基于PFM模型的新三板股权价值评估

发布时间：2018-05-31 06:20

本文选题：新三板企业 + 股权价值评估　；参考：《杭州电子科技大学》2017年硕士论文

【摘要】：新三板市场的设立为广大创新型、创业型、成长性的中小微企业提供了融资渠道,促进了我国多层次资本市场的建设。随着新三板市场制度的不断完善,尤其是新三板2013年全国扩容以来,挂牌企业的数目不断增加,规模不断扩大。如何合理有效的评估新三板挂牌企业股权价值日益紧迫。本文首先指出研究意义,并回顾和总结国内外相关研究。接着分析了我国新三板市场的发展现状以及挂牌企业规模小、经营时间短,股权交易非连续,具有高成长性、高风险性等企业特征,选择实物期权理论评估新三板挂牌企业股权价值。在对目前新三板实物期权估值模型运用中参数难以估计的问题进行分析后,根据PFM模型认为非上市企业价值及其波动率的变动与上市企业的变动之间相关性较强的原理,利用同一行业创业板上市企业的数据得到企业价值及其波动率回归模型。代入新三板目标企业的财务指标,计算得到新三板企业价值及其波动率参数。在此基础上利用实物期权定价模型评估新三板挂牌企业的股权价值。进一步考虑到流动性缺乏折扣的影响,对评估结果进行调整。根据逐步回归的结果得到,资产账面价值、EBITDA、无形资产所占比重等财务指标能很好地反映企业价值。资产负债率、企业销售收入等财务指标对企业价值的波动率解释力较强。通过对第一批进入创新层的新三板样本企业的股权价值进行评估,并与实际股票交易价格对比分析,验证了基于PFM原理的参数确定方法的有效性及实物期权定价方法的合理性。
[Abstract]:The establishment of the new third board market provides financing channels for the large number of innovative, entrepreneurial and growing small and medium-sized enterprises, and promotes the construction of the multi-level capital market in China. With the continuous improvement of the market system of the new three boards, especially since the national expansion of the new three boards in 2013, the number and scale of listed enterprises have been increasing. How to evaluate the equity value of the new three-board listed enterprises is becoming more and more urgent. This paper first points out the significance of the research, and reviews and summarizes the relevant research at home and abroad. Then it analyzes the current situation of the new third board market and the characteristics of the listed enterprises, such as small scale, short operating time, discontinuous equity trading, high growth, high risk, and so on. Select real option theory to evaluate the equity value of the new three-board listed enterprises. Based on the analysis of the problem that the parameters are difficult to estimate in the application of the new three-board real option valuation model, according to the principle of the PFM model, the author thinks that the change of the value and volatility of the non-listed companies is closely related to the changes of the listed companies. The regression model of enterprise value and volatility is obtained by using the data of listed enterprises in the same industry gem. The financial index of the target enterprise of the new three boards is replaced, and the value of the new third board and its volatility parameters are calculated. On this basis, the real option pricing model is used to evaluate the equity value of the new three-board listed companies. Further take into account the lack of liquidity discount effect, to adjust the evaluation results. According to the result of stepwise regression, the financial indexes, such as the book value of assets and the proportion of intangible assets, can well reflect the value of enterprises. Assets-liability ratio, sales income and other financial indicators explain the volatility of enterprise value. Through the evaluation of the equity value of the first batch of new three-board sample enterprises entering the innovation layer, and the comparison with the actual stock exchange price, the validity of the parameter determination method based on the PFM principle and the rationality of the real option pricing method are verified.
【学位授予单位】：杭州电子科技大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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