基于效用函数的公司股权定价与实证分析

发布时间：2018-05-28 05:12

本文选题：不完全市场 + 效用函数　；参考：《苏州大学》2014年硕士论文

【摘要】：随着中国的经济规模不断扩大，相应的资本市场也在逐渐发展，资产权益的定价问题将越来越受到重视。本文主要研究了公司股权的定价估值问题。我们把公司股票看成是以股息作为收益、标的量是各种现金流的永久合同，选择每股账面价值、每股净收益、净收益增速以及随机红利政策作为影响因子，并用随机微分方程刻画它们的变动，，建立了一个公司股权价值模型。同时考虑市场因素的影响，引入可交易经济指标和换手率这两个市场因子，建立了第二个价值模型。在此基础上，利用CARA无差异定价理论对两个价值模型分别导出了它们的定价偏微分方程组，并在某些特定情况下得到了它们的解析解，即公司股权的定价表达式。进一步地，我们用沪深A股市场上的上市公司对所得到的定价表达式进行了实证分析，从实证结果可以看出，引入市场因素的第二个模型能够较准确地反映公司实际股价的走势。因此我们的研究在股票投资的市场价值分析上具有一定的指导意义，并有望对模型进行改进，得到更为精确的定价模型，应用于实际。
[Abstract]:With the expansion of Chinese economy and the development of capital market, more and more attention will be paid to the pricing of asset equity. This paper mainly studies the pricing and valuation of company equity. We regard company stock as dividend as income, target amount as permanent contract of all kinds of cash flow, choose book value per share, net income growth rate and random bonus policy as influence factors. The stochastic differential equation is used to describe their changes and a corporate equity value model is established. At the same time, considering the influence of market factors, the second value model is established by introducing two market factors: tradable economic index and turnover rate. On this basis, two value models are derived by using CARA's non-differential pricing theory, and their analytical solutions are obtained in some special cases, that is, the pricing expression of the company's equity. Furthermore, we use the listed companies in the Shanghai and Shenzhen A-share markets to make an empirical analysis of the pricing expressions obtained. From the empirical results, we can see that, The second model, which introduces market factors, can accurately reflect the actual stock price trend. Therefore, our research has a certain guiding significance in the market value analysis of stock investment, and it is expected to improve the model and get a more accurate pricing model, which can be applied to practice.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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