实物期权改善剩余收益估值模型解释力研究

发布时间：2018-06-02 08:59

本文选题：公司价值 + 剩余收益模型　；参考：《会计之友》2017年15期

【摘要】：使用经典的剩余收益估值模型计算公司内在价值,时常会低估公司的价值,其中重要的原因是该模型没有考虑公司拥有的实物期权的价值。公司内在价值除了未来剩余收益贴现和之外,还应包括各种潜在的实物期权的价值。因此考虑了实物期权的价值后能否改善剩余收益模型的解释力是一个值得研究的课题。文章以沪深300的公司为样本进行实证分析,选取了每个公司都具备的持有期权价值算入公司内在价值中,并用两个财务指标代表公司增长期权,结果表明含有或者考虑实物期权的剩余收益模型计算出的公司内在价值比起传统普通剩余收益模型计算出的公司内在价值对公司股价的解释力要强些,从而证实了实物期权对改进剩余收益模型方面的价值和可能性,为未来更深入的研究打下基础。
[Abstract]:If the classical residual income valuation model is used to calculate the internal value of the company, the value of the company is often underestimated, and the important reason is that the model does not consider the value of the real options owned by the company. The intrinsic value of the company should include the value of various potential real options in addition to the discounted future residual income. Therefore, it is worth studying whether the value of real option can improve the explanatory power of residual income model. This paper takes the CSI 300 company as a sample for empirical analysis, selects the holding option value that each company has to calculate into the internal value of the company, and uses two financial indicators to represent the company growth option. The results show that the internal value of the company calculated by the residual return model with or without real options is better than that calculated by the traditional residual income model. Thus, the value and possibility of real option in improving the residual income model are confirmed, which lays the foundation for further research in the future.
【作者单位】：桂林理工大学管理学院;
【基金】：广西壮族自治区教育厅科学技术研究项目“基于实物期权视野的剩余收益估值模型的实证研究——以广西上市公司为例”(2013YB108)
【分类号】：F224;F275;F832.51

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