企业价值评估模型研究综述

1、企业价值评估企业价值评估Corporate Valuation中国山东大学管理学院 袁明哲Dr. Mingzhe Yuan, Professor, Management School, Shandong University, China 第一讲(Part I)企业价值评估的基本模型(Basic models of corporate valuation)一、企企业业价价值值的的概概念念(concepts about firm value)(concepts about firm value)（一）企业价值的定义（一）企业价值的定义(Definition of firm value)(Defi

2、nition of firm value)1.1. 内在价值内在价值( (Intrinsic value): :2. 企业价值企业价值负债价值股权价值负债价值股权价值负债价值负债价值 + 优先股价值优先股价值 + 普通股价值普通股价值 firm value= value of debt+ value of equity =value of debt +value of preferred stocks +value of common stocks123231111TTE CFE CFE CFE CFVrrrr3.3.公允价值公允价值(fair value )(fair value )：财务会

3、计：在公平交易中，熟悉情况的交易双财务会计：在公平交易中，熟悉情况的交易双方自愿进行资产交换或者债务清偿的金额。方自愿进行资产交换或者债务清偿的金额。Financial accounting: Financial accounting: the amount for which an the amount for which an asset could be exchanged, or a liability asset could be exchanged, or a liability settled, between knowledgeable, willing parties set

4、tled, between knowledgeable, willing parties in an arms length transactionin an arms length transaction资产评估：资产评估：在特定时期、地点和条件约束下的在特定时期、地点和条件约束下的公平交换价值。公平交换价值。Valuation: Valuation: the fair exchange value, in a the fair exchange value, in a particular period, place and under constraints particular per

5、iod, place and under constraints conditionsconditions4. 4. 市场价值（市场价值（market value): market value): 市场价值是在符合市场价值定义的条件下，市场市场价值是在符合市场价值定义的条件下，市场上能够合理形成的最可能价格。上能够合理形成的最可能价格。(The most likely price under market value (The most likely price under market value conditions )conditions ) 市场价值条件：（市场价值条件：（1 1）买者

6、和卖者的地位是平等的，）买者和卖者的地位是平等的，彼此都有获取足够市场信息的机会和时间；（彼此都有获取足够市场信息的机会和时间；（2 2）买卖双方的交易都是在自愿的、理智的条件下进买卖双方的交易都是在自愿的、理智的条件下进行的，不受任何强迫和压制。行的，不受任何强迫和压制。market value conditions:(1) the position of buyers market value conditions:(1) the position of buyers and sellers are equal, and both of them have and sellers are

7、equal, and both of them have chance and time to acquire market information; (2) chance and time to acquire market information; (2) the transactions are voluntary and rational the transactions are voluntary and rational without external coercion and repression.without external coercion and repression

8、.有效市场中有效市场中(efficient market)(efficient market)：市场价值公允价值市场价值公允价值= =内在价值市场价内在价值市场价格格Market value=fair value Market value=fair value =intrinsic value=intrinsic value=market price=market price5.5.账面价值：根据会计准则确认的资产价值账面价值：根据会计准则确认的资产价值Book value: total asset value recognized by Book value: total asset val

9、ue recognized by accounting standardsaccounting standards7.7.企业价值评估中使用的价值类型：企业价值评估中使用的价值类型：Value type in corporate valuationValue type in corporate valuation市场价值与非市场价值市场价值与非市场价值Market value and non market valueMarket value and non market value市场价值以外的价值市场价值以外的价值: : 投资价值，持续经营价值，投资价值，持续经营价值，清算价值等。清算价值等

10、。non market value: investment value,non market value: investment value,going concern valuegoing concern value , liquidation value 1. 1. 现金流量折现模型现金流量折现模型(discounted cash flow model)(discounted cash flow model)CFCF：现金流量：现金流量( cash flow)( cash flow)二、企业价值评估的基本模型（Basic models of corporate valuation)Basi

