基于Ohlson模型的企业权益价值自适应估计

SELF-ADAPTIVE VALUATION OF EQUITY BASED ON OHLSON MODEL

企业价值估计是投资的基础.1995年,J.Ohlson将超额收益RI（Residual Income）用于企业价值估价,形成了企业价值估价的一个分支.然而,Ohlson模型要求正确估计收益率和未来各期的超额收益,在应用上有明显的局限性.本文以Ohlson超额收益估价模型为基础,结合Gordon增长模型,建立了一个企业权益资本价值估价新模型.对该模型的参数估计,我们采取逐步迭代的方法,逐步吸收企业成长过程中的信息,不断修正模型参数,直至得到“满意”的参数.我们证明了这个参数估计过程是收敛的,因此新模型有更好的可操作性.

The valuation of enterprises' equity is fundamental to the investors. In 1995, J. Ohlson proposed RI (Residual Income) to develop a new method for the valuation. However, Ohlson's model requires rightly estimating the yield and RI in future stages, hence is less practical. This paper gives a new model for equity valuation based on Ohlson's and Gordon's models. The key parameter of the model can be estimated by an iterative process which is developed by utilizing new information in the growing course of the enterprises evaluated. It is proved that the estimating process is convergent and hence the model is more practical.