The income approach of asset valuation estimates the asset value according to the asset-discounted future earnings or the capitalizing process. As a result, a reasonable prediction of asset-expected future returns has...The income approach of asset valuation estimates the asset value according to the asset-discounted future earnings or the capitalizing process. As a result, a reasonable prediction of asset-expected future returns has become one of the core contents of the income approach. The forecast on expected future earnings is generally based on many uncertain factors, such as strict conditions of assumption and the complexity of environment. However, the current valuation practice in this aspect varies greatly and sometimes depends on personally experienced judgment of appraisers. Therefore, the obtained valuation results tend to be simplified and absolutized. This paper takes a listed company in China as an example to explore the way of inserting an uncertainty analysis into the prediction of the income approach, and then to obtain a series of valuation results within a certain probability fluctuation range. Finally, it puts forward some suggestions about the Monte Carlo simulation （MCS）.展开更多
由于噪声的存在使得高频数据的分析过程存在着诸多困难,本文探讨了高频数据情况下的金融资产收益率已实现波动率的估计问题。在离散化的跳跃模型基础上,通过混合泊松分布而非传统的连续扩散模型来描述价格过程,并进一步提出了不同于以...由于噪声的存在使得高频数据的分析过程存在着诸多困难,本文探讨了高频数据情况下的金融资产收益率已实现波动率的估计问题。在离散化的跳跃模型基础上,通过混合泊松分布而非传统的连续扩散模型来描述价格过程,并进一步提出了不同于以往文献研究的噪声假设,即在独立同分布的噪声假设基础上放松约束条件,保持噪声的独立性,但是允许噪声强度随时间变化,以此改善了传统的固定时间间隔取样模式。为了进一步改善估计效果,我们结合了TrTS(Transaction Time Sampling)以及一阶偏误修正的RV(realized variance)估计方式RVAC(1)(first-order AutoCorrelation to RV)。对来自两个交易所不同板块股票的价格数据进行的实证研究结果表明,本文的估计方式虽然对于个别股票价格数据会产生与实际背离潜在真实价格参数,但整体上对于已实现波动率的估计效果是比较稳健的。展开更多
文摘The income approach of asset valuation estimates the asset value according to the asset-discounted future earnings or the capitalizing process. As a result, a reasonable prediction of asset-expected future returns has become one of the core contents of the income approach. The forecast on expected future earnings is generally based on many uncertain factors, such as strict conditions of assumption and the complexity of environment. However, the current valuation practice in this aspect varies greatly and sometimes depends on personally experienced judgment of appraisers. Therefore, the obtained valuation results tend to be simplified and absolutized. This paper takes a listed company in China as an example to explore the way of inserting an uncertainty analysis into the prediction of the income approach, and then to obtain a series of valuation results within a certain probability fluctuation range. Finally, it puts forward some suggestions about the Monte Carlo simulation （MCS）.
文摘由于噪声的存在使得高频数据的分析过程存在着诸多困难,本文探讨了高频数据情况下的金融资产收益率已实现波动率的估计问题。在离散化的跳跃模型基础上,通过混合泊松分布而非传统的连续扩散模型来描述价格过程,并进一步提出了不同于以往文献研究的噪声假设,即在独立同分布的噪声假设基础上放松约束条件,保持噪声的独立性,但是允许噪声强度随时间变化,以此改善了传统的固定时间间隔取样模式。为了进一步改善估计效果,我们结合了TrTS(Transaction Time Sampling)以及一阶偏误修正的RV(realized variance)估计方式RVAC(1)(first-order AutoCorrelation to RV)。对来自两个交易所不同板块股票的价格数据进行的实证研究结果表明,本文的估计方式虽然对于个别股票价格数据会产生与实际背离潜在真实价格参数,但整体上对于已实现波动率的估计效果是比较稳健的。
