项目投资价值分析方法研究综述

长期以来,项目投资价值的评估都是采用传统的现金流贴现(DCF)方法。但在现实中大多数的投资项目都面临着许多不确定性,现金流贴现方法在评价这些极大地影响着项目价值的因素时,显得无能为力。随着国外金融期权理论的发展,大力推动了实物期权定价理论的发展。而实物期权方法在研究实际项目投资中的不确定性,与不可逆转性等问题具有其他定价理论不具备的优点,成为了研究的热点。实物期权定价理论是由现金流贴现方法与金融期权定价理论发展而来的,本文对这些定价理论的发展与成果进行了阐述。     

项目投资价值分析方法研究综述

长期以来,项目投资价值的评估都是采用传统的现金流贴现（DCF）方法。但在现实中大多数的投资项目都面临着许多不确定性,现金流贴现方法在评价这些极大地影响着项目价值的因素时,显得无能为力。随着国外金融期权理论的发展,大力推动了实物期权定价理论的发展。而实物期权方法在研究实际项目投资中的不确定性,与不可逆转性等问题具有其他定价理论不具备的优点,成为了研究的热点。实物期权定价理论是由现金流贴现方法与金融期权定价理论发展而来的,本文对这些定价理论的发展与成果进行了阐述。     

品牌延伸战略价值的实物期权评价新方法——基于语言算子扩展与成功率分析的模糊复合视角北大核心CSCDCSSCI

研究目标:提出一种品牌延伸战略价值评估的实物期权新方法。研究方法:本文采用语言算子刻画未来收益现值,利用基于实物期权二叉树定价思想的正态模糊数扩展法来量化语言算子。在此基础上,提出成功率因子改进实物期权定价公式,构造出蕴含多种机会价值的模糊复合实物期权品牌延伸价值评价模型。研究发现:在实证研究中,选取了一个典型的企业品牌延展案例,通过建立蕴含多种机会价值的模糊复合实物期权品牌延伸价值评价模型,得到了品牌延伸战略价值评估值。进而将不同方法加以对比,分析本文方法合理性。研究创新:将模糊数与复合实物期权相结合、基于期权定价公式的语言算子扩展、运用成功率修正实物期权定价公式。研究价值:模型符合品牌延伸价值评价的现实数据特点,同时将战略设计与战略评价相结合,能够有效地捕捉延伸战略的机会价值。     

一种基于实物期权的供应链利益分配模型

提出基于贴现法的供应链合作利润分配传统算法,分析其在不确定环境下的适用性;延迟期权和无形资产的评估是最基本、最重要的实物期权类型,建立基于延迟期权的价值评估与利润分配算法模型,并给出算例。     

高新技术企业实物期权的识别

实物期权作为一种价值评估工具,有着传统价值评估方法无可比拟的优越性,同时作为一种柔性决策工具,它可以更有效地揭示企业未来潜在价值,同时使企业有效地利用资源并结合市场对本企业实行有效地战略化管理。如何利用实物期权对企业价值作出有效评估,识别企业所拥有的实物期权是关键。文章主要对企业实物期权的各种来源作出阐述,以便成为企业在未来时间内整合自有资源以及战略发展的引航标。     

实物期权法在互联网企业价值评估中的应用研究——以世纪华通为例

近年来,随着信息技术和经济的快速发展,我国互联网行业相关企业数量迅速增长,使得互联网企业产权交易的次数、交易额度逐渐增多,行业中存在越来越多的股权投资和并购行为。为了帮助投资者在快速的市场变化中抓住投资机会、降低投资风险,需要找到一种更适合的方法来评估互联网企业的价值。本文分析了互联网企业的特征及评估难点,并引入实物期权模型,以世纪华通企业为例,将互联网企业价值分为现有资产价值和潜在获利能力价值,分别运用现金流量贴现法和实物期权法对两部分价值进行评估,以此来证明实物期权法在互联网企业价值评估中的适用性。     

企业并购协同效应及换股比率探析

分析了并购协同效应的本质、来源以及并购产生的实物期权类型,指出协同效应价值的测评要依据并购带来的未来增量现金流的特征,以确定采用贴现现金流法还是实物期权法,探讨了协同效应价值对换股比率范围的影响以及以双方股价作为换股比率的实质.     

消除交易性金融资产核算方法对利润表信息的不利影响

房地产是我国国民经济的支柱产业,传统的净现值贴现方法不再适合于评估房地产项目的价值。本文将实物期权定价的二又树方法运用于房地产项目投资决策,通过对案例的解析来说明该方法较传统的净现值贴现方法更适合于房地产项目投资决策。     

实物期权改善剩余收益估值模型解释力研究

使用经典的剩余收益估值模型计算公司内在价值,时常会低估公司的价值,其中重要的原因是该模型没有考虑公司拥有的实物期权的价值。公司内在价值除了未来剩余收益贴现和之外,还应包括各种潜在的实物期权的价值。因此考虑了实物期权的价值后能否改善剩余收益模型的解释力是一个值得研究的课题。文章以沪深300的公司为样本进行实证分析,选取了每个公司都具备的持有期权价值算入公司内在价值中,并用两个财务指标代表公司增长期权,结果表明含有或者考虑实物期权的剩余收益模型计算出的公司内在价值比起传统普通剩余收益模型计算出的公司内在价值对公司股价的解释力要强些,从而证实了实物期权对改进剩余收益模型方面的价值和可能性,为未来更深入的研究打下基础。     

从实物期权角度谈企业并购的价值评估

企业并购价值评估对于企业并购决策具有十分重要的意义。采用正常环境下的传统现金流贴现估价模型对并购进行经济评价有许多不足之处。而实物期权理论是一种针对不确定环境下具有经营灵活性的项目投资进行经济评价的有效方法。本文对实物期权概念、定价模型及其在并购领域的应用进行了探讨。     

