增长期权、价值揭示与创业板公司估值

Growth Option, Value Revelation and High-tech Firms Valuation

未来盈利高度不确定性所蕴含的增长期权及其价值揭示是企业市场估值的关键。基于2010～2011年深交所创业板130家和主板189家高新技术上市公司的样本数据，在利用EVAS方法测度增长期权价值的基础上，研究增长期权对企业市场估值的影响，以及创业板对增长期权的价值揭示作用。实证结果表明：无论是创业板还是主板，增长期权对企业市场估值都具有显著的正向影响；相对于主板，创业板的企业市场估值具有更高比例的增长期权，且增长期权对企业估值的正向影响在创业板表现得更为明显。研究结果从增长期权的视角为创业板的高市场估值现象提供了一种理论解释，同时也指出了创业板的价值揭示功能的重要性所在。

The existence and revelation of growth options stemming from future profitability with high uncertainty are important to understand the observed market valuation of listed firms. This paper uses EVA method to value growth options of 130 listed firms on GEM and 189 high-tech finns listed on Main Board Market during 2010 and 2011, and then examines the effect of growth options on firm relative market valuation and the role of GEM in revealing the market value of growth options. Results show that growth options have a significantly positive influence on firm valuation in both GEM and Main Board Market. However, compared with Main Board Market, firms on GEM have a higher proportion of growth options in firm valuation and the positive effect of growth options on firm valuation is greater for firms on GEM. These findings not only give a theoretical explanation for the observed high valuation of firms on GEM from the perspective of growth options, but provide the evidence on the importance of value revelation on GEM.