11、c models of corporate valuation)123231111TTE CFE CFE CFE CFVrrrr2.现金股利折现模型现金股利折现模型 (Cash dividend discount model)基本公式基本公式(basic model)：D：现金股利（含股票回购及清算股利）：现金股利（含股票回购及清算股利） cash dividend (including redemption of stock and liquidation dividend)122111ttttE DE DE DVrrr现金股利折现模型的变形transformationtransformat

12、ions of cash dividend discount modelcash dividend discount model （1 1） 年金法年金法(annuity method)(annuity method)： P=A/r P=A/r其中其中(where)(where)，1111nniiiiiADrr（2 2）分段法）分段法(segmentation(segmentation method)：假设年以后保持假设年以后保持D Dn n不变：不变：(Dividends remain unchanged after year n)(Dividends remain unchanged af

13、ter year n)假设从假设从 (n+1)(n+1)年起的后段，企业预期年现年起的后段，企业预期年现金股利将按一固定比率金股利将按一固定比率(g)(g)增长，则分段增长，则分段法的公式可写成法的公式可写成: :(Dividends grow by a fixed rate, g, after year n)(Dividends grow by a fixed rate, g, after year n) 1()11()ninniiD rgVDrrrg111ninniiDVDrRr（3 3）固定分配率股利折现模型 (Fixed distribution rate cash flow disc

14、ount model)(Fixed distribution rate cash flow discount model)001Ebg EVg令现在时刻为令现在时刻为t=0t=0，每股收益为，每股收益为E E0 0，再投资收益率为常数，再投资收益率为常数ROEROE，收益留存率为收益留存率为b b（1-b1-b为股利分配率），为股利分配率），g = 1+b*ROET=0: present timeE0: earnings per shareROE: constant reinvestment returnb: retaining rate of the incomeg = 1+b*ROE（4

15、4）收益价值模型 (Income value model)011EttttttEIVttttIEDFtF发行新股弥补投资所需资金或将剩余资金用于购回普通股(funds by issuance of new shares for investment or redemption of stocks)tttIEDtttDDF（5 5）非持续经营假设前提下：）非持续经营假设前提下： ( (Non-going concern assumptions)Non-going concern assumptions)111nininiVDrVr3.3.股权自由现金流量折现模型 (Free cash flow

16、to equity discount model)3120231(1)(1)EFCFEFCFEFCFEVrrr其中，其中， FCFE=FCFE=可供分配的现金流量可供分配的现金流量( (free cash flow to equity ) NI = NI = 净利润净利润(net income)(net income) Dep = Dep = 折旧折旧( (depreciation) CE = CE = 资本性支出资本性支出(capital expenditure)(capital expenditure) WC= WC= 营运资本的变化量营运资本的变化量(change of working

17、capital)(change of working capital) D=债务净增加额（发行新债债务净增加额（发行新债-偿还旧债）偿还旧债） FCFENIDepamortCEWCD4.4.企业自由现金流量折现模型 (Free cash flow to firm discount model)3120231(1)(1)FFCFFFCFFFCFFVWACCWACCWACC(1)FCFFEBITxDepCEWC企业价值企业价值=股权价值股权价值+债务价值债务价值firm value= value of debt + value of equity股权价值股权价值=企业价值企业价值-债务价值债务价值

18、value of equity =firm value - value of debt5.5.实物期权模型(real option model)(real option model)期权是指一种选择权合约，它是指持有者在未来期权是指一种选择权合约，它是指持有者在未来一段时间内以一定的价格购买或出售某项金融资一段时间内以一定的价格购买或出售某项金融资产（股票、汇率、利率等）的权利。产（股票、汇率、利率等）的权利。（An option is a contract giving the An option is a contract giving the holderholderthe right

