基于B-S期权定价模型的企业价值评估研究

发布时间：2018-05-02 19:05

本文选题：企业价值 + 实物期权　；参考：《西南财经大学》2014年硕士论文

【摘要】：在金融、投资和其他领域,价值评估研究随处可见。在经济活动中,资产评估工作作为企业管理、投资等行为的先导性工作,在管理,投资各种实物资产和金融资产中,起着相当重要的作用。这是因为无论是实物资产还是金融资产,都有其自身的价值,要想成功的管理、投资这些资产,就要了解这些资产的价值构成以及其价值的计量方法。随着我国经济的快速发展,企业兼并重组已经变得越来越频繁,市场对企业价值评估的需求也在不断增加,同时也对企业价值评估方法体系提出了更高的要求。在经济生活中,公司的股权收购,兼并等行为都需要对企业价值进行评估,可以预见的是,企业价值评估将成为未来的资产评估的重要组成部分。目前,在发达国家的资本市场中,企业价值评估理论和方法已经逐渐成熟。这是由于发达国家对企业价值评估研究的起步较早,并且其市场更加成熟规范,这些都为其企业价值评估实践提供了良好的环境,因此在实际操作中,发达国家的企业价值评估方法较为成熟,在实践中应用广泛。然而在我国,企业价值评估理论的研究还不够深入,评估体系尚不完善。同时我国对企业价值评估研究的起步相对较晚,受国内研究条件限制,尚未形成成熟的理论体系。国内企业价值的评估方法主要包括市场法,收益法,期权法等等,其中大多数评估方法的理论体系都存在一定的不完整性,从而导致了在实际操作中存在技术上的局限性。本文选取了7家钢铁行业的上市公司,以其数据为基础,运用B-S期权定价模型计算其五年的评估价值,并与其市场价值做对比分析,得出分析结论,旨在说明期权法具有相当的客观性与稳定性,应加强其在企业价值评估中的实际应用。本文主要内容及观点：全文共分为五章。第一章是引言,阐述了本文的研究背景及意义,说明了企业价值评估方法研究在促进社会经济发展中的重要作用。本文认为,对企业价值评估方法的研究,不仅能为企业在经营管理中的决策提供参考依据,也有助于推动经济增长,满足市场需求,对促进我国经济发展有着重大意义。主要包括以下几个方面：企业价值最大化管理的需要；企业并购的需要；企业进行投资决策的需要；量化企业价值、动态管理的需要；董事会、股东会了解生产经营成果的需要；企业提高影响力,展示自身实力的途径。第二章为企业价值评估的理论与方法。首先简要介绍了企业价值理论和企业价值评估理论。本文认为,当把企业看成一个整体来评估其价值时,不能简单的通过评估其所有单项资产的价值并加总来计算其整体价值,企业整体价值的评估原理和评估方法体系与单项资产的评估原理和方法有着相当大的差异。企业价值具有以下几个基本特点：一、企业价值是整体价值；二、企业价值能够带来一定的效用；三、企业价值能够较全面的反映企业经营管理的总体情况；四、企业价值是市场价值的体现。企业价值类型主要分为内在价值、账面价值、市场价值、破产清算价值几种。接着对几种主要的企业价值评估方法进行了说明,包括现金流折现法,经济值增加法,成本法,市场法及B-S期权定价法。根据实物期权的概念、特点提出企业价值具有的实物期权特性。期权是一种合约,合约的持有者在规定的时间内有权利,但没有义务(可以但不一定)按照合约规定的价格购买或卖出某项标的资产。在具体运用中,实物期权包括：推迟期权、扩张期权、收缩期权、放弃期权和转化期权等主要类型；实物期权的评估方法主要有B-S模型、二叉树模型等方法。由于实物期权理论是从金融期权理论发展而来的,因此实物期权理论与金融期权理论有很多相似之处,但两者之间仍然有一些差异,尽管如此,金融期权定价法仍然可以应用于对实物期权定价中。对此,梅森和麦尔登给出了非常直观的解释,因此,B-S期权定价模型可以应用到对实物期权即企业股权价值的评估。第三章主要介绍了B-S期权定价法在企业价值评估中的应用。首先解释了评估标的公司的选择标准,接着对模型所需的数据来源等进行了说明并计算出所需的模型参数,同时对模型参数进行了敏感性分析,发现随着企业的波动率σ、到期时间T和无风险利率r的变化,企业的股权价值逐渐增加,但变动幅度较小,由此可见期权法对于主观性较强的参数如到期时间、无风险收益率的变动并不敏感,说明这种方法的主观性影响较弱。同时期权法对企业标的资产的波动率σ的变动也不敏感,表明期权法能减小标的资产价值波动对企业价值评估结果的影响。从而得出结论,B-S期权定价法对模型参数的敏感性较弱,评估结果具有较强的稳定性,不易大幅波动。第四章的主要内容是市场检验。对第三章的评估结果与当前的市场价值进行对比并应用数理统计原理进行比较分析,结果表明期权法的评估价值相对平稳,波幅不大,而市场价值的波动则相对较大,且市场价值在评估价值附近上下波动。得出分析结论,认为B-S期权定价法评估出的企业价值相较市场价值表现的更为稳定。第五章对本文进行了总结说明,由于以下几点理由,得出了推荐在企业价值评估实践中推广使用期权法的结论：一、期权法评估价值对到期时间、无风险收益率、企业标的资产的波动率等参数的变动不敏感。二、市场价值总是围绕期权法所得到的评估价值上下波动,说明期权法得出的评估价值可以作为企业的内在价值。三、总的来说,期权法评估价值的方差较市场价值小,说明期权法的评估价值比市场价值更加稳定。且期权评估法也可以应用于非上市公司的企业价值评估中。同时对本文中存在的不足进行了剖析,主要包括以下几点：一、本文中计算企业价值时的寿命假设值得商榷；二、标的资产波动率的计算假设较理想化；三、时间精力等各方面条件限制,无法进行大样本各行业与各种评估方法所得结果分别进行比较。
[Abstract]:In financial, investment, and other fields, value assessment studies are everywhere. In economic activities, asset assessment plays a significant role in managing, investing in all kinds of physical assets and financial assets, as a precursor to business management and investment. This is because both physical assets and financial assets have their own self. With the rapid development of our economy, the merger and reorganization of enterprises have become more and more frequent with the rapid development of our country's economy, and the demand for the evaluation of enterprise value is increasing, and the method of evaluating the value of the enterprise is also on the body. In economic life, the company's stock acquisition, merger and other behaviors all need to evaluate the value of the enterprise. It is foreseeable that the enterprise value assessment will become an important part of the future asset evaluation.
