风险调整下的复利价格模型

发布时间：2018-04-04 12:51

本文选题：估值理论　切入点：现金流贴现模型　出处：《湘潭大学》2013年硕士论文

【摘要】：随着我国资本市场的发展和完善，人们对股票投资逐渐趋于理性，价值投资这一理念被越来越多的人所接受和重视，如何对股票价值进行正确评估成为人们所关注的焦点。股票估值理论起源于西方，在2000年传入我国，尽管该理论已发展的足够成熟并且在西方资本市场广泛应用，但由于我国资本市场的特殊性，，这些在西方成熟资本市场适用的估值理论和模型在我国资本市场并不一定有效。国内大量学者对这方面展开了深入的分析和研究，并在原来的基础上进行了拓展，取得了丰硕的研究成果。目前常用的股票估值模型大致可分为绝对估值模型与相对估值模型两大类。其中，绝对估值模型主要包括股利贴现模型，自由现金流贴现模型，剩余收益模型和B-S期权定价模型，相对估值法主要包括市盈率模型、市净率模型和FEG模型等。本文旨在于建立一个全新的股票价值评估模型，以期对股票进行更好的估值。围绕这个中心点，本文首先对研究背景和意义进行了阐述，为后文的展开做了铺垫，接着梳理了股利贴现模型、自由现金流贴现模型和剩余收益模型相关国内外文献，然后对本文的理论基础做了详细介绍和解说，接下来是模型的构建过程和研究假设的提出，对相关变量做了统计性描述和初步检验（z检验和t检验），再运用计量软件stata回归，并对实证结果进行研究分析，得到如下结论：净资产收益率越高，公司规模越大，股票价格越高；会计信息质量和会计盈余持续性对股价有很大影响；在对股票价值进行实证分析时应该考虑引入时间趋势变量，消除年度差别对股价的影响。最后一部分是对本文的总结，并对此次实证研究的创新、不足之处做了简单的评价，探讨了未来的研究方向。
[Abstract]:With the development and perfection of our country's capital market, people tend to be rational in stock investment, and the concept of value investment is accepted and valued by more and more people. How to correctly evaluate the stock value has become the focus of people's attention.The theory of stock valuation originated in the West and was introduced into China in 2000. Although the theory has been developed and widely used in western capital markets, but because of the particularity of China's capital market,These valuation theories and models used in western mature capital markets are not necessarily effective in Chinese capital markets.A large number of domestic scholars have carried out in-depth analysis and research on this aspect, and expanded on the basis of the original, and obtained fruitful research results.Stock valuation models commonly used at present can be divided into absolute valuation model and relative valuation model.Among them, the absolute valuation model mainly includes dividend discount model, free cash flow discount model, residual income model and B-S option pricing model. The relative valuation method mainly includes price-earnings ratio model, price-to-book ratio model and FEG model.The purpose of this paper is to establish a new valuation model for stock valuation.Focusing on this central point, this paper firstly expounds the background and significance of the research, and lays the groundwork for the later development, then combing the discount model of dividend, the discount model of free cash flow and the model of residual income, which is related to domestic and foreign literature.Then the theoretical basis of this paper is introduced and explained in detail. Then the process of model construction and the research hypothesis are put forward. The statistical description and preliminary test of relevant variables and t test are done, and then the stata regression software is used.The empirical results are analyzed as follows: the higher the return on net assets, the larger the size of the company, the higher the stock price, the greater the quality of accounting information and the persistence of accounting earnings have a great impact on the stock price.In the empirical analysis of stock value, we should introduce time trend variable to eliminate the influence of annual difference on stock price.The last part is a summary of this paper, and the innovation of this empirical study, shortcomings of a simple evaluation, discussed the future direction of research.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42;F832.51

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