中国概念股估值方法研究

发布时间：2018-04-24 16:06

本文选题：中国概念股 + N股　；参考：《上海交通大学》2014年硕士论文

【摘要】：中国概念股，是指资产或营收的主体在中国大陆地区，而在中国大陆以外的证券交易所上市交易的股票。而在美国上市交易的股票（N股）包括了国内新兴产业的众多龙头企业。N股由于遵循的会计准则不同，且所处的交易大市环境不同，因而估值方法较A股有一定差别。在目前公开的文献中，讨论A股估值方法较常见，但讨论N股的较少。本文将提出N股估值的方法框架，并通过理论分析和历史数据的实证研究，讨论Fama-French三因素资产定价模型及中国因素对于N股回报率的解释作用，确定估计折现因子的模型。最终通过估值案例进行更具体的讨论。本文旨在给投资N股的投资者提供参考，并为研究中国内地新兴产业的行业研究人员提供参考。第1章提出问题并对相对研究进行综述。第2章提出N股估值的方法框架，讨论估计资本成本的方法，并提出预测财务指标的方法。第3章统计了N股在公司规模分布上的特点，并基于经典资本资产定价模型(CAPM)和Fama-French三因素模型对股权资本成本进行估计，同时加入中国概念的风险溢价对股权资本成本进行估计，并且通过实证数据的统计分析证实中国概念的国家风险溢价对解释N股的回报率有显著作用。第4章选出N股上市公司欢聚时代(NASDAQ:YY)作为案例，按业务板块分析公司的竞争优势，预测公司各业务板块的成长性,预测毛利率与研发、销售、市场等经营费用，得出预测的自由现金流。估计公司的资本成本，最终确定自由现金流的折现因子。第5章进行全文回顾，，提出建议与展望。
[Abstract]:Chinese stocks are those whose assets or revenues are listed on the mainland and traded on stock exchanges outside the Chinese mainland. The stocks traded in the United States include a large number of leading enterprises in emerging industries in China. Because of the different accounting standards and the different trading environment, the valuation methods are different from those of A shares. In the current open literature, A-share valuation methods are more common, but the discussion of N-shares is less. In this paper, we put forward the framework of the valuation method of N shares, and through theoretical analysis and empirical study of historical data, we discuss the three-factor asset pricing model of Fama-French and the explanatory effect of Chinese factors on the rate of return of N shares, and determine the model of estimating the discount factor. Finally, a more specific discussion is carried out through the valuation case. The purpose of this paper is to provide a reference for investors investing in N shares and for industry researchers studying emerging industries in mainland China. Chapter 1 puts forward the questions and summarizes the relative research. In chapter 2, the method frame of N-share valuation is proposed, the method of estimating capital cost is discussed, and the method of predicting financial index is put forward. In chapter 3, the characteristics of N shares in company size distribution are analyzed, and the cost of equity capital is estimated based on classical capital asset pricing model (CAPM) and Fama-French model. At the same time, the risk premium of China is added to estimate the cost of equity capital, and through the statistical analysis of empirical data, it is proved that the national risk premium of the concept of China plays a significant role in explaining the rate of return of N shares. Chapter 4 selects NASDAQ: YYYY) as a case study to analyze the competitive advantage of the company according to the business sector, to predict the growth of the various business sectors of the company, and to predict the gross profit margin and the operating expenses of R & D, sales, market, etc. Get the free cash flow forecast. Estimate the cost of capital of the company, and finally determine the discounted factor of free cash flow. Chapter 5 reviews the full text and puts forward suggestions and prospects.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

【参考文献】