收入流高度不确定企业的股价探讨

VALUING THE COMPANY WHOSE INCOME FLOWS ARE EXTREMELY UNCERTAIN

在分析了传统财务评估手段应用于收入流高度不确定企业价值评估上的不足后 ,利用实物期权理论和现代资本预算技术构造了一个简易动力学模型 ,对该问题进行了讨论 .建立了模型 ,设置 2种初值模式 ,分析了不同波动初值及收入流长期趋势终值对估值结果造成的影响 ,并用eBay公司 2 0 0 0年末实际数据对模型进行了考察 .模型结果依赖于所选的参数 ,与直观上收入流高度不确定企业股价的波动在一定的程度上吻合 ,可以认为其股价仍在合理范围 ,该模型能解释一类收入流高度不确定企业股票价格的表现 .

Since traditional methods are deficient in valuing the company whose income flows are extremely uncertain, real options theory and modern capital budgeting techniques are applied to the problem. A model is formulated in continuous time and solved by simulation. Based on the two patterns of different initial values , the effects of the initial values and long-term trend of income flows on the results are analyzed. Depending on the parameters chosen, the simulation results suppose that the value of the eBay stock may be rational, and that there is a large sensitivity of the valuation to the initial conditions and exact specifications of the parameters. This is also consistent with the observation that the returns of the company stocks have been strikingly volatile.