【作者】 司强；

【导师】 龚朴；

【作者基本信息】 华中科技大学 ， 管理科学与工程， 2005， 博士

【摘要】 人力资本价值评估理论属于经济学比较前沿的研究领域,它处于企业理论、人力资本理论和会计理论等相关学科的交汇处。人力资本价值评估理论与方法属于比较薄弱的研究方向。人力资本价值评估的方法一般可分为定性与定量两种,研究重点主要集中在定量方法上。现有的定量评估方法一般是将人力资本资本化进行的,以会计衡量人力资本价值的方法为主。从人力资本管理的角度看,人力资本管理实践中面临许多不确定性与风险,这些不确定性在传统的价值评估方法中不仅难以度量,而且会显著降低评估价值。复合期权是写在期权上的期权。复合期权模型的本质是一系列权利的嵌套,适合于描述涉及序列决策的问题。多期复合实物期权的定价问题属于当今金融工程领域研究的热点。本文综述了国内外人力资本价值评估理论方法与实证研究的现状,对人力资本管理在企业发展中的作用和地位,以及人力资本价值评估技术展开了全方位的研究,明确界定了人力资本复合实物期权的有关基本概念与特征,分析了期权理论方法与企业人力资本管理的相依关系,考虑到人力资本管理活动的多阶段特征,并借助于变波动率多期复合期权模型及“酷似证券”,建立了变波动率条件下人力资本价值复合实物期权评价模型和实证研究分析的基本构架。开展人力资本复合实物期权评价方法研究的主要困难在于缺乏必要的实证分析支撑环境。本文突破传统的研究模式,采用上市公司财务和股票交易信息,结合工程化方法,运用相机权益方法提出了人力资本复合实物期权评价控制方程及其相应的边界条件,指明了该数值模拟实施过程中的关键技术与适用范围,通过实例分析并验证了文中模型的合理性及有效性。结合我国企业的实际,利用自主开发的期权定价数值模拟系统完成了不同行业上市公司人力资本复合实物期权评价全过程的技术性演绎,分析了人力资本复合实物期权价值与上市公司业绩表现的内在关联性,所获研究成果对我国即将开展的上市公司股权激励制度的设计具有积极的作用并提供了有价值的参考依据。更多还原

【Abstract】 The theory of the enterprise human capital value evaluation belongs to the front research area of economic. It is the meeting point of the enterprise theory, human capital theory and accounting theory. The hard part of the research in this area is the method of the human capital evaluation. There are two kinds of method to evaluate the human capital: qualitative method and quantification method. This study is focus on the latter. The existing quantification method generally carries on the capitalization of human capital and weighs it by accountant method primarily. There are lots of uncertainties in the practice of the human capital management which is hard to be measured by the conventional evaluation methods and would be undervalued by the conventional evaluation methods. The compound option is an option which writes on a general option, which can be adopted to solve the problem of serial decision-making. The valuation of multi-stage compound option is the important problem in current financial engineering research. The researches about the evaluation of the human capital and the experience research of the human capital are summarized in this study. The role of the human capital management in the development of the enterprise and the technology of the human capital evaluation are discussed. The basic conception and character of the compound real option of human capital are defined. Then, the relationship of the option theory and the human capital management is analyzed. Considering that the practice of the human capital management persists for several stages, an evaluation model of multi-stage compound real option of human capital with variable volatilities is established with the aid of twin security. The mainly problem of the study on the evaluation of human capital by the evaluation method of the compound real option is the experience study. In this dissertation, the control function and the corresponding boundary condition of the compound real option of human capital are built by the contingent claim analysis. And then, the key technology and the rang that the method can be applied is pointed out. Finally, the rationality and validity of the model built in this study are testified by the experience research. The evaluation of the multi-stage compound real option of the enterprise human capital in different industries is complicated by the evaluation model of multi-stage compound real option of human capital with variable volatilities and the finite difference numerical method. Furthermore, the relationship of the value of the human capital option and the performance of the listing company is analyzed. The results will provide valuable advice for the design of the stock option incentive system of the listing company.更多还原