基于实物期权法的上市公司壳资源价值评估研究

发布时间：2018-01-13 16:42

本文关键词：基于实物期权法的上市公司壳资源价值评估研究　出处：《云南财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：伴随我国证券市场的不断改革和发展，上市公司新的退市制度、借壳上市条件与IPO标准等同等新政策的推出，使得我国壳资源的价值面临新的市场环境，面临新政策下的诸多不确定性，使得壳资源的价值评估变得更加复杂，若无法合理的估算壳资源的价值，则无法为企业借壳上市提供有效帮助，轻者影响企业的未来发展，重者影响产业的并购重组，乃至国家经济的发展。本文的研究目的是如何在新环境下合理的评估壳资源的价值，为企业借壳上市提供参考，为国家相关政策的提出提供借鉴。本文试图从理论与案例结合的分析方法来解决这一问题。本文首先从经济学上对壳资源的价值进行分析，分析了壳资源价值形成的一般原因——壳资源具有稀缺性和收益性，以及我国壳资源价值形成的特殊原因——融资渠道单一和股票发行制度导致壳资源供给不足的制度背景；并且进一步分析了壳资源的价值源泉及壳资源的价值存在具有客观性和长期性。奠定了本文的研究具有现实意义和长远意义。同时，也为今后讨论壳资源的价值变动提供参考。其次，文章通过分析传统的评估方法在壳资源价值评估中的局限性后，引入实物期权法对壳资源的价值评估。其中通过了解实物期权的概念和特征，结合壳资源价值的经济学分析，分析出壳资源价值具有的期权特性，从而构建出符合实物期权法下的壳资源价值评估的布莱克斯科尔斯定价模型，并结合实际对模型的参数变量进行详细说明。最后，，结合新政策下的案例说明布莱克斯科尔斯定价模型对上市公司壳资源价值评估的实际应用，并通过对结论的分析也证明了此模型在新环境下对壳资源价值评估具有较大借鉴作用。
[Abstract]:With the continuous reform and development of China's securities market, listed companies in the new delisting system, launched the backdoor listing conditions and the IPO standard is the equivalent of the new policy, the shell resource of our country value are facing new market environment, facing the new policy uncertainty, making the assessment of the value of shell resources is becoming more and more complex, if the estimation of the value of the shell resources are not reasonable, it can not provide effective help for the enterprise backdoor listing, it will influence the future development of enterprises, severe impact on industry mergers and acquisitions, development and national economy. The purpose of this study is to assess how the shell resources in the new environment and reasonable value, provides the reference for the enterprise backdoor listed, to provide reference for the proposed national policy. This paper tries to analyze the method of combination of theory and case to solve the problem.
This paper firstly analyzes the value of shell resources from economics, analyses the general reasons of shell resource value formation: shell resource scarcity and profitability, and the special reasons of shell resources value in China -- the formation of the single channel of financing and stock issuance system leads to insufficient supply of institutional background of shell resources; and further analyzes the value the source and the shell resources of shell resource value has objectivity and long-term. Which has practical significance and long-term significance of the research in this paper. At the same time, but also for the future to discuss the value of shell resources change to provide reference.
Secondly, this article through the limitation of the traditional evaluating methods of analysis in the evaluation of shell resource value after the introduction of real option method to assess the value of shell resources. By understanding the concept and characteristics of real options, combined with the economic analysis of shell resource value, the analysis of the value of the option characteristics of shell resources, in order to build in line with blacks Kors pricing model to assess the value of shell resources under the real option method, and combined with the actual parameters of the model variables in detail.
Finally, combined with the case of the new policy, it illustrates the practical application of Black Scholes pricing model to shell resource value assessment of listed companies, and by analyzing the conclusion, it proves that this model has great reference value for shell resource value evaluation under new environment.

【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F276.6;F275;F832.51

【参考文献】