波动风险、剩余收益与股票的内在价值

Volatility Risk,Residual Income and Intrinsic Value of Stock

剩余收益模型是在进一步追踪企业内在价值源泉的基础上建立起来的价值估值计量模型。本文拓展了传统的剩余收益模型,假设剩余收益遵循一阶回归过程,由上一期的剩余收益、经营活动净资产及波动风险决定,然后在此基础上数理推导风险调整下的价值估值模型并研究其性质。研究发现风险的加入改变了线性信息动态过程模型的结构系数,从而改变了价值系数。具体而言,波动风险对剩余收益有显著的负向影响(-0.0875),风险的增加会降低剩余收益的持续性及解释力度,符合理论假设;净经营资产对剩余收益的影响为负,与理论假设不符,说明中国上市公司实际采用偏向激进的会计政策;波动风险对股价及未确认商誉也有显著的负向影响。

The residual income model is built up on the basis of the source of intrinsic value, which is a more fundamen- tal assessment model. This research extends the traditional residual income model, assuming that the residual income fol- lows a first-order autoregressive process by the last period residual income, net operating assets and earnings volatility risk. Based on the mathematical derivation, the risk adjusted valuation model is built and its property is studied. It is found that the volatility risk changed the structure coefficient of the linear information dynamic model, which thereby changed the value coefficient. Specifically, the volatility risk of residual income has significant negative influence on the future residual income （ -0. 0875）, the increase of risk will reduce residual income persistence and the explanatory pow- er, which is in accordance with the theoretical hypothesis; net operating assets has negative influence on the future resid- ual income, which is inconsistent with the theoretical hypothesis, indicating that Chinese listed companies use aggressive accounting policies in actual; volatility risk also has significant negative impact on stock price and unrecognized goodwill.