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论文编号：	3073
作者编号：	2120082623
上传时间：	2011/5/22 15:44:36
中文题目：	基于基本面的公司投资价值评估模型
英文题目：	Valuation Model Based On The Enterprise Fundamentals
指导老师：	黄福广
中文关键字：	价值评估模型 量化价值投资 评估变量体系 评估计分体系
英文关键字：	Valuation Model;Quantitative Value Investing;Variable Assessment System;Scoring Assessment System
中文摘要：	本文首先回顾国际成熟的价值投资理念，肯定长期投资优秀企业的重要性，然后以价值投资的分析方法挖掘公司历史数据，找出具有投资价值的“优秀企业”。因此，价值评估模型是定性和定量分析结合，建立在价值投资理论基础上的量化价值投资理念。 从1990年12月上海证券交易所挂牌运营开始，我国证券市场诞生至今只有20余年，虽然相比国外成熟的资本市场几百年的发展历史，显得些许青涩，但是2010年国内A股市场IPO融资总额4882亿元，股票交易总额54万亿元，发行量和交易量均居全球首位，已经成为国际上最重要的资本市场。由于还处于发展的初级阶段，我国证券市场展现出诸多与众不同的特点，比如全球股指最高的市场、个人投资者参与比例最高的市场、交易最活跃的市场、投机最严重的市场等，这些现象是由于国内投资理念还不完善，缺乏科学依据的结果，从而滋生了高度的投资风险。在这样的环境下，通过研究有中国特色的社会主义市场经济、企业发展特点，整理出科学的价值评估模型，为众多投资者提供有效、可靠的投资依据，从而提高投资收益率，分享国民经济增长的果实，具有重要的现实意义。作者将通过研究国际著名投资大师的投资理念，总结其取得长期稳定高收益的原因，结合对国内大量上市公司的数据分析，整理出有效、可靠的基于基本面的公司投资价值评估模型。 本价值评估模型分为“评估变量体系”和“评估计分体系”，评估变量体系是对体现企业综合素质的评估要素整理归类，包括企业成长性、经营效率、投资安全性、股东回报能力、资源控制能力、宏观环境评价六大模块14个指标；评估计分体系是对各模块和指标的权重划分，并设计根据企业指标的具体值转化为得分的计分规则，各指标的等级标准来源于上市公司过去五年的历史数据。最后，本文假设2009年6月1日为评估时间，应用模型对深证100指标股的价值进行评估，并以该时间点至今这些股票的涨幅高低来验证模型的有效性。验证结果证明，本价值评估模型是有效的、可靠的，可以帮助投资者在众多上市公司中筛选出具有投资价值的公司。
英文摘要：	This paper first reviewed advanced investment philosophies around the world, then analyzed historical data of companies based on fundamental research, and finally, summaried a list of companies which may have good investment values. The valuation model combining qualitative and quantitative analysis is a well demonstration of quantitative value-investing philosophy. Since the Shanghai Stock Exchange opened in December 1990, it has been only 20 years for Chinese stock market to exist. Although compared to foreign capital markets with hundreds of years’ history, the Chinese stock market is still yong, with a total IPO value of 488.2 billion RMB raised in 2010, a trading value of 5400 billion RMB altogether in the same year, the Chinese stock market has played a key role in the world’s capital markets; it has both the largest trading volume and the largest issuing volume around the world today. As our market remains at an early stage of development, it has some unique features of its own, such as, the world's highest market index; the highest proportion of individual investors to participate in the market; the most actively traded market; the most speculative market. These characteristics, however, could easily lead to high investment risks, due to a lack of complete and mature investment philosophies and strategies. As such, it’s necessary and important to establish appropriate value-assessment models through analyzing the socialist market economy with Chinese characteristics and the characteristics of enterprise developments, in order to provide investors with effective, reliable investment tools and accordingly improve investment returns. Through studying internationally renowned investment gurus’ philosophies, and analyzing reasons for their long-term success in obtaining high investment yields, combined with a study of data of large numbers of domestically listed companies, we will be able to create an effective valuation model based on fundamentals . The valuation model is composed of "Variable Assessment" and " Scoring Assessment ". Variable Assessment is to define and establish variables which are related to a enterprise’s overall competence, including 14 factors of six parts, namely, growth potential, operation efficiency, investment risks, returns on equity, resource advantage, and analysis of macro economy, The Scoring Assessment system is to give weighted scores on the variables and factors., through analyzing historic data of the companies over a length of five years. Using June 1st, 2009 as the time window, we applied the model to evaluate CSI 100 Index components, and verified the effectiveness of the model by reviewing the performance of the same group of shares from the time window to today. The results showed that this model has been effective and reliable, and can help investors screen out companies with good investment value among all.
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