以成長價值模型與變數誤差模型建構營建企業評價模型-兩岸之實證

Building Valuation Model for Construction Enterprise with Growth Value Models and Errors-in-Variables Models － Cross-Strait Empirical Studies

許瑞麟(JUI-LIN HSU)

指導教授 ： 葉怡成

淡江大學/工學院/土木工程學系碩士班/碩士(2018年)

https://doi.org/10.6846/TKU.2018.00539

摘要

成長價值模型(Growth Value Model, GVM) 認為股票的內在價值是淨值與股東權益報酬率(ROE)的綜效結果，因此主張股價淨值比(PBR)的公式為PBR=k*(1+Max(ROE,0))^m，其中m=成長係數，k=價值係數。之前以台灣股市為範圍的研究顯示，GVM具有良好的企業估值能力。為了進一步強化GVM的可靠度，本研究以大陸上市公司為研究範圍。此外，分別以直接法的傳統迴歸分析與變數誤差迴歸(Error-in-Variables)、間接法的均值回歸估計成長價值模式(GVM)中的價值係數k與成長係數m，並進行比較。結果顯示：(1) 以產業為分類的資料集顯示，各產業的k、m值相差頗大，因此不同產業必須使用不同的評價模型。尤其金融、能源及房地產業。(2) 以規模為分類的資料集顯示，規模確實對k、m值有影響。(3) 傳統迴歸分析與變數誤差迴歸估計的m值與k值差異頗大，因此使用理論更健全的變數誤差迴歸有其必要。(4) 台灣股市不同市值的企業的直接法估計的m值皆大於間接法估計的m值，但大陸股市正好相反。

關鍵字

企業評價 ； 成長價值模型 ； 變數誤差迴歸 ； 均值回歸

並列摘要

The Growth Value Model (GVM) proposed that the relationship between Return On Equity (ROE) and Price-Book Ratio (PBR) is , where and . To further strengthen the reliability of GVM, this study employed the listed companies in mainland China as the research scope. In addition, the coefficients k and m in the GVM were respectively estimated by traditional regression analysis, error-in-variables (EIV) regression analysis, and mean reversion approach. The results showed that (1) datasets classified by industry show that the k and m values of various industries are quite different, so specific industry must use its specific evaluation models. Especially financial, energy and real estate. (2) The data set classified by market value showed that the market value does have some influences on the values of k and m. (3) The difference of estimation of m value between the traditional regression analysis and the EIV regression analysis is rather large, so it is necessary to use EIV regression analysis, whose assumptions are more reasonable, to estimate m values. (4) The m values estimated with EIV regression analysis are greater than those with mean reversion approach, and the results are opposite to the studies with data sets in Taiwan stock market.

並列關鍵字

valuation model ； growth value models ； errors-in-variable models ； mean reversion

參考文獻

1. Adcock, R. J. (1878). A problem in least squares. The Analyst, 5(2), 53–54.

2. Adsera, X., & Vinolas, P. (2003). FEVA: A financial and economic approach to valuation, Financial Analysts Journal, 59(2), 80-87.

3. CLAconnect (2011). Key Drivers of Value in Construction Companies, CLAconnect

4. Benaroch, M., Lichtenstein, Y., & Robinson, K. (2006). Real options in information technology risk management: An empirical validation of risk-option relationships. MIS quarterly, 30(4), 827-864.

5. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of political economy, 81(3), 637-654.