基于正态模糊数实物期权的新三板公司股权价值评估

发布时间：2018-04-17 18:46

本文选题：新三板 + 正态模糊数　；参考：《东华大学》2017年硕士论文

【摘要】：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。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。本文首先介绍问题的来源、研究的意义、国内外研究现状述评以及论文的框架结构和研究方法,为论文的研究提出了出基本轮廓。然后对实物期权理论进行分析。系统阐述了新三板的相关的基本理论和基础,分别介绍了新三板的发展与现状以及新三板的行业特征,并分别加以论述,为下文问题的提出做出了铺垫。下一部分给出了公司股权价值评估的方法,并在传统方法存在的问题上介绍了实物期模型,以及适用情形、存在的问题及解决办法。而后考虑加入模糊集概念的实物期权的公司股权价值评估模型,并综合考虑目前实物期权理论的研究成果,在直接套用B-S公式为实物期权定价的方法的基础上,考虑公司的预期现金流收益是一个预测值,并运用模糊集理论,分析表明了将专家评估区间转化成正态模糊数并利用格贴近度构造权向量的一种新的实物期权定价模型。本文主要选取2015年新三板上市企业为案例,通过choice软件以及同花顺软件得到相应的财务报表和2015年的年末收盘价,运用加入了正态模糊数的实物期权的方法对公司的股权价值作出评估,与传统实物期权方法不同的是,本文选取一个相应的区间来作为标的物资产的区间,这样做法的实用性更强。最后选取了新三板中31家上市企业基于正态模糊数实物期权的模型计算了它们的股权价值以及流通股价的理论值,结果表明用此模型计算出的流通股的理论价值或称内在价值对市场价格有一定的指导作用。
[Abstract]:In economic activities, asset evaluation, as the leading work of enterprise management and investment, plays an important role in the management and investment of all kinds of real assets and financial assets.In the economic life, the stock right acquisition, merger and other behaviors of the company need to evaluate the enterprise value. It can be predicted that the enterprise value evaluation will become an important part of the future asset evaluation.This paper first introduces the source of the problem, the significance of the research, the current research situation at home and abroad, as well as the framework structure and research methods of the paper, and provides a basic outline for the research.Then the real option theory is analyzed.This paper systematically expounds the basic theory and foundation of the new three boards, respectively introduces the development and present situation of the new three boards and the industry characteristics of the new three boards, and discusses them separately, laying the groundwork for the following problems.In the next part, the paper gives the method of evaluating the equity value of the company, and introduces the real period model, the applicable situation, the existing problems and the solutions to the problems existing in the traditional methods.Then considering the stock value evaluation model of real options with fuzzy set concept, and considering the current research results of real options theory, on the basis of applying B-S formula to real option pricing method directly.Considering that the expected cash flow return of a company is a forecast value, and using fuzzy set theory, it is shown that the expert evaluation interval is transformed into a normal fuzzy number and a new real option pricing model is constructed by using the lattice closeness degree to construct the weight vector.This article mainly selects the new three boards listed enterprises in 2015 as the case, obtains the corresponding financial statements and the closing price at the end of 2015 through choice software and Tonghuashun software.This paper uses the method of real options with normal fuzzy number to evaluate the equity value of the company. Different from the traditional real option method, this paper selects a corresponding interval as the interval of the subject matter assets.This is more practical.Finally, 31 listed companies in the new three boards are selected to calculate their equity value and the theoretical value of the circulating stock price based on the model of normal fuzzy number real options.The results show that the theoretical value or intrinsic value of tradable shares calculated by this model has a certain guiding effect on the market price.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【相似文献】