具有破产概率的马尔可夫股利贴现模型

Markov Dividend Discount Models with Bankruptcy Probability

在企业存在破产可能性条件下 ,研究破产概率对股利贴现模型的影响 ,在马尔可夫过程的基本假定下 ,给出了对应股利零增长状况和固定增长状况的具有破产概率的马尔可夫股利贴现模型·模拟结果显示 ,该模型能够比较准确估计股利现值 ,可以纠正现行模型对股利现值的高估情况 ,该模型可用于企业估价和投资项目评估·

The effect of enterprise's bankruptcy probability to the present value of future dividends has been studied. It is supposed that future dividends follow Markov process, two Markov dividend discount models including the effect of bankruptcy probability are suggested,which are suitable to zero growth dividend case and constant growth dividend case respectively. The imitation results show that the new models give shares much lower value than the other models widely used at present. The new models devalue the expected future dividends because of the bankruptcy probability. In other view, the new models increase the discount rate because of the bankruptcy risk. The new models can be used in valuation of enterprises and in valuation of investment projects.