Building Enterprise Valuation Model Based on Mean Reversion and Real Option Approach

• Main Authors: Wei-Sheng Chi, 祁暐盛
• Other Authors: I-Cheng Yeh
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/6eq9ex

碩士 === 淡江大學 === 土木工程學系碩士班 === 106 === The Growth Value Model (GVM) proposed that the relationship between Return On Equity (ROE) and Price-Book Ratio (PBR) is PBR=k×[1+Max(ROE,0)]^m, where m=Growth Factor and k= Value Factor. However, there are still many specific issues that need to be studied as well as space for improvement. Therefore, the following issues are studied: (1) The empirical studies of the theoretical bases of GVM that the ROE affects the annual rate of return. (2) Applying both Errors-in-Variables Approach and Mean Reversion Approach to obtain the values of m and k in the GVM model with the collected datasets classified according to the standard deviation of ROE and the industry and comparing their results. (3) The relationship between ROE and PBR in the original GVM model is not a smooth curve. Therefore, this study proposed the Option to Abandon in the Real Option Approach (ROA) to overcome it. In this study, the financial statement of Taiwanese listed companies from 2000 to 2016 were used as the data set. The results of the study show that: (1) The long-term market shows there is a clear positive correlation between ROE and annual rate of return. (2) Although the calculation of the Mean Reversion Approach and Errors-in-Variables Approach are different for the m value, they still showed the same trend and almost keep linear proportional. In addition, as the standard deviation of ROE increased, the persistence of ROE will be lower, therefore the smaller the value of m, and there are obvious differences on the m values showed among the industries. (3) The GVM model hybrid with ROA not only creates the smooth relationship between ROE and PBR, but also showed that the precision is more accurate than the original GVM model through error analysis. In the overall market in Taiwan, the most optimum parameter of the GVM model are m=6 and k=0.7. Moreover, in Taiwanese construction industry, the most optimum parameters of the GVM model are m=5 and k=0.6.