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題名 以股東價值函數在公司定價理論的應用
The Application of Shareholder Value Function in the Evaluation of Company作者 林盈妤 貢獻者 胡聯國
林盈妤關鍵詞 公司價值
現金保留
擴散過程
cash reserves
value of firms
diffusion process日期 2015 上傳時間 3-Aug-2015 13:16:51 (UTC+8) 摘要 股東價值函數意指公司未來預期股利的加總，其模型主要利用擴散過程來建構。因為公司可透過保留現金和發放股利兩大策略來調控公司價值－－過多現金保留將產生現金邊際效益降低；現金保留過少則會產生流動性風險甚至破產問題。論文主要探討公司在捨取現金保留時如果達大公司價值的極大化，並利用實際資料來檢視上市公司的價值是否有高低估之嫌。此外，亦在論文中提供以股東價值函數為評價方式的交易策略。
We consider a problem of finding the optimal solution for maximizing the value of a firm in a stochastic environment. In the paper, we apply a methodology that determines a corporate value by using cash reserves as the main variables. We examine the model by employing two empirical approaches to compare the corporate value computed from the model to the market value. We find that there are slight differences between the stock value and shareholder value. Therefore, we may use the facts that we find to construct optimal trading strategies to exploit small price differences.參考文獻 1. Asmussen, S., Taksar, M. (1997) : Controlled diffusion models for optimal dividend pay–out. Insurance: Math Econ 20, 1–15 2. Boguslavskaya, E. (2003) : On Optimization of dividend flow for a company in a presence of liquidation value, Working paper. 3. Cornell, B. (1993) Corporate Valuation: Tools for Effective Appraisal and Decision Making Homewood, IL: Business One Irwin.4. Hall. M & Weiss, L. (1967), “Firm Size and Profitability”, The Review of Economics and Statistics, 49 (3), 319 – 3315. Jeanblanc–Pique, M., Shiryaev, A. (1995): Optimization of the flow of dividends. Russian Math. Surveys 50, 257–277 6. Kruse, D.L. (1992), Profit Sharing and Productivity: Microeconometric Evidence from the United States, The Economic Journal 102 (410), 24-36.7. Luehrman, T. A. (1997): What`s it worth? A general manager`s guide to valuation. Harvard Business Review, pp. 132-142. 8. Løkka, A.and Zervos, M. (2005): “Optimal dividend and issuance of equity policies in the presence of proportional costs,” Insurance: Mathematics & Economics, vol. 42, no. 3, pp. 954–961, 2008.9. Miller, M.H. and Modigliani, F. (1961). “Dividend Policy, Growth and the Valuation of Shares.” J. Business, 34(34): 411-43310. Myron J. G. (1962): The Investment, Financing, and Valuation of the Corporation , Homewood, IL: R.D. Irwin)11. Radner, R., Shepp, L. (1996) : Risk vs. profit potential: A model for corporate strategy. J. Econ. Dynam. Control 20, 1373–1383 12. Sethi, S. P. and Taksar, M. (2002): Optimal financing of a corporation subject to random returns. Math. Finance 12, no. 2, 155-172. 13. Williams, J. B. (1938) “The Theory of Investment Value.” Harvard University Press, Cambridge. 描述 碩士
國立政治大學
國際經營與貿易研究所
102351027資料來源 http://thesis.lib.nccu.edu.tw/record/#G1023510274 資料類型 thesis dc.contributor.advisor 胡聯國 zh_TW dc.contributor.author (Authors) 林盈妤 zh_TW dc.creator (作者) 林盈妤 zh_TW dc.date (日期) 2015 en_US dc.date.accessioned 3-Aug-2015 13:16:51 (UTC+8) - dc.date.available 3-Aug-2015 13:16:51 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2015 13:16:51 (UTC+8) - dc.identifier (Other Identifiers) G1023510274 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/77151 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易研究所 zh_TW dc.description (描述) 102351027 zh_TW dc.description.abstract (摘要) 股東價值函數意指公司未來預期股利的加總，其模型主要利用擴散過程來建構。因為公司可透過保留現金和發放股利兩大策略來調控公司價值－－過多現金保留將產生現金邊際效益降低；現金保留過少則會產生流動性風險甚至破產問題。論文主要探討公司在捨取現金保留時如果達大公司價值的極大化，並利用實際資料來檢視上市公司的價值是否有高低估之嫌。此外，亦在論文中提供以股東價值函數為評價方式的交易策略。 zh_TW dc.description.abstract (摘要) We consider a problem of finding the optimal solution for maximizing the value of a firm in a stochastic environment. In the paper, we apply a methodology that determines a corporate value by using cash reserves as the main variables. We examine the model by employing two empirical approaches to compare the corporate value computed from the model to the market value. We find that there are slight differences between the stock value and shareholder value. Therefore, we may use the facts that we find to construct optimal trading strategies to exploit small price differences. en_US dc.description.tableofcontents 1 Introduction 12 Literature Review 33 the Model 104 the Empirical Model 175 Conclusion 42Reference 43 zh_TW dc.format.extent 824761 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1023510274 en_US dc.subject (關鍵詞) 公司價值 zh_TW dc.subject (關鍵詞) 現金保留 zh_TW dc.subject (關鍵詞) 擴散過程 zh_TW dc.subject (關鍵詞) cash reserves en_US dc.subject (關鍵詞) value of firms en_US dc.subject (關鍵詞) diffusion process en_US dc.title (題名) 以股東價值函數在公司定價理論的應用 zh_TW dc.title (題名) The Application of Shareholder Value Function in the Evaluation of Company en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1. Asmussen, S., Taksar, M. (1997) : Controlled diffusion models for optimal dividend pay–out. Insurance: Math Econ 20, 1–15 2. Boguslavskaya, E. (2003) : On Optimization of dividend flow for a company in a presence of liquidation value, Working paper. 3. Cornell, B. (1993) Corporate Valuation: Tools for Effective Appraisal and Decision Making Homewood, IL: Business One Irwin.4. Hall. M & Weiss, L. (1967), “Firm Size and Profitability”, The Review of Economics and Statistics, 49 (3), 319 – 3315. Jeanblanc–Pique, M., Shiryaev, A. (1995): Optimization of the flow of dividends. Russian Math. Surveys 50, 257–277 6. Kruse, D.L. (1992), Profit Sharing and Productivity: Microeconometric Evidence from the United States, The Economic Journal 102 (410), 24-36.7. Luehrman, T. A. (1997): What`s it worth? A general manager`s guide to valuation. Harvard Business Review, pp. 132-142. 8. Løkka, A.and Zervos, M. (2005): “Optimal dividend and issuance of equity policies in the presence of proportional costs,” Insurance: Mathematics & Economics, vol. 42, no. 3, pp. 954–961, 2008.9. Miller, M.H. and Modigliani, F. (1961). “Dividend Policy, Growth and the Valuation of Shares.” J. Business, 34(34): 411-43310. Myron J. G. (1962): The Investment, Financing, and Valuation of the Corporation , Homewood, IL: R.D. Irwin)11. Radner, R., Shepp, L. (1996) : Risk vs. profit potential: A model for corporate strategy. J. Econ. Dynam. Control 20, 1373–1383 12. Sethi, S. P. and Taksar, M. (2002): Optimal financing of a corporation subject to random returns. Math. Finance 12, no. 2, 155-172. 13. Williams, J. B. (1938) “The Theory of Investment Value.” Harvard University Press, Cambridge. zh_TW
