引入破产时间的EVA企业价值评估模型研究  

Study on EVA Enterprise Valuation Model Based on Bankruptcy Time

作　　者：唐莹[1] 胡梅梅[1] 

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《统计与信息论坛》2013年第12期11-15,共5页Journal of Statistics and Information

基　　金：国家自然科学基金项目<我国小企业信贷业务管理研究>(71173241);教育部新世纪优秀人才支持计划项目<和谐银企关系研究>(CET-10-0830);湖南省研究生科研创新项目<我国商业银行小企业信贷业务信用风险管理研究>(71380100001)

摘　　要：现行基于EVA理论的企业价值评估模型存在较大缺陷,如永续经营假设以及未充分考虑企业资产规模等。对EVA理论的企业永续经营假设提出质疑,提出以企业预期破产时间为企业终止运营期限的观点来测算企业预期EVA现值,从而为解决企业永续经营假设与现实企业周期运营的矛盾提供了一种思路。首先基于企业资产因素采取单因子高斯Copula模型预测企业破产概率,然后通过蒙特卡洛模拟计算企业预期破产时间,以使不同企业资产规模因素对企业价值的影响可以更为有效地体现在企业价值评估模型中。There exist some defects in current enterprise valuation theories based on EVA, such as business continuity assumption and inadequate consideration over the asset scale of enterprises. This paper presents questions over continuity assumption of enterprises, and proposes a solution to evaluate an enterprise through estimating its bankruptcy time when it＇s to cease operation, so as to resolve the contradiction between the theoretical assumption and the actual cyclical operation. First we make a prediction of the enterprise＇s probability of bankruptcy by means of Gauss-Copula model, and then compute its bankruptcy time through Monte Carlo .simulation, in order to reflect the influence of different asset scale on the enterprise＇ s value in the evaluation model effectively.

关 键 词：经济增加值 企业价值评估 破产时间 COPULA函数 蒙特卡洛模拟 

分 类 号：F830.59[经济管理—金融学]