实物期权法在新三板企业价值评估中的应用

发布时间：2018-04-09 10:42

本文选题：实物期权法　切入点：新三板　出处：《云南财经大学》2017年硕士论文

【摘要】：新三板市场近年来取得了蓬勃发展,对新三板企业合理的价值评估对投资决策和企业融资、转板具有重要意义。使用传统方法对新三板企业进行价值评估存在诸多局限性,无法体现新三板高科技企业的巨大成长性,而实物期权法在这一方面具有一定优势。本文采用布莱克—斯科尔斯模型,二叉树模型和蒙特卡洛模拟三种实物期权法对40家新三板企业股权价值进行了评估,得出结论:首先,布莱克—斯科尔斯模型和二叉树模型的评估结果非常接近,实际上,通过理论分析可知,在时间间隔无限小的情况下,即步数无穷大时,两种方法得出的结果是无限接近的,这与事实相符。而通过蒙特卡洛模拟得到的结果比前两种方法略大,更接近与实际市场价值,且整体评估值差异较小,比前两种方法更有优势。其次,将三种方法得到的结果参照市场实际股价发现,实物期权法的评估结果较低,但三种方法的评估结果与企业实际股权价值的误差大多在20%之内,结果可以接受。分析知,实物期权法的评估结果之所以较低的原因为:一、三种模型都是假设资产价格未来变化服从连续的几何布朗运动,但实际中资产价格的变化是无法按照某一种方式描述的,市场中存在的非理性行为,经常导致股价单向、大幅、不可逆的波动,而实物期权法显然没有考虑到这种不可逆波动带来的行权机会,因此可能的行权收益下降,评估值降低。二、布莱克—斯科尔斯模型的假设十分严苛,如无交易费用、不分配股利,这在任何国家、任何市场都是不可能的,二叉树模型和蒙特卡洛模拟模型也没有考虑未来可能存在的股利分配,三种模型只是考虑了资本利得这一种收益,而在实际中股利和资本利得都应该作为收益考虑,故实物期权法低估了企业价值。三、布莱克—斯科尔斯模型和二叉树模型都是假设期权是欧式期权,到期前不能够行权,这也忽视了一些可能的行权机会带来的收益,使评估值变小,对比蒙特卡洛模拟模型的评估值就可以发现,后者较前两者大,因为蒙特卡洛模拟模型是假设期权是美式期权,考虑了所以可能时间点上的行权机会带来的收益,因此更合理。最后,通过上述三种方法的评估的过程知,实物期权法评估企业价值时对财务数据要求较少,只需要知道最基本的企业资产负债情况以及企业的股价情况,在实务操作中,只要写好程序,获得一些简单的数据就可以计算出结果,非常方便、高效。介于传统评估方法在评估高风险、高成长性行业的不足,实物期权法在新三板高科技企业的价值评估中可以发挥更好的作用,有利于发现高科技企业中的价值洼地。
[Abstract]:The new third board market has made vigorous development in recent years, which is of great significance to the investment decision and financing of the new third board enterprise.There are many limitations in using the traditional method to evaluate the value of the new three board enterprises, which can not reflect the huge growth of the new three boards and high-tech enterprises, but the real option method has some advantages in this respect.In this paper, we use Black-Scholes model, binary tree model and Monte Carlo simulation to evaluate the equity value of 40 new three-board companies.The evaluation results of the Black-Scholes model and the binary tree model are very close. In fact, through theoretical analysis, we can see that the results obtained by the two methods are infinitely close to each other in the case of infinitesimal interval, that is, when the number of steps is infinite.This is in keeping with the facts.The results obtained by Monte Carlo simulation are a little larger than the former two methods, and are closer to the actual market value, and the difference of the overall evaluation value is smaller, which is more advantageous than the former two methods.Secondly, referring the results of the three methods to the actual stock price of the market, we find that the evaluation results of the real options method are lower, but the error between the three methods and the real equity value of the enterprise is mostly within 20%, and the results are acceptable.The analysis shows that the evaluation results of the real options method are lower: first, the three models assume that the future changes of asset prices follow a continuous geometric Brownian motion.However, in practice, changes in asset prices cannot be described in a certain way. Irrational behavior in the market often leads to one-way, large and irreversible fluctuations in stock prices.But the real option method obviously does not consider this kind of irreversible fluctuation to bring the exercise right opportunity, therefore the possible exercise right income is reduced, the appraisal value is reduced.Second, the Black-Scholes model assumes that it is not possible in any country, in any market, to have no transaction costs and no dividend distribution.The binary tree model and Monte Carlo model do not consider the possible dividend distribution in the future. The three models only consider the income of capital dividend, and in practice, both dividend and capital dividend should be considered as income.Therefore, the real option method underestimated the value of the enterprise.Third, the Black-Scholes model and the binomial tree model both assume that options are European options that cannot be exercised before they expire. This also ignores the benefits of some possible exercise opportunities and makes the evaluation value smaller.Comparing the evaluation value of Monte Carlo simulation model we can find that the latter model is larger than the former because the Monte Carlo simulation model assumes that the option is an American option and takes into account the benefits of the exercise opportunity at the possible time point so it is more reasonable.Finally, through the evaluation process of the above three methods, we know that the real options method requires less financial data when evaluating the enterprise value, only need to know the most basic enterprise assets and liabilities and the stock price of the enterprise, in the practical operation,As long as a good program, get some simple data can be calculated results, very convenient, efficient.In view of the deficiency of traditional evaluation methods in evaluating high risk and high growth industries, the real option method can play a better role in the value evaluation of new three board high-tech enterprises, which is beneficial to the discovery of value depression in high-tech enterprises.
【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F275;F832.51

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