本文關(guān)鍵詞：商業(yè)銀行商譽(yù)要素估值模型與實(shí)證研究　出處：《對外經(jīng)濟(jì)貿(mào)易大學(xué)》2016年博士論文　論文類型：學(xué)位論文

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【摘要】："銀行到底值多少",是每個(gè)商業(yè)銀行、監(jiān)管機(jī)構(gòu)和投資機(jī)構(gòu)都在長期反復(fù)探索的一個(gè)問題。從外部利益相關(guān)者角度來說,商業(yè)銀行估值理論可以為資本市場投資機(jī)構(gòu)提供價(jià)值發(fā)現(xiàn)的方法,為銀行業(yè)分析師提供價(jià)值評估的參考,甚至可以引導(dǎo)銀行業(yè)監(jiān)管機(jī)構(gòu)的管理方向;從銀行內(nèi)部角度來看,商業(yè)銀行估值理論可以為大股東提供量化自身價(jià)值的方法,評定經(jīng)營活動(dòng)的績效,為管理層經(jīng)營決策和價(jià)值提升提供思路。因此,商業(yè)銀行估值理論在與時(shí)俱進(jìn)中,不斷發(fā)展和完善,形成了一個(gè)既復(fù)雜又頗具藝術(shù)性的流程,但也正因其復(fù)雜和藝術(shù)的結(jié)合,使如何對商業(yè)銀行估值成為了一個(gè)有著諸多答案甚至存在較大爭議的問題。本研究是在學(xué)習(xí)吸收了傳統(tǒng)企業(yè)和現(xiàn)有商業(yè)銀行估值理論的基礎(chǔ)上,認(rèn)真分析了現(xiàn)有企業(yè)估值模型對商業(yè)銀行價(jià)值評估方面的不足,闡釋了目前最"理論正確"的銀行DDM估值模型的實(shí)踐不足,并探索在現(xiàn)實(shí)約束條件下建立邏輯合理、可實(shí)踐操作的估值模型的創(chuàng)新過程。在研究現(xiàn)有的企業(yè)估值理論后,筆者在深入分析商業(yè)銀行經(jīng)營的背景下,采用當(dāng)前理論界和資本市場均較為認(rèn)可的三階段股利折現(xiàn)模型對商業(yè)銀行進(jìn)行估值,得出其估值價(jià)格與市場價(jià)格有較大偏差的結(jié)論。筆者認(rèn)為,商業(yè)銀行是經(jīng)營風(fēng)險(xiǎn)的行業(yè),可變因素較多,且由于信息不對稱原因,使市場和銀行管理層對未來的預(yù)判難以完全一致,市場對銀行的未來判斷亦難完全準(zhǔn)確。投資者往往由于自身的信息弱勢,對市場價(jià)格進(jìn)行逆向選擇,導(dǎo)致市場價(jià)格與內(nèi)在價(jià)值造成較大偏離。而在沒有實(shí)際經(jīng)營結(jié)果支撐的前提下,銀行很難用"我們認(rèn)為未來經(jīng)營就是這樣"這樣的預(yù)期讓投資者付出真金白銀。因此,當(dāng)前迫切需要一種利用現(xiàn)實(shí)可得數(shù)據(jù),探索一個(gè)"讓歷史告訴未來"的估值方法,而不是單純依靠DDM的判斷。進(jìn)而,筆者通過分析商業(yè)銀行的經(jīng)營特征,從制度經(jīng)濟(jì)學(xué)、會(huì)計(jì)學(xué)等多重角度,探討影響商業(yè)銀行價(jià)值的內(nèi)外部主要因素,總結(jié)并歸納出影響商業(yè)銀行內(nèi)在價(jià)值的變量。然后在資產(chǎn)評估法的基礎(chǔ)上,提出并購交易中常用的銀行商譽(yù)的概念,即投資者投資商業(yè)銀行所付出的價(jià)值等于銀行凈資產(chǎn)加上商譽(yù)溢價(jià)(在一些情況下,這個(gè)溢價(jià)可能是負(fù)的),從而推導(dǎo)出"商譽(yù)要素"的銀行估值方法,建立面板數(shù)據(jù)模型,并選取本研究認(rèn)為"最優(yōu)市場"中的寬樣本數(shù)據(jù)進(jìn)行實(shí)證檢驗(yàn)。推導(dǎo)出在現(xiàn)實(shí)約束條件下可得變量對銀行商譽(yù)的影響程度。本研究主要的貢獻(xiàn)在于,在DDM模型"理論正確"但實(shí)踐上過度依賴個(gè)體主觀假設(shè)的情況下,另辟蹊徑,引入商譽(yù)概念,將銀行價(jià)值拆解為凈資產(chǎn)價(jià)值和商譽(yù),并立足于現(xiàn)實(shí)可得數(shù)據(jù),提出了"商譽(yù)要素"估值模型,采用客觀的方法對銀行各要素對商譽(yù)的影響進(jìn)行了實(shí)證檢驗(yàn)。最終根據(jù)模型,確定了哪些變量對銀行商譽(yù)提升幫助較大,從而引導(dǎo)結(jié)論,即商業(yè)銀行應(yīng)如何提升內(nèi)在價(jià)值,如何使用市值管理的手段,有效溝通信息,使自身變量更好地在市場上客觀反應(yīng),使市場價(jià)格與內(nèi)在價(jià)值更為一致。
[Abstract]:"How much value for banks, each commercial bank, regulators and institutional investors are in a long-term repeated exploration. From the external stakeholder perspective, commercial bank valuation theory can provide a method to find the value of the capital market investment institutions, to provide reference for the assessment of the value of the silver industry analysts, even the direction of management can guide the banking supervision institutions; from the perspective of internal bank, commercial bank valuation theory can provide a quantitative method for the value of their own shareholders, business performance evaluation, for the management of the business decision and enhance the value of providing ideas. Therefore, the commercial bank valuation theory in advancing with the times, continuous development and improvement, has formed a complex and an artistic process, but also because of its complexity and the combination of art, how to make the valuation of commercial banks has become a lot of A. The case even disputed problems. This research is absorbed in learning the basis of traditional enterprises and existing commercial bank valuation theory, analyzes the