基于实物期权的券商控股型期货公司价值分析

【作者】 金琰；

【导师】 郑明川；

【作者基本信息】 浙江大学 ， 会计学， 2008， 硕士

【摘要】 目前我国期货行业充分洗牌、分化,证券公司掀起对期货公司“地毯式”收购浪潮。我国政府发展金融期货市场的新思路与市场新规则的颁布将券商控股型期货公司推到了市场的最前线,成为市场主力,并将对未来的期货市场产生重要的影响。研究券商控股型期货公司的企业价值,分析其价值来源与提升途径的选择,并在未来充满竞争与高度不确定性的市场环境中,对期货公司的战略投资价值进行合理的评估。这些工作有助于其实现企业价值的最大化,有助于为企业价值管理提供动态反映,还有助于其在兼并收购活动中的进行更准确的价值评估,。券商控股型期货公司的企业价值由其现实资产的价值与期权价值两部分组成。现实资产的价值又可以分为基础价值与核心价值,基础价值来源于最基本的“交易跑道”职能和维护客户保证金安全的能力,核心价值来源于公司的未来竞争战略、整合资源的能力和风险控制能力。期权价值则由期货公司自身的期货价值与被券商收购后由并购协同效应所带来的附加期权价值两部分组成。在分析了券商控股型期货公司价值的三大主要影响因素后,得出实现企业价值最大化目标的三大途径,分别为选择具有实物期权思想的柔性管理战略,培育公司的核心竞争力和优化组织治理结构。对券商控股型期货公司价值的定量评估中,在传统企业价值评估方法的基础上运用实物期权定价模型,估算包括期权价值的企业内在价值,以更准确对券商控股型期货公司进行价值评价。更多还原

【Abstract】 Currently, China’s futures industry is fully reshuffled and polarized, and securities companies raised carpet-acquisitions to the futures companies. The new ideas and market rules brought by the Chinese Government has pushed the market will be the promulgation of the new rules-based pushed broker-dealer holding futures company to the forefront of the market, it will become a main force of the market and will have important impact to the future futures market.To study the value of broker-dealer holding futures company, analyze the source of value and improve the choice of means, and reasonably evaluate its strategic investment value in the future market environment which is of huge uncertainty and high-level competition. These works are helpful to realize the maximization of enterprise value, dynamically reflect enterprise value-management, and more accurately value assessment in mergers and acquisitions activities. Broker-dealer holding futures company’s enterprise value consists of real assets value and option value. The value of real assets can be divided into the basic value and the core value, basic value is derived from the most basic "runway transaction" functions and the ability to maintain margin safety, core value is derived from the company’s future competitive strategy, the ability to integrate resources and risk control. Option value consists of futures company’s futures’ value and the additional option value brought by broker-dealer’s mergers and acquisitions Synergy Effect. After the analysis of three main factors affecting the value of Broker-Dealer Holding Futures Company, this dissertation figure out three major approaches to realize the maximization of enterprises value, namely the choice of flexible management strategy of real options thinking, cultivate the company’s core competitiveness and optimize the organizational management structure.On the quantitative assessment of Broker-Dealer Holding Futures Company’s value, use real option pricing model on the basis of traditional enterprise value assessment methods, to estimate enterprise intrinsic value which includes the value of option, in order to more accurately Evaluate the value of Broker-Dealer Holding Futures Company.更多还原