以收益資產複合基礎法與分量迴歸分析建構營建企業評價模型

Building Valuation Models for the Construction Enterprises with Earnings-Assets-Hybrid-Based Approach and Quantile Regression Analysis

葉怡成(I-Cheng Yeh) ； 詹翔安(Siang-An Zhan)

《營建管理季刊》 99期 (2014/11) Pp. 1-19

https://doi.org/10.6505/CMJ-2014-99-1-19

摘要

本文提出收益資產複合基礎法以改進現有企業評價模型，並以分量迴歸分析估計企業價值的分佈，最後實證研究建築業與營造業這兩種營建企業與其他產業的企業評價模型之差異。由於上市上櫃公司的股價乘以總股數得到的總市值合理地呈現企業價值，因此本文以股市年財報歷史資料庫做為實證的資料來源。結論如下：（1）經由三個簡單的假設，本研究推導出企業價值與淨值及股東權益報酬率之間的公式，這個公式合理地綜合了淨值與盈餘對企業價值的貢獻，比傳統方法更具合理的理論基礎。（2）分量迴歸分析可以估計企業價值的分佈。企業價值的下限較受股東權益報酬率影響，而上限較受淨值影響。（3）對以房地產開發為主的建築業公司而言，股東權益報酬率對企業價值的影響比淨值的影響低。（4）對以承攬營建工程為主的營造業公司而言，股東權益報酬率的影響與其他產業相近，但當股東權益報酬率等於0時，股價與每股淨值的比例較低。（5）企業評價具有產業區別性。如果忽略產業區別性，用全體產業的企業評價模型來評價建築業、營造業公司會有明顯高估的現象。（6）在特定股東權益報酬率下，公司的股價淨值比呈現對數常態分佈。建築業公司的股價淨值比的對數常態分佈比一般產業更靠近分佈曲線橫軸的左側，即估值更低。營造業則比建築業更靠近左側。

關鍵字

盈餘 ； 資產 ； 分量迴歸分析 ； 營建企業 ； 企業價值

並列摘要

This paper proposes an earnings-asset-hybrid-based approach to supplement the existing valuation models, presents using quantile regression analysis to estimate the distribution of the enterprise value, and finally, explores the difference between the valuation models for construction enterprises and other enterprises. Since the publicly traded company's share price multiplied by the total number of shares is the reasonable estimation of the enterprise value, the stock market historical database was employed as the source of empirical data. The following conclusions were obtained: (1) through three simple assumptions, a reasonable valuation formula predicting enterprise value with book value and return on equity was derived. (2) The distribution of enterprise value can be estimated with quantile regression analysis. The lower bound of the enterprise value was dominated by the return on equity, while the upper bound was dominated by the book value. (3) With respect to the real estate development enterprise, the impact of return on equity to enterprise value is low, while the impact of book value is high. (4) With respect to the heavy construction industry, the impact of return on equity to enterprise value is similar to the other industries, but when the return on equity equal to zero, the price-to-book value ratio is lower than the other industries. (5) The enterprise value valuation models of construction industry are very different from those of the other industries. There is an industrial distinctive difference in valuation models. If the industrial distinctive difference is ignored, and the enterprise value of construction enterprise is valuated with valuation models of total industry, it will be significantly overestimated. (6) At a specific return on equity and book value, the company's enterprise value presents a lognormal distribution. The lognormal distribution of the enterprise value of the real estate development company is closer to left side than those of the other industries, while the heavy construction company is closer to left side than that of the real estate development company.

並列關鍵字

Earnings ； asset ； quantile regression analysis ； construction enterprise ； enterprise value