At present, in the capital market of developed countries, the theory and method of enterprise value evaluation have matured gradually. This is due to the early start of the research on enterprise value evaluation in developed countries, and its market is more mature and standardized. These all provide a good environment for the practice of enterprise value evaluation, so in practical operation, developed countries The method of enterprise valuation is relatively mature and widely applied in practice.
However, in our country, the research on the theory of enterprise value evaluation is not thorough enough and the evaluation system is not perfect. At the same time, the research on enterprise value evaluation is relatively late in our country, and is limited by the conditions of domestic research, and has not yet formed a mature theoretical system. The evaluation methods of domestic enterprise value include market law, income method, option law, etc. The theoretical system of most of the evaluation methods is incomplete, which leads to technical limitations in practical operation.
In this paper, 7 listed companies of iron and steel industry are selected. Based on their data, the B-S option pricing model is used to calculate the valuation value for five years, and the analysis results are compared with the market value. The purpose of this paper is to show that the option method has considerable objectivity and stability, and should strengthen its practical application in the enterprise value evaluation.
The main contents and views of this article are as follows:
The full text is divided into five chapters. The first chapter is an introduction, which illustrates the background and significance of the study, and illustrates the important role of the research on the method of enterprise value evaluation in promoting social and economic development. This paper holds that the research on the method of enterprise value evaluation can not only provide reference for the decision of business management, but also help to promote the enterprise's decision making in management. Economic growth and meet the demand of the market have great significance to promote the development of our country's economy. It mainly includes the following aspects: the needs of the enterprise value maximization management, the needs of the enterprise merger and acquisition, the needs of the investment decision of the enterprise, the value of the enterprise, the need for the dynamic management; the board of directors and the shareholders will understand the production and operation results. Enterprises need to improve their influence and demonstrate their strength.
