基于KMV模型的我国上市公司价值评估实证研究  

Empirical Study on Value Evaluation of Chinese Public Offering Companies Based on KMV Model

作　　者：孙小琰[1] 沈悦[2] 罗璐琦 

机构地区：[1]西安交通大学管理学院,陕西西安710061 [2]西安交通大学经济与金融学院,陕西西安710061 [3]中国证券登记结算有限责任公司,上海100032

出　　处：《管理工程学报》2008年第1期102-108,共7页Journal of Industrial Engineering and Engineering Management

基　　金：国家社会科学基金资助项目(06XJL004);西安交通大学“985”工程二期计划资助项目(07200701)

摘　　要：本文研究基于期权定价思想的KMV估值模型在我国证券市场上的适用性。首先结合中国证券市场的实际情况,对KMV模型进行了修正,然后利用修正后的模型对我国证券市场上的部分样本公司进行实证检验,表明KMV模型适用于中国证券市场。实证研究结果表明:对非ST公司而言,通过模型估算企业的股权资本价值和企业总价值,不仅考虑了企业资产的现时价值,还考虑了企业未来获得良好发展前景的各种机会,是一个全面动态的过程;对陷入财务困境的ST公司,传统的价值评估方法无法对这些公司的价值和较高的股价做出合理解释,这些公司依然可以在资不抵债的情况下有一个可观的公司价值,模型能够全面反映ST公司的净资产价值和虚拟价值——"壳"资源价值,一定程度上解释了我国证券市场上越是被ST的公司越被追捧的情况。This thesis does research on how to apply the option pricing theory and KMV model in Chinese stock market.Firstly,how to make sure of default points for Chinese companies.Then,the thesis makes use of this modified KMV model to do an empirical research on some of Chinese listed companies.It obtains the conclusions that the modified KMV model can be applied in Chinese market.It is a dynamic and complete process while estimating the normal listed companies＇ equity value and the whole company value through KMV model,which takes into account not only the uptodate value of the companies,but also the development opportunities and prospect in the future.When it comes to the Special Treatment companies with financial distress,KMV model indicates that the Special Treatment companies＇ values are more than their debts although their net assets can not refund the debts,KMV model also reflects both the net assets value and the virtual value（the shell resource value） of the Special Treatment companies,explaining why the Special Treatment stocks are highly demanded to some extend.

关 键 词：KMV模型 期权定价 证券市场 价值评估 

分 类 号：F830.91[经济管理—金融学]