真分析了现有企业估值模型对商业银行价值评估方面的不足,阐释了目前最"理论正确"的银行DDM估值模型的实践不足,并探索在现实约束条件下建立逻辑合理、可实践操作的估值模型的创新过程。在研究现有的企业估值理论后,笔者在深入分析商业银行经营的背景下,采用当前理论界和资本市场均较为认可的三阶段股利折现模型对商业银行进行估值,得出其估值价格与市场价格有较大偏差的结论。笔者认为,商业银行是经营风险的行业,可变因素较多,且由于信息不对称原因,使市场和银行管理层对未来的预判难以完全一致,市场对银行的未来判断亦难完全准确。投资者往往由于自身的信息弱势,对市场价格进行逆向选择,导致市场价格与内在价值造成较大偏离。而在没有实际经营结果支撑的前提下,银行很难用"我们认为未来经营就是这样"这样的预期让投资者付出真金白银。因此,当前迫切需要一种利用现实可得数据,探索一个"让历史告诉未来"的估值方法,而不是单纯依靠DDM的判断。进而,笔者通过分析商业银行的经营特征,从制度经济学、会计学等多重角度,探讨影响商业银行价值的内外部主要因素,总结并归纳出影响商业银行内在价值的变量。然后在资产评估法的基础上,提出并购交易中常用的银行商誉的概念,即投资者投资商业银行所付出的价值等于银行净资产加上商誉溢价(在一些情况下,这个溢价可能是负的),从而推导出"商誉要素"的银行估值方法,建立面板数据模型,并选取本研究认为"最优市场"中的宽样本数据进行实证检验。推导出在现实约束条件下可得变量对银行商誉的影响程度。本研究主要的贡献在于,在DDM模型"理论正确"但实践上过度依赖个体主观假设的情况下,另辟蹊径,引入商誉概念,将银行价值拆解为净资产价值和商誉,并立足于现实可得数据,提出了"商誉要素"估值模型,采用客观的方法对银行各要素对商誉的影响进行了实证检验。最终根据模型,确定了哪些变量对银行商誉提升帮助较大,从而引导结论,即商业银行应如何提升内在价值,如何使用市值管理的手段,有效沟通信息,使自身变量更好地在市场上客观反应,使市场价格与内在价值更为一致。
[Abstract]:"How much value for banks, each commercial bank, regulators and institutional investors are in a long-term repeated exploration. From the external stakeholder perspective, commercial bank valuation theory can provide a method to find the value of the capital market investment institutions, to provide reference for the assessment of the value of the silver industry analysts, even the direction of management can guide the banking supervision institutions; from the perspective of internal bank, commercial bank valuation theory can provide a quantitative method for the value of their own shareholders, business performance evaluation, for the management of the business decision and enhance the value of providing ideas. Therefore, the commercial bank valuation theory in advancing with the times, continuous development and improvement, has formed a complex and an artistic process, but also because of its complexity and the combination of art, how to make the valuation of commercial banks has become a lot of A. The case even disputed problems. This research is absorbed in learning the basis of traditional enterprises and existing commercial bank valuation theory, analyzes the shortcomings of existing enterprise valuation model to assess the value of commercial bank's interpretation of the practice of bank DDM valuation model the theory of "right" problems, and explore the under practical constraints to establish reasonable logic, innovation process valuation model can operate in practice. In the study of corporate valuation theories existing after the in-depth analysis of commercial banks under the background of the three stage of the dividend discount model in theory and capital markets are more recognized in the valuation of commercial banks, the valuation price with the market price has a large deviation conclusion. The author believes that the commercial bank's operational risk industry, many variable factors, and because of the information asymmetry from the market And the bank management is difficult to predict the future is completely consistent, the market for the bank's future is also difficult to determine precisely. Investors are often due to its weak information, adverse selection of the market price, the market price caused by large deviation and intrinsic value. But there is no actual operating results support the premise, the bank is difficult to "we believe that the future of business is that" such expectations allow investors to pay real money. Therefore, an urgent need to use a real data, to explore a "let history tell the future valuation method", rather than simply relying on DDM's judgment. Then, through the analysis of the operating characteristics of commercial banks, from the institutional economics, accounting and other multi angle, to explore the influence of internal and external factors of the value of commercial banks, summarizes and induces the influence variables of commercial banks. Then the intrinsic value of assets Based on the method of evaluation, put forward the concept of bank mergers and acquisitions goodwill commonly used in the transaction, which is paid by investors of commercial bank value is equal to the net assets of banks plus goodwill premium (in some cases, the premium may be negative), bank valuation method to derive the "goodwill factor", the establishment of panel data model this study suggests that ", and select the optimal market wide sample data in the empirical test. The deduced under practical constraints to variables on bank goodwill influence. The main contribution of this study lies in, in the DDM model theory of" right "but in practice rely on individual subjective assumption, another way. The introduction of the concept of goodwill, the value of Bank net asset value and the dismantling of goodwill, and based on the reality data, put forward the" goodwill factor valuation model, the various elements of the bank goodwill method objective The influence of the empirical test. Finally according to the model, to determine which variables on bank goodwill to help large, leading to the conclusion, that commercial banks should be how to enhance the intrinsic value, how to use the market value management by means of effective communication of information, make their own variables better in the market reaction, the market price and the intrinsic value consistent.

【学位授予单位】：对外经济贸易大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F832.33

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