shortcomings of existing enterprise valuation model to assess the value of commercial bank's interpretation of the practice of bank DDM valuation model the theory of "right" problems, and explore the under practical constraints to establish reasonable logic, innovation process valuation model can operate in practice. In the study of corporate valuation theories existing after the in-depth analysis of commercial banks under the background of the three stage of the dividend discount model in theory and capital markets are more recognized in the valuation of commercial banks, the valuation price with the market price has a large deviation conclusion. The author believes that the commercial bank's operational risk industry, many variable factors, and because of the information asymmetry from the market And the bank management is difficult to predict the future is completely consistent, the market for the bank's future is also difficult to determine precisely. Investors are often due to its weak information, adverse selection of the market price, the market price caused by large deviation and intrinsic value. But there is no actual operating results support the premise, the bank is difficult to "we believe that the future of business is that" such expectations allow investors to pay real money. Therefore, an urgent need to use a real data, to explore a "let history tell the future valuation method", rather than simply relying on DDM's judgment. Then, through the analysis of the operating characteristics of commercial banks, from the institutional economics, accounting and other multi angle, to explore the influence of internal and external factors of the value of commercial banks, summarizes and induces the influence variables of commercial banks. Then the intrinsic value of assets Based on the method of evaluation, put forward the concept of bank mergers and acquisitions goodwill commonly used in the transaction, which is paid by investors of commercial bank value is equal to the net assets of banks plus goodwill premium (in some cases, the premium may be negative), bank valuation method to derive the "goodwill factor", the establishment of panel data model this study suggests that ", and select the optimal market wide sample data in the empirical test. The deduced under practical constraints to variables on bank goodwill influence. The main contribution of this study lies in, in the DDM model theory of" right "but in practice rely on individual subjective assumption, another way. The introduction of the concept of goodwill, the value of Bank net asset value and the dismantling of goodwill, and based on the reality data, put forward the" goodwill factor valuation model, the various elements of the bank goodwill method objective The influence of the empirical test. Finally according to the model, to determine which variables on bank goodwill to help large, leading to the conclusion, that commercial banks should be how to enhance the intrinsic value, how to use the market value management by means of effective communication of information, make their own variables better in the market reaction, the market price and the intrinsic value consistent.

【學(xué)位授予單位】：對外經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2016
【分類號】：F832.33

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本文編號：1358007