The second chapter is the theory and method of enterprise value evaluation. First, it briefly introduces the theory of enterprise value and the theory of enterprise value evaluation. This article holds that when the enterprise is regarded as a whole to evaluate its value, it can not simply evaluate the value of all the individual assets and calculate the overall value of the enterprise, and the overall value of the enterprise is evaluated. There are considerable differences between the principle and evaluation method system and the principle and method of the evaluation of single assets. The enterprise value has the following basic characteristics: first, the enterprise value is the whole value; two, the value of the enterprise can bring certain utility; three, the enterprise value can reflect the overall situation of enterprise management in a more comprehensive way; four, enterprise The value of business is the embodiment of the market value. The type of enterprise value is mainly divided into internal value, book value, market value, and bankruptcy liquidation value. Then, several main methods of enterprise value evaluation are explained, including cash flow discounting method, economic value added method, cost method, market law and B-S option pricing method. An option is a kind of real option characteristic of an enterprise value. An option is a contract, the holder of a contract has a right in the prescribed time, but has no obligation (but not necessarily) to buy or sell a certain asset in accordance with the price stipulated in the contract. In concrete use, real options include postponed options, expansion options, contraction. Options, abandonment options and conversion options are the main types of real options, such as B-S model and two forked tree model. The real option theory is developed from the theory of financial options, so there are many similarities between real option theory and financial option theory, but there are still some differences between them, although there are still some differences between them. Therefore, the financial option pricing method can still be applied to the pricing of real options. Mason and Merten give a very intuitive explanation. Therefore, the B-S option pricing model can be applied to the assessment of the real option, that is, the equity value of the enterprise.
The third chapter mainly introduces the application of B-S option pricing method in the enterprise value evaluation. First, it explains the selection criteria of the company, then explains the data sources required by the model and calculates the required model parameters. At the same time, the sensitivity analysis of the model parameters is carried out, and it is found that with the volatility of the enterprise, the maturity of the model is due to maturity. The change of time T and risk free interest rate R, the equity value of the enterprise is gradually increasing, but the change is small, so it can be seen that the option method is not sensitive to the changes of the subjective parameters such as the time of maturity and the change of the risk rate of return, which indicates that the subjective influence of this method is weak. It is insensitive to movement, which indicates that option method can reduce the influence of the value fluctuation of the standard assets to the result of the enterprise value evaluation. Thus, it is concluded that the B-S option pricing method has weak sensitivity to the model parameters, and the evaluation result has strong stability and is not easy to fluctuate.
The main content of the fourth chapter is the market test. The evaluation results of the third chapters are compared with the current market value and are compared and analyzed with the principle of mathematical statistics. The results show that the valuation of the option method is relatively stable, the amplitude is small, and the fluctuation of the market value is relatively large, and the market value fluctuates near the value of the evaluation. The conclusion is that the B-S option pricing method is more stable than the market value.
The fifth chapter makes a summary of this article. Because of the following reasons, we draw the conclusion that the option method can be popularized in the practice of enterprise value evaluation. First, the value of the option method is not sensitive to the changes of the parameters such as the expiration time, the risk-free rate of return and the volatility of the assets of the enterprise. Two, the market value is always around the option method. The value of the assessment is fluctuating, indicating that the value of the option method can be used as the intrinsic value of the enterprise. Three, in general, the variance of the valuation value of the option method is smaller than the market value, indicating that the valuation value of the option method is more stable than the market value. And the option evaluation method can also be applied to the enterprise value of the non-listed company. At the same time, the shortcomings of this article are analyzed, including the following points: first, the assumption of life expectancy in the calculation of enterprise value is debatable; two, the calculation hypothesis of the underlying asset volatility is more idealized; three, time and energy and other conditions are limited, and can not carry out large sample industries and various evaluation methods. The results were compared respectively.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F275

【参考文献】