【作者】 李永华；

【导师】 周恒彤；

【作者基本信息】 天津财经大学 ， 统计学， 2009， 硕士

【摘要】 随着现代企业制度的建立和市场经济的不断发展,现代企业财务管理的目标由追求利润最大化逐渐转变到追求企业价值最大化上,企业购并、重组、股权交易等活动日益频繁,使得企业价值评估成为企业经营者和相关利益者的关注问题。目前最常用的企业价值评估方法自由现金流量折现法,被认为是理论上最为健全的方法。自由现金流量折现模型中的各参数数值常常需要对企业未来的经营和财务状况进行预测来取得。受到主观预测和市场坏境的影响,使得模型中的参数本质上具有不确定性,但是传统上,在应用模型时的不足之处就在于并没有充分考虑模型中各参数的不确定性。针对传统中应用自由现金流量折现模型时存在的不足之处,为了使评估结果更接近实际情况,文章尝试将模型中各参数的不确定性引入到企业价值评估中,并衡量引入不确定性后企业价值评估结果的变化。现代计算机技术的进步可以很容易地将不确定性在模型中量化,蒙特卡罗模拟就提供了一种可以明确将不确定性引入模型的构造方法,并且可以分析和解释不确定性。围绕这一思路,文章首先对企业价值评估方法进行探讨,在比较分析后得出自由现金流量折现法的优越性,同时指出其传统应用中参数的不确定性考虑不足;然后针对其不足分析模型中参数的不确定性,以及如何描述具有不确定性的参数和用蒙特卡罗方法来进一步求得企业价值;最后通过一个算例来进行实际操作和演算。通过算例分析,可以看到传统自由现金流量折现模型的评估过程和结果与考虑到参数的不确定性后应用蒙特卡罗方法的评估过程和结果的不同。更多还原

【Abstract】 With the establishment of modern enterprise system and the constant development of market economy, the goal of modern enterprise financial management has already changed from pursuing utmost profit to utmost enterprise value, what’s more, the trade of property right such as merger and acquisition, enterprise reshuffles, equity trade is more and more, which makes the enterprise appraisal to be the operators’and correlative interest groups’attention matter.At present, the free cash flow discount approach, which is deemed to the most right approach in theory, is the most used enterprise appraisal approach. The parameters data of the free cash flow discount model is acquired by forecasting the enterprise operation and finance in the future. The influence of the subjective forecast and market condition make the parameters uncertainty essentially, however, the deficiency is that the uncertainty has not been considered fully when the model is used traditionally.To solve the deficiency as well as to make the appraisal result more accurate, the paper will introduce the parameters uncertainty to the enterprise appraisal and measure the change of appraisal result after considering the uncertainty. With the advancement of computer technology, it can measure the uncertainty in the model easily. Monte Carlo Simulation is the structure approach that can introduce the parameters uncertainty to the model, furthermore, it can analysis and explain the uncertainty.Based on the idea, the paper discusses the enterprise appraisal approach firstly, after comparative analysis, it educes the advantage of the free cash flow discount, then it points out the deficiency that the uncertainty has not been considered fully when the model is used traditionally, next it analyzes the uncertainty of parameters that in the free cash flow discount model, what’s more, analyzes how to describe the uncertainty parameters and to calculate the enterprise value using Monte Carlo Simulation, at last, it demonstrates the calculation process by an illustration. We can find that the appraisal process and result are different between the traditional calculation approach and considering the uncertainty of parameters then using Monte Carlo Simulation by the illustration.更多还原