Estimation of a social discount rate for Turkey

Cost-benefit analysis is probably the most comprehensive method of economic evaluation for public projects. Social discount rate, which makes it possible to compare the social benefits and costs extended over a period of time, has a key role in the allocation of public resources between alternative ends via cost-benefit analysis. Public sector needs to use the correct social discount rate in order to achieve a fair allocation of the fiscal burden between generations. While a high social discount rate may place a heavy fiscal burden on future generations, a low social discount rate may cause unfeasible projects to be approved. However, although social discount rate is a crucial parameter for public project appraisals, there is a lack of updated social discount rate for Turkey. In this study, the social rate of time preference approach is used to estimate this social discount rate. To this aim, both the personal taxation and the food demand methods are employed in order to estimate the elasticity of the marginal utility of consumption, which is a critical determinant of the social rate of time preference based on the Ramsey formula. The overall results show that the social discount rate estimated using the personal tax method is 4.88%, whereas it is 4.41% using the food demand method. Since the level of tax evasion is very high in Turkey, we recommend that the value indicated by the food demand method should be used employing the autoregressive distributed lag cointegration procedure.     

The discourse of inflation accounting

The value of a share is given by the dividend discount model as a simple function of future dividends; but the actual determination of the share price is rarely based upon the direct estimation of these future dividends. A ranking of the valuation models used by analysts and fund managers shows a preference for ‘unsophisticated’ valuation using, for example, the dividend yield rather than the dividend discount model. This finding is shown to depend upon the practical difficulty of using currently-available information to forecast future cash flows. This difficulty limits the quantitative basis of valuations to short forecast horizons, while the subjective, qualitative estimation of terminal value assumes great importance. Crucially, both analysts and fund managers use their own assessment of management quality to underpin the estimation of terminal value, on the basis that superior quality causes outperformance and that, whereas management quality can be assessed now, future performance itself is unobservable. Linked with this and with information asymmetry, valuation is a dynamic, company-specific process, focused on personal communication with management and embodying ongoing signalling and implicit contracting, using both dividends and other variables. This method of valuation causes formal valuation models such as the dividend yield to play only a limited role. They offer a benchmark of relative price differences, which serves as a basis from which to conduct subjective, company-specific analysis and to make investment decisions; but valuation models are not used exclusively, in themselves, to value shares.     

关于折现率的一些思考

在进行投资决策时，投资人需要以投资项目的价值作为投资决策的依据。计算投资项目价值中的一个难点是如何选取合适睁折现率。文章对折现的意义、折现率的选择中要考虑的因素，以及折现率和投资风险的关系进行了探讨。     

Leisure and long-run risks: An empirical evaluation on value premium puzzle

I study the ability of a long-run risk model, with nonseparable leisure and consumption, to price the cross-section of U.S. equity returns over the 1948–2015 period. The stochastic discount factor features innovations to future leisure and consumption growth as factors. The model performs well, in terms of a variety of criteria, relative to competing models in explaining the cross-section of the spread in size and value portfolios.     

现金流贴现模型下的企业估值

随着中国市场经济的发展，企业交易例如并购、整合等越来越频繁。企业估值的意义在于寻找被市场低估的企业进行套利投资，为行业整合提供价值基础。企业估值已成为行业整合的价值基础，更多的投资者通过评估企业的价值来寻找被市场低估的企业进而进行套利投资。与其他估价方法相比，现金流量折现法是企业估值使用最广泛，理论最健全的方法，它量化了企业未来的风险、盈利及增长、成本等因素。更能有效的评估企业的价值。本文详细地介绍了现金流量折现评估方法，包括现金流量折现模型，折现率以及未来现金流量的预测。     

供应链数量折扣契约与退货契约研究评述

供应链契约是目前供应链管理研究的前沿问题之一,主要目标是解决如何协调供应链中各方的决策和利润分配,其中数量折扣契约和退货契约是目前研究较多、应用较广泛的契约形式.本文综述了数量折扣契约和退货契约的研究现状,指出以下问题是未来重要的研究方向:(1)不确定需求下的数量折扣契约;(2)数量折扣与退货的组合契约;(3)跨国供应链数量折扣契约、退货契约;(4)多级供应链的数量折扣契约、退货契约.     

Monotonicity and continuity of the critical capital stock in the Dechert–Nishimura model

We show that the critical capital stock of the Dechert and Nishimura (1983) model is a decreasing and continuous function of the discount factor. We also show that the critical capital stock merges with a nonzero steady state as the discount factor decreases to a certain boundary value, and that the critical capital stock converges to the minimum sustainable capital stock as the discount factor increases to another boundary value.     

Black-Scholes模型在企业价值评估中的应用研究

20世纪70年代,Black-Scholes定价模型的出现为期权的定价和交易奠定了坚实的数学理论基础,突破了传统的红利贴现模型不能精确计算投资者的预期收益率和未来支付的现金股利的不足。文中分析了公司股票的期权特性,对B-S定价模型在股票定价中的应用进行了探讨,并通过例证说明该方法的可行性。但需要说明的是,B-S定价方法不是对传统定价模型的否定,而是对股票定价模型的充实,更重要的是一种定价思维方式的转变。     

Explaining movements in UK stock prices

We examine movements in aggregate UK stock prices by decomposing the variance of unexpected real stock returns into components due to revisions in expectations of future dividends, discount rates, and the covariance between the two. The contribution of news about future discount rates is about four times that of news about future dividends, with no significant covariance between them. Our analysis of excess returns uncovers a positive covariance between news about dividends and news about real interest rates. Since these two elements have opposite effects on current stock prices, their combined effect is negligible. Persistence in expected returns, as well as predictability, are found to be important in explaining stock price movements.