随着时代的发展，企业间的兼并重组越来越频繁，尤其对于上市公司的股权并购， 资产置换、剥离等。本文以中国平安（集团）股份有限公司（以下简称“中国平安”） 为案例分析目标，基于资本资产定价模型（CapitalAssetPricingModel，CAPM）进行 股权价值研究。希望对投资者、管理者和评估师研究其他上市公司的估值提供一些参 考。 目前，更为通用的股权价值估值方法是股权自由现金流量折现模型（FreeCash FlowtoEquity，FCFE）。其主要涉及股权自由现金流量、预测期、股权资本成本三个 指标的预测。股权自由现金流量和预测期的估测有很大程度上的主观性选择，所以针 对股权资本成本的确定是研究的重要方向之一。本文将以中国平安为研究对象，研究 在CAPM模型下Blume提出的均值回归模型确定的贝塔系数与原始贝塔系数的对比结 果，以及对未来股权资本成本的影响。最后以FCFE模型的二阶段模型对企业进行股 权价值评估，分析贝塔系数对企业价值的影响。 本文基于贝塔系数的调整模型，对中国平安的股权价值进行评估，再结合P/B辅 助估值模型进行辅助验证。通过与2020年后股价的走势比较，得出评估的中国平安股 东权益价值具有可预测性。最后本文通过对评估结果的深入分析从国内外投资者投资 决策的角度给予相关建议。同时，本文结论对管理者经营管理以及理论研究者都具有 一定的借鉴意义。 关键词：中国平安、资本资产定价模型、均值回归、股权自由现金流量折现模型 II ABSTRACT Withthedevelopmentofthetimes,mergersandreorganizationsamongenterprisesare becomingmoreandmorefrequent,especiallyforequitymergersandacquisitions,asset replacementanddivestituresoflistedcompanies.ThispapertakesPingAn(Group) CompanyofChinaLimited(hereinafterreferredtoas"PingAn")asthecasestudytargetand conductsequityvalueresearchbasedontheCapitalAssetPricingModel(CAPM).Itis hopedthatthisstudywillserveasareferenceforinvestors,managersandvaluersstudying thevaluationofotherlistedcompanies. Currently,amorecommonmethodforvaluingequityistheFreeCashFlowtoEquity (FCFE)model.Itmainlyinvolvestheforecastingofthreemetrics:freecashflowofequity, forecastperiod,andcostofequitycapital.Theestimationofthefreecashflowofequityand theforecastperiodhasalargelysubjectivechoice,sothedeterminationofthecostofequity capitalforequityisoneoftheimportantdirectionsofresearch.Inthispaper,PingAnof Chinawillbeusedtostudythecomparisonresultsbetweenthebetacoefficientsandthe originalbetacoefficientsdeterminedbythemeanregressionmodelproposedbyBlume undertheCAPMmodel,andtheimpactonthefuturecostofequitycapital.Finally,a two-stageFCFEmodelisusedtoassesstheequityvalueofthefirmandanalyzetheimpact ofbetacoefficientsonthefirm'svalue. ThispaperevaluatestheequityvalueofPingAnofChinabasedontheadjustment modelofbetacoefficient,andthencombinesitwiththeP/Bauxiliaryvaluationmodelfor supplementaryvalidation.Bycomparingwiththetrendofstockpriceafter2020,the assessedvalueofPingAn'sshareholder'sequityispredictable.Finally,throughin-depth analysisoftheappraisalresults,thispapergivesrelevantrecommendationsfromthe perspectiveofinvestmentdecisionsofdomesticandforeigninvestors.Atthesametime,the conclusionsofthispaperareofsomesignificancetomanagersandtheoreticalresearchers. Keywords:PingAnofChina,Capitalassetpricingmodel,Meanreversion,Equityfree cashflowdiscountmodel. III 目录 摘要...................................................................................................................................................III ABSTRACT.......................................................................................................................................II 第一章绪论....................................................................................................................................1 1.1研究背景及意义.........................................................................................................................1 1.2国内外研究现状.........................................................................................................................2 1.2.1国外研究现状................................................................................................................2 1.2.2国内研究现状................................................................................................................3 1.2.3研究述评........................................................................................................................5 1.3本文研究内容及创新点.............................................................................................................5 1.3.1研究内容........................................................................................................................5 1.3.2创新点............................................................................................................................6 第二章相关理论综述.................................................................................................................7 2.1股东权益价值相关概念.............................................................................................................7 2.1.1企业价值与股东权益价值............................................................................................7 2.1.2企业价值评估与股东权益价值评估............................................................................7 2.1.3股东权益价值评估的目的............................................................................................8 2.2股东权益价值评估方法相关理论............................................................................................8 2.2.1股东权益价值评估理论................................................................................................8 2.2.2FCFE模型.....................................................................................................................11 2.2.3CAPM模型.....................................................................................................................12 2.2.4上市公司价值评估中贝塔系数的估算......................................................................12 IV 第三章确定中国平安股东权益资本成本..........................................................................15 3.1研究对象——中国平安...........................................................................................................15 3.2基于CAPM模型确定股权资本成本........................................................................................15 3.2.1无风险利率的选取......................................................................................................15 3.2.2市场风险溢价..............................................................................................................16 3.2.3贝塔值..........................................................................................................................17 第四章中国平安股东权益价值估值...................................................................................21 4.1预测股权自由现金流量...........................................................................................................21 4.1.1税后营业净利润..........................................................................................................21 4.1.2经营资产净投资..........................................................................................................24 4.1.3债务现金流量..............................................................................................................27 4.1.4股权自由现金流量......................................................................................................29 4.2股东权益价值估值...................................................................................................................29 4.2.1基于传统CAPM模型确定股权价值............................................................................29 4.2.2基于调整CAPM模型确定股权价值............................................................................30 4.3基于P/B估值模型的辅助验证..............................................................................................30 第五章评估结果分析及建议.................................................................................................33 5.1评估结果分析............................