【作者】 李延喜；

【导师】 武春友； 栾庆伟；

【作者基本信息】 大连理工大学 ， 技术经济及管理， 2002， 博士

【摘要】 论文针对企业价值评估中被人们经常使用但又常常忽视的瓶颈问题：现金流量的定义、现金流量计算与预测，折现率的含义、折现率的计算，评估期间的确定等进行研究，提出了基于动态现金流量的企业价值评估模型。 企业价值是对企业整体获利能力的反映，企业价值最大化是企业的最终目标。因此作为评估基础的现金流量应该是包括企业一切活动在内的整体现金流量，而不是经营活动现金流量、自由现金流量、股权现金流量或者债务现金流量。 目前常见预测模型，包括时间序列模型、随机序列模型、模糊预测模型、多元回归预测模型、灰色预测模型、层次分析预测法等，对于整体现金流量的预测具有一定帮助。由于现金流量的波动性、随机性、动态性等特性的存在，依靠单一方法无法科学、准确的预测现金流量。论文提出利用指数平滑和移动平滑的方法来剔除随机因素影响，利用季节指数来消除现金流量的季节波动，之后再利用指数曲线或者多项式拟合曲线来预测整体现金流量的方法，并给出了整体现金流量的计算方法和确定原理。 折现率是影响企业价值评估的重要参数，它应该反映企业风险、安全收益、通货膨胀、利率变化等多方面因素的影响。目前折现率的定义没有形成公认的标准，受主观因素影响很大。论文指出折现率是使用资金而付出的代价，它是在考虑各类风险的条件下，企业全部资金来源的综合资金成本，是企业的整体折现率。受短期债务长期化、流动负债成本显现化趋势影响，在计算折现率时以WACC模型为基础，考虑税收因素调整、资本结构变化、流动性风险和资金动态变化带来的影响，进行量化后确定整体折现率。 按照企业生命周期理论，企业是有寿命的，寿命是有限的。企业价值评估不能按照永续法或者分段法进行评估，必须合理预测企业的寿命和评估期间。论文提出利用现金流量和现金存量指标进行同行业对比确定评估期、分阶段对比确定评估期、以及利用多项式模型和极大值原理来反推企业寿命的方法，对于科学、合理确定评估期限具有重要意义。 对于现金流量连续为负值的企业，现金流量折现模型会失效，因此论文提出对于现金流量为负值、但是仍然具有潜在价值的企业，可以利用布莱克-舒尔茨 大连理工大学博士学位论文期权定价模型和 EVA评估模型进行评估，用以弥补现金流量折现模型的缺陷。 由于全球的会计诚信危机，财务信息失真给传统的价值评估带来了冲击，在各项指标的选取上利用传统的财务数据必然要走弯路，而且权责发生制产生的指标己经出现钝化。论文提出，利用现金流量分析企业价值增值的内因，考虑业务流（企业神经网络）和资金流（企业血液循环网络）的融合与再造，通过加强外部监管和防范内部道德风险，提升管理能力，实现企业价值最大化。 论文从影响评估结果的评估框架、评估模型选择、评估参数定量分析等问题入手，提出企业价值评估要反映动态变化、应该用整体现金流量和现金存量为基本评估参数、利用对比分析判别法和多项式判别法来确定评估期限、考虑应付账款和票据套期成本来确定折现率等思想和方法，对于完善我国的企业价值评估体系具有重要的借鉴意义。同时将财务分析方法与MATLAB等数据处理工具结合，可以为企业价值评估实务提供更便捷的途径，为我国企业价值评估领域提供新的研究思路。更多还原

【Abstract】 This paper studies and examines the evaluation models of enterprise value on the basis of dynamic cash flow as far as the bottleneck problems existing at both home and abroad concerned: the definition of cash flow, the estimation and forecast of cash flow, the meaning of discount rate, the calculation of the discount rate and the identification of the evaluating period.The enterprise value reflects the overall profitability of the firm and the ultimate target of the financial management is the maximization of the enterprise value. Therefore, cash flow, as the basic of the evaluation, should be the overall cash flow occurring in all the enterprise business activities instead of the operating cash flow, free cash flow, equity cash flow or debt cash flow.At present there are many estimating models, including Time-series model, Stochastic series model, Fuzzy estimating model, Multi-variable regression model, Gray model and hierarchy analysis model, and they are some help to estimating the overall cash flow. Due to the existing volatility, stochastic and dynamic properties of cash flow, this paper employs Exponential smoothing method and Moving average method to eliminate the effects of the stochastic factors, use the seasonal exponent to eliminate the seasonal volatility of the cash flow, the exponent curve and polynomial fitting curve to estimate the overall cash flow and also provides the calculating methods and identifying principle of the overall cash flow.Discount rate is an important parameter to influence the enterprise value evaluation. It should respond to the effects from the firm risks, safe returns, inflation and the changes of the interest rate. The generally accepted standard about the definition and identification of the discount rate has not come into being and so it is likely to be influenced by many subjective factors. This paper argues that the discount rate is the cost created by using the fund and the cost of the enterprise overall cash flow including the time value of money, inflation retrieval, risk retrieval, the retrieval of the ability to cash in, the retrieval of breaking the contract and the expiration retrieval. Furthermore, itis the composite fund cost incurred by all the fund resources, the weighted average value of the cost of debts and the cost of the equities, and represents the overall discount rate of the enterprise. Allowing for the effects of the adjustment of tax factor, the change of the capital structure, the liquidity risk and the dynamic variation of fund, the discount rate is calculated on the basis of the WACC model and is finally fixed.According to the theory of life cycle, the enterprise has his life span and it is limited. Therefore, we can not use the perpetual method or the segmenting method to evaluate the enterprise value and we must reasonably estimate the enterprise’ s life and surviving period. This paper examines some methods, such as contrasting the cash flow indexes with the cash stock indexes within the same industry and contrasting among the segments to decide the assessing period, and using the polynomial model and maximum principle to inversely deduce the enterprise life span, and argues that these methods are significant for reasonably and scientifically identifying the evaluating period.To those enterprises whose cash flows are continually negative, the cash flow discount model will fail to evaluate the enterprise value. Therefore, to those enterprises that have negative cash flows but still have potential value, the paper suggests to use Black-Scholes Option Pricing Model and EVA Model to assess them in order to remedy the defects of cash flow discount model.Due to the globally spreading crisis of honesty and credit, the financial information distortion has brought impacts to the traditional evaluation of enterprise value. Furthermore, selecting the indexes from the common financial data makes us to walk in the detour and the indexes, created from the system of rights and responsibilities, have already revealed the passivation.更多还原