基于波动率预测的新三板企业价值评估

Chinese NEEQ Enterprises' Value Assessment Based on Predicted Volatility

新三板是我国多层次资本市场体系中不可或缺的一环,其为中小高科技企业融资的功能日益显现。为了对新三板企业价值进行评估,首先通过主成分分析法构建企业特征指标综合评分模型,并从创业板市场选取可比企业。然后,运用历史波动率和GARCH族模型两种方法预测可比企业的资产价格波动率,通过调整和赋权得到新三板目标企业的资产价格波动率。在此基础上,利用B-S期权定价模型对新三板目标企业进行估值。最后,选取新三板样本企业进行案例分析,验证了基于波动率预测的新三板企业价值评估的有效性,同时发现基于GARCH族模型的估值结果要低于历史波动率的估值结果。

The NEEQ market is an essential component in the construction of the multi-level capital market in China, which provides an effective channel for the high-tech SMEs, finance. In order to evaluate the enterprise value in the NEEQ market, this article firstly builds an index system by principal component analysis to select comparable companies. Secondly, using the historical volatility method and the GARCH model to predict the volatilities of these companies’ stock price, and the target companies’ volatilities are correspondingly measured.Therefore, the enterprise value by B-S option pricing model can be evaluated. Finally, the enterprise value of the selected NEEQ companies is evaluated, which verifies the validity of the proposed valuation method based on the predicted volatility and it finds that the result of the assessment based on the GARCH model is lower than that of the historical volatility.