本文選題：不完全市場(chǎng) + 效用函數(shù)��； 參考：《蘇州大學(xué)》2014年碩士論文

【摘要】：隨著中國(guó)的經(jīng)濟(jì)規(guī)模不斷擴(kuò)大，相應(yīng)的資本市場(chǎng)也在逐漸發(fā)展，資產(chǎn)權(quán)益的定價(jià)問(wèn)題將越來(lái)越受到重視。 本文主要研究了公司股權(quán)的定價(jià)估值問(wèn)題。我們把公司股票看成是以股息作為收益、標(biāo)的量是各種現(xiàn)金流的永久合同，選擇每股賬面價(jià)值、每股凈收益、凈收益增速以及隨機(jī)紅利政策作為影響因子，并用隨機(jī)微分方程刻畫它們的變動(dòng)，，建立了一個(gè)公司股權(quán)價(jià)值模型。同時(shí)考慮市場(chǎng)因素的影響，引入可交易經(jīng)濟(jì)指標(biāo)和換手率這兩個(gè)市場(chǎng)因子，建立了第二個(gè)價(jià)值模型。在此基礎(chǔ)上，利用CARA無(wú)差異定價(jià)理論對(duì)兩個(gè)價(jià)值模型分別導(dǎo)出了它們的定價(jià)偏微分方程組，并在某些特定情況下得到了它們的解析解，即公司股權(quán)的定價(jià)表達(dá)式。進(jìn)一步地，我們用滬深A(yù)股市場(chǎng)上的上市公司對(duì)所得到的定價(jià)表達(dá)式進(jìn)行了實(shí)證分析，從實(shí)證結(jié)果可以看出，引入市場(chǎng)因素的第二個(gè)模型能夠較準(zhǔn)確地反映公司實(shí)際股價(jià)的走勢(shì)。因此我們的研究在股票投資的市場(chǎng)價(jià)值分析上具有一定的指導(dǎo)意義，并有望對(duì)模型進(jìn)行改進(jìn)，得到更為精確的定價(jià)模型，應(yīng)用于實(shí)際。
[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.
【學(xué)位授予單位】：蘇州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F275

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 Srdjan D.STOJANOVIC;;INTEREST RATE RISK PREMIUM AND EQUITY VALUATION[J];Journal of Systems Science & Complexity;2010年03期

本文編號(hào)：1945421