连续时间企业价值评估模型研究讲解.pptVIP

一、离散时间企业价值模型的主要缺陷(Main defects of discrete-time corporate valuation models) 1.收益（自由现金流量，股利）生成与折现时间的不一致性 The generating time of income(free cash flow, or dividend) is Inconsistent with its discounting time 2.预测的困难(difficult to forecast) 股利（股利政策 dividend police） 自由现金流量（投资investment,长期负债long-term liabilities） 超常收益（linear autoregressive assumption？） 3.折现率的变化(the change of discount rate in the future) 非常感谢！ 欢迎批评！ 山东大学管理学院 袁明哲 yuanmingzhe@sdu.edu.cn 第二讲（Part II） 连续时间企业价值评估模型 Continous-time corporate valuation model 二、连续时间会计变量的概念体系 (concepts of continuous-time accounting variables) 1.收益生成函数(earnings generating function): Suppose Y(t) is function of cumulative earnings from t0 to t. if for any , y(t) satisfies y(t) is called a generating function of the firm in the period. 二、连续时间会计变量的概念体系 (concepts of continuous-time accounting variables) 2. 影子股利生成函数（Shadow dividend generating function） 影子股利指由于股利支付能力的提高而导致的股票价格的提高。 Shadow dividend: the increase of stock price caused by the increased ability to pay dividends due to the earnings. 如果时刻 t 形成影子股利 d(z), 则称d(z) 为影子股利生成函数。 If shadow dividend, d(z), is acquired at time z, then, d(z) is called a shadow dividend function. 二、连续时间会计变量的概念体系 (concepts of continuous-time accounting variables) 3. 股权账面价值生成函数（Book value generating function） Suppose B(t) is a function of book value about time t. If for any , b(z) satisfies b(z) is called a book value generating function of the firm in the period. 二、连续时间会计变量的概念体系 (concepts of continuous-time accounting variables) 连续干净盈余关系假设(continuous-time clean surplus relation): 注：离散的干净盈余关系 (discrete-time clean surplus relation): 二、连续时间会计变量的概念体系 (concepts of continuous-time accounting variables) 4.资本成本生成函数（capital cost generating function): Suppose r(t) is function of cumulative capital cost from t0 to t. If for any , satisfies is called a capital cost generating function of the firm in the period. 二、连续时间会计变量的概念体系 (concepts of conti