自由现金流及其在企业价值评估中的应用研究

【作者】 关莹；

【导师】 栾庆伟； 李延喜；

【作者基本信息】 大连理工大学 ， 会计学， 2004， 硕士

【摘要】 自由现金流同时包含了损益表、资产负债表和现金流量表的信息，可以综合地反映企业创造价值的能力，是评估企业价值的重要指标。本文在分析现有自由现金流量模型的基础上，按照理论研究——应用研究——实证研究的思路对自由现金流量的概念、模型及其在企业价值评估中的应用进行了研究。 理论研究部分首先分析了会计利润、经营现金流和整体现金流在评估企业价值时的不足，引出自由现金流量的概念，并比较了现有模型的异同。而后站在企业不同的利益相关者的角度，将自由现金流量分为不同的层次，分析其影响因素。在此基础上，结合将净利润调节为经营活动的现金流量的过程，提出了以经营现金流量为计算出发点的修正自由现金流量模型，并给出计算实例。 应用研究部分论述了在企业价值评估中应用自由现金流量的两种方法——自由现金流量折现法和自由现金流量乘数法，证明了它们对处于稳定状态的公司是等价的形式。文章还比较了两种方法的异同，指出它们各自的适用条件。 实证研究部分采用我国沪市A股1998年前上市的172家处于稳定状态的公司的数据对三个假设逐一进行了验证。第一步验证了流通股每股价格大于每股内在价值，剔除了非流通股的影响后，股价仍大于调整的每股内在价值，说明我国股市对股票价值普遍存在高估的现象；第二步采用相关分析的方法，验证了各公司被高估的程度不同，股价与每股内在价值和调整了非流通股因素的每股内在价值相偏离，并解释了造成这一现象的四个原因；第三步构造了基于低股价／每股内在价值的投资组合，采用事后检验的方法验证了投资组合的收益率高于上证A股指数的收益率。 最后，结论部分总结了各部分研究的成果，同时也指出了研究方法中的一些不足和对今后研究的展望。更多还原

【Abstract】 Free cash flow(FCF) includes information of balance sheet, profit and loss statement and cash flow statement, it can reflect the value-creating ability of the company and be an important parameter of enterprise valuation. Based on the existed FCF models, the paper studies the concept, models and uses of FCF by the framework of theoretical study, application study and empirical study.In the theoretical study section, the paper presents the similarities and dissimilarities of the existed FCF models. From the viewpoint of different stakeholders of the company, it divides FCF into different hierarchies and analyzes the influence factors. On this basis work, the paper analyses the process of adjusting net accounting profit to operating cash flow and suggests the adjusted FCF model computing from operating cash flow.In the application study section, the paper discusses two methods of FCF applying in enterprise valuation, discounted FCF method and FCF multiple method, and explains their equivalence in stable companies. Furthermore, the paper compares the two methods and points out suitable conditions for each of them.In the empirical study section, the paper exams three hypothesizes by data of 172 stable companies listed in SSE A market before 1998. Firstly, it validates that the circulating stock price are higher than inside value per share(IVPS) and adjusted inside value per share(AIVPS) after excluding the influence of stocks out of circulation, which indicates that the stock value is highly estimated in the stock market of China. Secondly, the paper validates that the companies are highly estimated to different extents by correlation analysis, which indicates that the price fluctuates from both IVPS and AIVPS. Then the paper explains four possible causes of the fluctuation. Thirdly, the paper constructs investment portfolio based on low stock price/ IVPS ratio, and validates that the return of the portfolio is higher than return of SSE A market.In the conclusion section, the paper summarizes the study conclusion and points out deficiencies of the study and expectations of the henceforth study.更多还原