基于改进收益法估值模型的周期性行业公司估值研究

汤春玲1; 2; 廖嘉璐1; 葛子豪1; 肖  筝1

基于改进收益法估值模型的周期性行业公司估值研究

引用本文：汤春玲1,2，廖嘉璐1，葛子豪1，肖筝1.基于改进收益法估值模型的周期性行业公司估值研究[J].财经理论与实践,2023,(3):73-81

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作者	单位
汤春玲1,2，廖嘉璐1，葛子豪1，肖筝1	（1.中南林业科技大学经济学院，湖南长沙 410004； 2.中南林业科技大学产业经济高质量发展研究中心，湖南长沙 410004）

中文摘要:依据典型周期性行业上市公司潍柴动力2011—2020年的财务指标及相关宏观经济指标数据，运用H-P滤波法、岭回归分析和灰色新陈代谢马尔可夫模型，改进传统收益法估值模型。结果显示：宏观经济因素作为影响周期性行业公司价值的重要变量，对周期性行业公司的折现率具有显著的解释能力，对其永续增长率解释能力不显著；岭回归分析法和H-P滤波法能量化宏观经济对估值模型参数的影响，采用灰色新陈代谢马尔可夫模型预测自由现金流可提高估值精准度。

中文关键词:资产价值评估改进收益法估值模型周期性行业

Research on the Valuation of Cyclical Industry Companies Based on the Improved Income Method Valuation Model

Abstract:This study has selected Weichai Power, a representative cyclical industry listed company, as the research sample. By utilizing the company’s financial indicators and related macroeconomic indicators from 2010 to 2020, this study has improved the traditional income method valuation model through the application of various methods, such as H-P filter, ridge regression analysis, and grey metabolic Markov model. The results have indicated the significance of macroeconomic factors in determining the value of cyclical companies. These factors have a notable impact on the discount rate of these firms, while not significantly affecting the perpetual growth rate. The use of ridge regression analysis and H-P filter method has enabled the quantification of macroeconomic factors’ impact on valuation model parameters. Furthermore, the implementation of the grey metabolic Markov model to predict free cash flow has enhanced the accuracy of valuation.

keywords:asset valuation revised Income Method Valuation Model cyclical industries

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