蒙特卡罗方法在收益法评估中的应用研究

发布时间：2019-02-25 12:15

【摘要】：收益法评估是资产评估方法中最为准确科学的评估方法，其中主要涉及收益额、折现率、收益期限这三个参数的估值问题。由于被评估对象处于不断变化的市场中，评估客体不仅受到了来自外部环境中的宏观因素的影响，内部的微观因素也对其有一定的影响，这就导致了在应用收益法评估的过程中参数的不确定性。对于不确定性的影响可以用概率论与数理统计的相关理论来进行描述，通过对历史数据的分析可得出参数的随机变量及其参数。传统方法是以完全信息为假设，忽略了收益法评估中的不确定性因素，通常得出的评估结果是点估计。无论是在理论界还是实务界，越来越多的专家和评估从业人员对这种以确定性为基础所得出的点估计的评估结果的合理性表现出质疑。本文对收益法在企业价值评估中的应用进行探讨，从而对蒙特卡罗模拟在收益法应用得到以管窥豹的启示和作用，而在企业价值评估中收益法的具体应用的主要体现是自由现金流量折现模型。本文以收益法在资产评估中的不确定性为突破口，并结合收益法在企业价值评估中的具体应用——自由现金流量折现模型（DCF模型）中所存在的问题进行了研究分析。本文首先对传统的自由现金流量折现模型进行了分析，并介绍了收益额、收益期和折现率这三个主要参数的确定方法；其次对资产评估中所存在的不确定性以及来源进行了分析，构造了含有这些不确定性因素的DCF模型，以现有数据和专家意见法两种方法对参数的所符合的随机变量进行了论述，同时也对参数的相关性处理进行了研究，提出了将不可重复重大事件考虑到模型之中的思想。最后，结合自由现金流量折现模型的特点和蒙特卡罗模拟方法要点和步骤，建立了以蒙特卡罗模拟方法为基础的收益法评估的步骤，，并对重要环节进行了详细的论述。结合实际案例，分别以传统的企业价值评估方法和以蒙特卡罗模拟为基础的企业价值评估法进行了算例分析。比较两种方法所得的评估结果，得出以蒙特卡罗模拟为基础的企业价值评估方法所的区间估计更为客观、可靠以及准确，对于评估结果的使用者做出决策更有参考价值。
[Abstract]:Income assessment is the most accurate and scientific evaluation method in asset evaluation, which mainly involves the valuation of three parameters, namely, the amount of income, discount rate, and the period of income. Because the evaluated object is in the changing market, the evaluation object is not only affected by the macro factors from the external environment, but also by the internal micro factors. This leads to the uncertainty of the parameters in the process of applying the income method. The influence of uncertainty can be described by the theory of probability and mathematical statistics, and the random variables and their parameters can be obtained by analyzing the historical data. The traditional method is based on the assumption of complete information and neglects the uncertain factors in the income assessment. Whether in theory or practice, more and more experts and practitioners question the reasonableness of the point estimation based on certainty. In this paper, the application of income method in enterprise value assessment is discussed, and the enlightenment and function of Monte Carlo simulation in income method are discussed. The discounted free cash flow model is the main embodiment of the application of income method in enterprise value evaluation. In this paper, the uncertainty of income approach in asset evaluation is taken as the breakthrough point, and the problems existing in the free cash flow discount model (DCF model), which is the concrete application of income method in enterprise value assessment, are analyzed. In this paper, the traditional discount model of free cash flow is analyzed, and the methods of determining the three main parameters, namely, the amount of income, the period of income and the discount rate, are introduced. Secondly, the uncertainty and source of asset evaluation are analyzed, and the DCF model with these uncertain factors is constructed. By using the existing data and expert opinion method, the consonant random variables of the parameters are discussed. At the same time, the correlation processing of parameters is studied, and the idea of taking non-repeatable important events into account in the model is put forward. Finally, combining the characteristics of the free cash flow discount model and the main points and steps of Monte Carlo simulation method, the paper establishes the steps of income assessment based on Monte Carlo simulation method, and discusses the important links in detail. Combined with the actual cases, the paper analyzes the traditional enterprise value evaluation method and the Monte Carlo simulation method based on the enterprise value evaluation method. Comparing the evaluation results obtained by the two methods, it is concluded that the interval estimation of the enterprise value evaluation method based on Monte Carlo simulation is more objective, reliable and accurate, and it is more valuable for the users of the evaluation results to make decisions.
【学位授予单位】：河北农业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F233

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