上市公司股票估值方法及实证研究

上市公司股票估值方法及实证研究
摘  要

随着我国资本市场的不断发展，上市公司数量如雨后春笋般由1992年的53家增长到2009年的1774家。股票市场是宏观经济状况的晴雨表，从1929年到1980年再到2008年的金融危机，都是以股市大崩盘作为危机爆发的起点。
股票价格反映了整体的宏观经济、行业的发展走势、公司自身的财务状况以及投资者对于市场的预期。投资者在这个跌宕起伏的股市中究竟应该何去何从？持有还是卖出？股票的真实价值是多少？市场价值被高估还是低估？股票估值在这个环节中扮演了举足轻重、不可替代的角色。股票估值能帮助投资者判断股票的真实价值，更加有效地理性地做出买入低估股票或卖出高估股票的决策；能帮助公司管理层关注和进一步完善公司的治理结构；同时对于证券监管机构来说，通过股票价值与实际价格的偏差可以对宏观经济的走向、证券市场的有效性、上市公司的监管机制、信息的披露状况等等一系列问题有一个更加量化的认识。
本文将全面介绍几种不同的估值方法，包括现金流折现法、相对估值法（P/E法、P/B法、P/S法和EV/EBITDA法）、期权估价法以及多因素回归估值法，并利用中石化作为实例进行比较各种方法的优和劣，现金流折现法充分考虑了公司未来的发展能力，但是有几个重要指标需要主观估计，这样在实践中就会导致较大的误差；市盈率法受宏观情况的影响较大；市净率法较市盈率法来说更加的准确，但是没有充分考虑公司未来的增长情况，估值可能偏低；而多因素回归模型是通过公司的所处行业、盈利能力、成长性、盈利质量、偿债能力、股本扩张能力、资产运营效率和风险各个方面选取相应的指标进行价值估计，就统计结果来说回归效果还是比较好的，由于考虑了公司的方方面面，个人认为还是比较准确的。

    关键词：股票价格，估值现金流折现法，相对估值法，期权估价法，多因素回归估值法，中石化
 
ABSTRACT

With the development of the capital market in China, the number of listed companies rose from 53 in 1992 to 1774 in 2009. Stock market is always the barometer of macro economy. Financial crises in 1929, 1980 and 2008 started from the collapse of stock market.
Stock price reflects the entire macro economy, the development of the industry, the financial status of the company and expectations of investors. What should investors do in this up-and-down stock market? Buy or sell? What’s the true value of the stock? Overvalued or undervalued? Stock valuation plays an important role. On one hand, it can help investors to judge the true value of the stock to make effective and wise decisions, on the other hand, the governance structure can be paid more attention to and be improved; additionally, the supervision department can have a more quantitative understanding over the development of macro economy, the efficiency of the security market, the supervision mechanism and exposure of information according to the deviance between stock price and its true value.
This paper will introduce several valuation methods, including DCF, relative valuation, option valuation and multi-factor regression valuation. Moreover I will use CPCC as an example to compare the advantages and disadvantages of different methods. The DCF fully takes the future development potential into consideration, but several important variables need to be estimated, which may cause huge difference of the stock value. P/E method varies significantly with the macro economy, while the P/B method ignores the future development of the company despite its accuracy. The multi-factor regression model takes into account the company’s industry, profitability, potential growth, the quality of earnings, liquidity, expansion capacity, operating efficiency and risk. According to the statistical result, the significance of regression is pretty good. I personally regards it the best and the most accurate method.

    Key words: stock price, valuation, DCF, relative valuation, option valuation, multi-factor regression, CPCC

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