19、to buy or sell a given stock at the right to buy or sell a given stock at certain price , subject to various certain price , subject to various conditions.conditions. ） Black-Scholes Black-Scholes 期权定价模型期权定价模型(Option pricing (Option pricing model)model)（19731973）。）。期权定价模型的在企业价值评估中的应用期权定价模型的在企业价值评估中的

20、应用(application of option pricing model in corporate valuation)(application of option pricing model in corporate valuation)1.1.企业价值企业价值= =资产价值（有形资及无形资产）资产价值（有形资及无形资产）+ +期权价值（投期权价值（投资机会）资机会）Firm value = value of assets + value of option Firm value = value of assets + value of option (investment opport

21、unity)(investment opportunity)2.2.企业价值企业价值= =业务价值（已拥有的业务项目）业务价值（已拥有的业务项目）+ +创新价值（拓创新价值（拓展新业务）展新业务）Firm value = value of current business + value of Firm value = value of current business + value of new businessnew business3.3.企业价值企业价值= =股权价值（看涨期权）股权价值（看涨期权）+ +债权价值债权价值Firm value = value of equity (ca

22、ll option) + value Firm value = value of equity (call option) + value of debtof debt企业全部资产（企业全部资产（total assets)total assets)：标的资产：标的资产(underlying asset)(underlying asset)，看涨期权（，看涨期权（call call option)option)期权的执行价格期权的执行价格= =负债负债D D（exercise price exercise price of option=debt)of option=debt)到期日企业价值到期

23、日企业价值V VF F股东收益股东收益=max0=max0，V VF F-D-D股权价值股权价值= =看涨期权价值看涨期权价值Value of equity =value of call optionValue of equity =value of call option6.6.经济附加值模型（经济附加值模型（EVA model)EVA model)EVA=EBIT(1-T)-CapitalEVA=EBIT(1-T)-Capital* *WACCWACC122111TFTE EVAE EVAE EVAVCapitalWACCWACCWACC7.7.超常收益模型 (abnormal earni

24、ngs model or residual income model)干净盈余关系（Clean surplus relation）： 1ttttBBED1tttAErB 超常收益(abnormal earnings or residual income)： At:超常收益(abnormal earnings) Et：净利润(net earnings) Bt-1：期初所有者权益(beginning equity) r:股权资本成本(cost of equity capital)超常收益模型 (abnormal earnings model)11ttttErBVB 1r Ohlson Model

25、线性自回归假设(linear autoregressive assumption) ： 111,12,tttttttAAvvv 为会计报表中未包含的其他超常收益，小于1的非负数（other abnormal earnings not included in accounting reports, less than 1 greater than 0）。 tv, Ohlson Model/(1)(1)/()k2(1)/ 1(1)rrr 2()(1)tttttVkEDk BvFelthamFeltham和OhlsonOhlson模型（F-OF-O ModelModel） 假定金融资产不能产生非正常

26、的收益，并假设经营资产和超常经营收益满足（Assume that financial assets can not generate abnormal earnings. Operating assets and abnormal operating earnings satisfy)： 其中：= 非正常营业收益(abnormal operating earnings)=营业收益(operating earnings)=营业资产(operating assets)111121,1,11222,2,11,11 1,3,12,122,4,1aatttttttttttttttoxoxoavoaoav

27、vvvv1atttoxoxroa tox1toa Feltham和Ohlson模型（F-O Model）12atttttPBoxoav11111122112221211121(1)(1)(1)1( ,),(1)(1) 1rrrrrrrr tV 超常收益模型的实证研究(empirical studies about abnormal earnings model) FrancisFrancis etc.etc.，19971997；Penman and Penman and SougiannisSougiannis，1998:1998:虽然超常收益模型与股利贴现模型在本虽然超常收益模型与股利贴现模型在本质上是相同的，但超常收益模型在解释质上是相同的，但超常收益模型在解释横断面股票价格变化方面明显优于股利横断面股票价格变化方面明显优于股利贴现模型和自由现金流量模型贴现模型和自由现金流量模