自由现金流量折现法评估公司价值研究

发布时间：2018-12-11 21:06

【摘要】：前任证监会主席郭树清极力推广价值投资理念，但投资者很迷茫，不知如何操作。价值投资是对公司详尽分析获得其内在价值，在价格低于内在价值，呈现可观的安全边际时，采取投资行动的一种投资理念。论文依据价值投资理念，以自由现金流量、折现率为基础展开研究，提供了一个评估公司价值的分析框架。依据中国会计准则，自由现金流量由调整税后净营业利润、非现金费用、资本支出、营运资本增量四部分组成。历史自由现金流量可直接利用财务报告数据计算，为避免预测参数过多引起偏差，选取趋势增长率法估算自由现金流量预期增长率。在投资者理性与资本结构不变的假设下，依据自由现金流量的资本结构来源，将其分为股东权益性自由现金流量与债务性自由现金流量。股东权益性自由现金流量折现率可由预期净资产收益率与预期净资产增长率之和估算；考虑到应收预付项目的经济成本性和应付预收会计项目的经济收益性，债务性自由现金流量折现率由有息负债利率、经营性租赁利率及与预付预收项目之差和应收应付项目之差相匹配的机会成本替代。股东权益性与债务性自由现金流量折现率的加权平均即自由现金流量折现率。在更长期内，预测的有效性降低，折现率由与投资标的相匹配的机会成本估算。公司价值受宏观、行业等外部系统性风险因素影响，，管理层的职业道德和能力显著影响公司价值最大化，并体现为公司的财务能力和竞争优势。五粮液案例分析说明白酒行业特性使五粮液收益性较好、受外部影响较小，但五粮液业绩仍与茅台有较大差距，管理层能力平平且缺乏为股东服务意识，具有规模经济产生的低成本优势和产品特质带来的差异化优势。利用自由现金流量折现法，依据2007~2011年五粮液公司财务报告数据估算2012年初内在价值为16.53元，远远低于市价33元，股价没有安全边际，五粮液不具有投资价值。
[Abstract]:Former Securities Regulatory Commission Chairman Guo Shuqing vigorously promote the concept of value investment, but investors are confused, do not know how to operate. Value investment is a kind of investment idea that takes investment action when the price is lower than the intrinsic value and presents a considerable margin of safety through detailed analysis of the internal value of the company. According to the concept of value investment, this paper studies on the basis of free cash flow and discount rate, and provides an analytical framework for evaluating the value of a company. According to China's accounting standards, free cash flow consists of four parts: net operating profit after tax adjustment, non-cash expenses, capital expenditure, and increment of working capital. The historical free cash flow can be directly calculated by using financial report data. In order to avoid the deviation caused by too many prediction parameters, the trend growth rate method is selected to estimate the expected growth rate of free cash flow. Under the assumption of investor rationality and capital structure invariance, according to the source of capital structure of free cash flow, it is divided into shareholder equity free cash flow and debt free cash flow. The discount rate of shareholders' equity free cash flow can be estimated by the sum of the expected return on net assets and the expected growth rate of net assets; Taking into account the economic cost of prepaid accounts receivable and the economic profitability of accounts payable in advance, that the discounted rate of debt free cash flows is interest bearing liability interest rates, Operating lease interest rate and opportunity cost replacement matching the difference between prepaid items and receivables and payable items. The weighted average of the free cash flow discount rate of shareholder equity and debt is the free cash flow discount rate. In the longer term, the effectiveness of the forecast is reduced, and the discount rate is estimated by the opportunity cost matching the investment target. Corporate value is influenced by external systemic risk factors, such as macro, industry, etc. The professional ethics and ability of management significantly affect the maximization of corporate value, and reflect the financial ability and competitive advantage of the company. The analysis of Wuliangye case shows that the characteristics of liquor industry make Wuliangye more profitable and less affected by external factors, but the performance of Wuliangye still has a big gap with that of Moutai, the management ability is flat and the consciousness of serving shareholders is lacking. It has the low cost advantage of scale economy and the differentiation advantage brought by product characteristics. According to the financial report data of Wuliangye Company from 2007 to 2011, the intrinsic value is 16.53 yuan at the beginning of 2012, which is far below the market value of 33 yuan. The stock price has no margin of safety, and Wuliangye has no investment value.
【学位授予单位】：湖北工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F233

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