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MBA论文_基于一种新波动率计算方法的新三板挂牌企业估值研究

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文本描述
Classified Index: F23
U.D.C: 005
SouthwestUniversity
of ScienceandTechnology
Master Degree Thesis
A Study for the Valuation of the NEEQ
Listing Enterprise Based on a New
Volatility Calculation Method
Grade: 2015
Candidate: Hu Rui
Academic Degree Applied for: Master Degree
Speciality: Business Management
Supervisor: Deng Jintang
Jun.20,2018
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签名:调秦导师签名:

者受
s期:
西南科技大学硕士研究生学位论文 第 I 页
摘要
我国的新三板市场自诞生以来成长速度非常快,在解决中小企业融资困难这
一难点问题上发挥着越来越重要的作用。目前新三板市场己经成为我国证券市场
的重要组成部分,在我国建设多层次资本市场中扮演着越来越重要的角色。随着
新三板市场影响力的逐步扩大,对新三板挂牌企业进行价值评估的需求也日益增
多,然而新三板挂牌企业不同于一般企业,它们大多具有成立时间短、科技含量
高、研发投入成本高且周期长、未来伴随很大不确定性和高风险性、无形资产占
比大、市场流动性差的特点,因此对新三板挂牌企业进行估值存在很大困难。本
文针对使用实物期权法中的Black-Scholes期权定价模型对新三板挂牌企业进行
估值时,由于新三板市场的流动性差,标的资产价格波动率很难直接确定这一难
点问题进行研究。基于PFM模型认为处于同一个地区、行业相同的上市公司和
非上市公司,如果它们的企业规模相近、财务状况相似,则其波动率的变动具有
很强的相关性这一原理,创造性地提出了使用模糊数学这一研究工具来计算标的
资产价格波动率,再应用Black-Scholes期权定价模型对新三板挂牌企业进行价
值评估的研究方法
这种新的波动率计算方法的具体步骤是:首先将在创业板市场挂牌的与被评
估新三板企业处于同一行业同一地区的创业板企业作为备选企业,通过构建模糊
物元,计算这些备选企业与被评估新三板企业之间的贴近度,从而挑选出被评估
新三板企业的可比企业;然后根据这些可比企业与被评估新三板企业之间贴近度
的大小,赋予这些可比企业相应的权重,通过这些处于创业板市场的可比企业的
标的资产价格波动率,按照它们的权重加权间接求出被评估新三板企业的标的资
产价格波动率;最后再应用到Black-Scholes期权定价模型对新三板挂牌企业的
价值评估之中
为了检验本文所提出的估值方法的合理性和准确性,本文选择了在新三板市
场创新层挂牌的广厦网络(430128)做为案例企业,分别使用本文所提出的估值方
法、传统的新三板企业波动率计算方法、现金流折现法等三种方法对案例企业进
行估值,计算案例企业在评估基准日的理论股价及其误差率。通过实证研究发现,
使用实物期权法中的Black-Scholes期权定价模型来对新三板挂牌企业进行价值
评估具有很强的适用性,本文所提出的基于PFM模型、使用模糊数学工具间接
计算出被评估新三板企业标的资产价格波动率的新波动率计算方法,很好地解决
了使用Black-Scholes期权定价模型进行估值时,由于新三板市场的流动性差,
标的资产价格波动率很难直接确定这一难点问题,并且由其得到的估值结果比传
统方法更加准确合理,对被评估新三板企业股价的解释能力也更强
关键词:新波动率计算方法PFM模型Black-Scholes期权定价模型
新三板价值评估
西南科技大学硕士研究生学位论文 第 II 页
ABSTRACT
The NEEQ market of our country has been growing very fast since it was born,
which plays an increasingly important role in solving the difficult problem of
financing for small and medium-sized enterprises. At present, the NEEQ market has
become an important part of China's securities market, and plays a more and more
significant role in the construction of multi-level capital market in China. With the
gradual expansion of the market influence of the NEEQ, the demand for the value
evaluation of the NEEQ listing enterprise is also increasing day by day. Most of them
have these features, they are set up for a short time and they have high technology
content, high cost and long cycle of R & D investment, and the great uncertainty and
high risks in the future. Moreover, their intangible assets make up a larger proportion
and their market liquidity is poor. So, it is very difficult to determine the value of the
NEEQ market listed companies. When we value the NEEQ market listed companies
by using the Black-Scholes model in the real option method, because of the poor
NEEQ market liquidity, this paper aims to study the problem that it is difficult to
directly determine the underlying asset price volatility. Based on the PFM model, it is
considered that the same listed companies and non-listed companies in the same area
and industry have a strong correlation with the fluctuation of their volatility if their
scale and their financial status is similar. The paper creatively puts forward the
research tools using fuzzy mathematics to calculate the underlying asset price
volatility and value the NEEQ market listed companies by using the Black-Scholes
model.
The concrete steps of this new volatility calculation method are as follows: first,
the GEM enterprises listed in the GEM market are listed in the same industry and the
same area as the NEEQ companies assessed as alternative enterprises. By constructing
fuzzy matter-element, we can calculate the closeness between these alternative
enterprises and the evaluated NEEQ enterprises, thus selecting the comparable
enterprises to be evaluated. Then, based on the size of the closeness between these
comparable enterprises and the NEEQ enterprises assessed, we give these comparable
enterprises the corresponding weight. Through these comparable enterprises in the
GEM market underlying asset price volatility, we calculate the volatility of the
underlying asset price of the NEEQ enterprise according to their weight weighting
indirectly. Finally, it is applied to Black-Scholes option pricing model to evaluate the
value of NEEQ enterprises.
In order to test the rationality and accuracy of the valuation method proposed in
this paper, this paper chooses GONN Network Technology Inc (430128) which is
listed in the innovative layer of the NEEQ market as a case enterprise. We use the
valuation method proposed in this paper, the traditional methods of volatility
calculation and cash flow discounting to evaluate the case firms and calculate the
theoretical stock price and the error rate of the case firms on the base date. Through
the empirical study, it is found that using the Black-Scholes option pricing model in
the real options method to evaluate the value of the NEEQ listed enterprises has
strong applicability. The new method that is based on PFM model and using fuzzy。。。。。。