本文關(guān)鍵詞：金融危機下收益法評估中β系數(shù)研究　出處：《北京交通大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 收益法評估 系統(tǒng)性風(fēng)險β系數(shù) 回溯期

【摘要】：隨著我國企業(yè)并購重組、股權(quán)交易、資產(chǎn)轉(zhuǎn)讓等經(jīng)濟活動逐漸增多,客觀、合理的企業(yè)價值評估對維護資本市場估價穩(wěn)定起到了尤為重要的作用。而企業(yè)價值評估的三大基本方法中使用范圍最為廣泛的當(dāng)屬收益法,其中重點和難點是對折現(xiàn)率的測算。而基于CAPM模型的系統(tǒng)性風(fēng)險系數(shù)β值的估計對折現(xiàn)率預(yù)測的準(zhǔn)確性有著重大的影響,然而其苛刻的假設(shè)條件要求只有市場因素對收益產(chǎn)生影響,而宏觀經(jīng)濟、行業(yè)景氣程度、經(jīng)濟周期等各方面影響的忽略均會導(dǎo)致β系數(shù)估計值的偏差,進(jìn)而影響收益法企業(yè)價值評估的結(jié)果�；谝陨侠碚摷艾F(xiàn)實背景,以及2015年我國出現(xiàn)的重大市場異常波動,本文從經(jīng)濟周期角度研究市場波動甚至金融危機的爆發(fā)對收益法評估中β估計值的影響:從評估方法的使用及行業(yè)特點兩個方面選擇所研究的行業(yè),即具有經(jīng)濟周期敏感性的采礦業(yè)和無周期性、高技術(shù)高風(fēng)險性的醫(yī)藥制造業(yè),對比一般方法和剔除金融危機區(qū)間進(jìn)行回歸得到的行業(yè)β系數(shù)估計值,發(fā)現(xiàn)金融危機對兩種行業(yè)都有不同程度的影響,其對周期性行業(yè)影響更為顯著;進(jìn)而為了探索在進(jìn)行β系數(shù)估計時消除金融危機影響的新方法,從不斷拉長回溯期的角度,分析兩個行業(yè)及單個企業(yè)β估計值的變化情況,得出以下結(jié)論:在進(jìn)行周期性行業(yè)β系數(shù)估計時,應(yīng)充分考慮周期波動的影響,回溯期盡量選擇涵蓋整個行業(yè)周期或者周期的整倍數(shù),其中采礦業(yè)可選擇10年;而醫(yī)藥制造業(yè)的行業(yè)β估計值具有一定的穩(wěn)定性,回溯期的拉長一定程度上可削弱金融危機的影響,其回溯期可選擇6年;但個股β估計值隨回溯期的不斷增長呈現(xiàn)出很強的波動性,因此在收益法評估β參數(shù)確定時,應(yīng)盡量選擇行業(yè)而非可比公司的β系數(shù)作為參考,從而獲得更加穩(wěn)定、準(zhǔn)確的評估價值。希望通過本文的研究,為企業(yè)價值評估理論研究及實務(wù)操作中β參數(shù)的確定開拓新的思路。
[Abstract]:With the merger and reorganization of Chinese enterprises, equity trading, asset transfer and other economic activities are gradually increasing, objective. Reasonable evaluation of enterprise value plays a particularly important role in maintaining the stability of capital market valuation, and the most widely used of the three basic methods of enterprise value assessment is the income method. The key and difficult point is the calculation of discount rate, and the estimation of systemic risk coefficient 尾 based on CAPM model has a great influence on the accuracy of discount rate prediction. However, its harsh assumptions require that only market factors have an impact on earnings, while the neglect of macroeconomic, industry prosperity, economic cycle and other aspects of the impact will lead to the deviation of 尾 coefficient estimates. Based on the above theoretical and practical background, as well as the major market fluctuations in 2015 in China. This paper studies the impact of market volatility and even the outbreak of financial crisis on the 尾 estimation in income assessment from the perspective of economic cycle: choose the industry to be studied from two aspects: the use of evaluation methods and the characteristics of the industry. That is, the mining industry with economic cycle sensitivity and non-cyclical, high-tech and high-risk pharmaceutical manufacturing industry, compared with the general method and excluding the financial crisis interval regression to get the estimated value of industry 尾 coefficient. It is found that the financial crisis has a different degree of influence on both industries, and it has a more significant impact on cyclical industries. Then in order to explore a new method to eliminate the impact of financial crisis in the estimation of 尾 coefficient, this paper analyzes the changes of 尾 estimates in two industries and individual enterprises from the point of continuously extending the backtracking period. The following conclusions are drawn: when estimating the 尾-coefficient of periodic industries, the influence of cycle fluctuation should be fully considered, and the whole multiple covering the whole industry cycle or cycle should be selected as far as possible in the backdating period. Among them, the mining industry can choose 10 years; The industry 尾 value of pharmaceutical manufacturing industry has certain stability, the extension of retrospective period can weaken the impact of financial crisis to some extent, and the backdating period can be chosen for 6 years. However, the 尾 estimate of individual stock shows strong volatility with the increasing of backdating period. Therefore, when evaluating the 尾 parameter of income method, we should choose the 尾 coefficient of the industry rather than the comparable company as the reference as far as possible. It is hoped that the research in this paper will open up a new way of thinking for the theoretical research of enterprise value evaluation and the determination of 尾 parameters in practical operation.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.59;F426;F406.7

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