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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,1,第一讲(Part I) 企业价值评估的基本模型 (Basic models of corporate valuation),2,一、企业价值的概念(concepts about firm value),（一）企业价值的定义(Definition of firm value) 1. 内在价值(Intrinsic value): 2. 企业价值负债价值股权价值 负债价值 + 优先股价值 + 普通股价值 firm value= value of debt+ value of equity =value of debt +value of preferred stocks +value of common stocks,3,3.公允价值(fair value )： 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。 Financial accounting: the amount for which an asset could be exchanged, or a liability settled, between knowledgeable, willing parties in an arms length transaction 资产评估：在特定时期、地点和条件约束下的公平交换价值。 Valuation: the fair exchange value, in a particular period, place and under constraints conditions,4,4. 市场价值（market value): 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。 (The most likely price under market value conditions ) 市场价值条件：（1）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；（2）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。 market value conditions:(1) the position of buyers and sellers are equal, and both of them have chance and time to acquire market information; (2) the transactions are voluntary and rational without external coercion and repression.,5,有效市场中(efficient market)： 市场价值公允价值=内在价值市场价格 Market value=fair value =intrinsic value =market price,6,5.账面价值：根据会计准则确认的资产价值 Book value: total asset value recognized by accounting standards 7.企业价值评估中使用的价值类型： Value type in corporate valuation 市场价值与非市场价值 Market value and non market value 市场价值以外的价值: 投资价值，持续经营价值，清算价值等。 non market value: investment value, going concern value , liquidation value,7,1. 现金流量折现模型 (discounted cash flow model) CF：现金流量( cash flow),二、企业价值评估的基本模型 （Basic models of corporate valuation),8,2.现金股利折现模型 (Cash dividend discount model),基本公式(basic model)： D：现金股利（含股票回购及清算股利） cash dividend (including redemption of stock and liquidation dividend),9,现金股利折现模型的变形 transformations of cash dividend discount model,（1） 年金法(annuity method)： P=A/r 其中(where)，,10,（2）分段法(segmentation method)： 假设年以后保持Dn不变： (Dividends remain unchanged after year n) 假设从 (n+1)年起的后段，企业预期年现金股利将按一固定比率(g)增长，则分段法的公式可写成: (Dividends grow by a fixed rate, g, after year n),11,（3）固定分配率股利折现模型 (Fixed distribution rate cash flow discount model),令现在时刻为t=0，每股收益为E0，再投资收益率为常数ROE，收益留存率为b（1-b为股利分配率），g = 1+b*ROE T=0: present time E0: earnings per share ROE: constant reinvestment return b: retaining rate of the income g = 1+b*ROE,12,（4）收益价值模型 (Income value model),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),13,（5）非持续经营假设前提下： (Non-going concern assumptions),14,3.股权自由现金流量折现模型 (Free cash flow to equity discount model),其中， FCFE=可供分配的现金流量(free cash flow to equity ) NI = 净利润(net income) Dep = 折旧(depreciation) CE = 资本性支出(capital expenditure) WC= 营运资本的变化量(change of working capital) D=债务净增加额（发行新债-偿还旧债）,15,4.企业自由现金流量折现模型 (Free cash flow to firm discount model),企业价值=股权价值+债务价值 firm value= value of debt + value of equity 股权价值=企业价值-债务价值 value of equity =firm value - value of debt,16,5.实物期权模型(real option model),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产（股票、汇率、利率等）的权利。 （An option is a contract giving the holder the right to buy or sell a given stock at certain price , subject to various conditions. ） Black-Scholes 期权定价模型(Option pricing model)（1973）。,17,18,期权定价模型的在企业价值评估中的应用 (application of option pricing model in corporate valuation) 1.企业价值=资产价值（有形资及无形资产）+期权价值（投资机会） Firm value = value of assets + value of option (investment opportunity) 2.企业价值=业务价值（已拥有的业务项目）+创新价值（拓展新业务） Firm value = value of current business + value of new business 3.企业价值=股权价值（看涨期权）+债权价值 Firm value = value of equity (call option) + value of debt,19,企业全部资产（total assets)：标的资产(underlying asset)，看涨期权（call option) 期权的执行价格=负债D（exercise price of option=debt) 到期日企业价值VF 股东收益=max0，VF-D 股权价值=看涨期权价值 Value of equity =value of call option,20,6.经济附加值模型（EVA model) EVA=EBIT(1-T)-Capital*WACC,21,7.超常收益模型 (abnormal earnings model or residual income model),干净盈余关系（Clean surplus relation）：,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),22,超常收益模型 (abnormal earnings model),23,Ohlson Model,线性自回归假设(linear autoregressive assumption) ：,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）。,24,Ohlson Model,25,Feltham和Ohlson模型（F-O Model）,假定金融资产不能产生非正常的收益，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),26,Feltham和Ohlson模型 （F-O Model）,27,超常收益模型的实证研究 (empirical studies about abnormal earnings model),Francis etc.，1997；Penman and Sougiannis，1998: 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(Abnormal earnings model is better in explaining the cross-sectional change of stock prices than cash dividend discount model and free cash flow discount model),28,Dechow etc.1999；Lee etc. 1999；Liu etc.2000: 如果将财务分析师预测数据用于股利贴现模型，则该模型与超常收益模型效果基本相同（ dividend discount model can do as well as abnormal earnings model if financial analystsforecastings are used）。 Myers (1999); Hand and Landsman (1998,1999): 发现了与Ohlson模型的线性动态信息模型不一致的证据(there is evidence that the linear dynamic information assumption in Ohlson model is not always true)。,29,非常感谢！ 欢迎批评！ 山东大学管理学院 袁明哲 yuanmingzhe,30,
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