基于改进DCF模型的价值投资研究

发布时间：2018-04-06 23:26

本文选题：价值投资　切入点：DCF模型　出处：《河南大学》2017年硕士论文

【摘要】：随着我国资本市场与国际接轨,国际投资界盛行的价值投资理论于2001年传入我国。价值投资理论主张投资股价被市场低估的企业,即以足够低的价格买入自己能力圈内的股票,在企业内在价值增长和股价回归的过程中售出以获利。本杰明·格雷厄姆被誉为价值投资之父,他认为内在价值至关重要。巴菲特继承并发展了价值投资理论,认为威廉姆斯的现金流贴现模型可以很好地评估企业内在价值。价值投资理论通常运用DCF模型评估企业内在价值,DCF模型采用销售百分比法确定FCF参数,对企业未来增长率的估计往往存在一定的主观性,而且财务报表中各个项目与营业收入之比不一定能够长期保持稳定,所以预测结果可能带有一定的主观性。科普兰教授提出了FCF计算公式,各参数取自管理用财务报表,更能反映企业的经营情况,不过公式中有两个项目的数据不能从管理用财务报表中直接提取。白酒板块是资本市场的重要组成部分,现金流良好,非常适合运用DCF模型进行价值投资研究。白酒行业经历了低谷后,目前基本面已经回暖。白酒板块股价不断走高,尤其是龙头企业贵州茅台的股价已高达400多元,其内在价值究竟是多少,股价是否已经达到或者高出其内在价值,是很多投资者都很关心的问题。本文在对国内外价值投资理论进行全面分析的基础上,引入计量经济学中的时间序列分析法改进DCF模型,结合影响企业价值变动的因素分析,运用改进DCF模型进行价值投资实证研究,构建了适合我国的价值投资方法。在实证研究中,考虑到DCF模型的局限性,拟对其改进:第一,简化FCF的计算;第二,运用时间序列分析法取代销售百分比法预测未来自由现金流。FCF的计算经过简化后,各个项目的数据均可以从管理用财务报表中提取。时间序列分析法根据历史自由现金流自身的变化规律,通过Eviews软件预测未来自由现金流,减少了人为假设的主观性。在对白酒板块进行价值投资研究的过程中,我们发现样本企业每年的现金流量波动较大,因此增加了现金流量年均增长率方差指标,该指标可以很好地反映现金流量年增长率的变化幅度,有效地控制投资风险,最后得出白酒板块中价值投资风险最小的是贵州茅台。本文的价值投资研究通过了F检验和T检验,验证了样本企业股票内在价值与其市场价格在统计上显著正相关,说明改进DCF模型可以很好地评估股票的内在价值,构建了适合我国的价值投资研究方法。投资者可以借鉴本文的研究思路与方法,对资本市场其他板块进行价值投资研究,以提高价值投资的科学性。
[Abstract]:With China's capital market in line with international standards, the theory of value investment prevailing in the international investment circle was introduced into China in 2001.The theory of value investment advocates investing in enterprises whose stock prices are undervalued, that is, buying stocks in their own ability circle at a sufficiently low price, and selling them in the process of increasing the internal value of the firm and returning the stock price to profit.Benjamin Graham, known as the father of value investing, believes that intrinsic value is of paramount importance.Buffett inherits and develops the theory of value investment, and thinks that Williams' cash flow discount model can evaluate the intrinsic value of an enterprise well.In the theory of value investment, the DCF model is usually used to evaluate the internal value of an enterprise. The sales percentage method is used to determine the FCF parameters. The estimation of the future growth rate of an enterprise is often subjective.Moreover, the ratio of items to operating income in financial statements may not be stable for a long time, so the forecast results may be subjective.Professor Copland put forward the FCF calculation formula, each parameter is taken from the management financial statement, which can better reflect the business situation of the enterprise, but the data of two items in the formula can not be directly extracted from the management financial statement.Liquor plate is an important part of capital market, and its cash flow is good, so it is very suitable to use DCF model to study value investment.Liquor industry has experienced a trough, the current fundamentals have rebounded.The share price of liquor plate keeps rising, especially the stock price of Guizhou Maotai, a leading enterprise, is as high as 400 yuan, the intrinsic value of which is exactly what, and whether the price has reached or is higher than its intrinsic value, is a question that many investors are very concerned about.Based on the comprehensive analysis of the theory of value investment at home and abroad, this paper introduces the time series analysis method in econometrics to improve the DCF model and analyzes the factors that affect the change of enterprise value.Using the improved DCF model to carry on the value investment demonstration research, has constructed the value investment method suitable for our country.In the empirical study, considering the limitations of the DCF model, we propose to improve it: first, to simplify the calculation of FCF; second, to use time series analysis method to replace the sales percentage method to predict the future free cash flow.Data for each project can be extracted from management financial statements.According to the change law of historical free cash flow, time series analysis method predicts future free cash flow through Eviews software, which reduces the subjectivity of artificial hypothesis.In the course of studying the value investment of liquor plate, we found that the cash flow of sample enterprises fluctuated greatly every year, so the variance index of average annual growth rate of cash flow was increased.The index can well reflect the change of the annual growth rate of cash flow and effectively control the investment risk. Finally, it is concluded that the lowest value investment risk in liquor plate is Moutai, Guizhou.The research of value investment in this paper has passed F test and T test, which proves that the intrinsic value of the sample enterprise stock is statistically significant positive correlation with its market price, which indicates that the improved DCF model can evaluate the intrinsic value of the stock well.The research method of value investment suitable for our country is constructed.In order to improve the scientific nature of value investment, investors can use the research ideas and methods of this paper for reference to study the value investment in other parts of the capital market.
【学位授予单位】：河南大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F406.7;F426.82

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