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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳業寧(Yeh-Ning Chen),王泰昌(Tay-Chang Wang) | |
| dc.contributor.author | Jing-Wen Yang | en |
| dc.contributor.author | 楊景雯 | zh_TW |
| dc.date.accessioned | 2021-06-16T13:44:31Z | - |
| dc.date.available | 2016-07-26 | |
| dc.date.copyright | 2013-07-26 | |
| dc.date.issued | 2013 | |
| dc.date.submitted | 2013-07-09 | |
| dc.identifier.citation | [1].Alford, Andrew W., (1992). “The Effect of the Set of Comparable Firms on the Accuracy of the Price–earnings Valuation Method.” Journal of Accounting Research 30(1), 94–108.
[2].Anthony, Joseph H., and Krishnamoorthy Ramesh, (1992). “Association between Accounting Performance Measures and Stock Prices: A Test of the Life Cycle Hypothesis.” Journal of Accounting and Economics 15(2-3), 203–227. [3].Baker, M., and R. Ruback, (1999). “Estimating Industry Multiples.” Working paper, Harvard University, Cambridge, MA. [4].Barber, Brad M., and John D. Lyon, (1997). “Detecting Long–run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics.” Journal of Financial Economics 43(3), 341–372. [5].Barker, Richard G., (1999). “Survey and Market–based Evidence of Industry–dependence in Analysts’ Preferences between the Dividend Yield and Price–earnings Ratio Valuation Models.” Journal of Business finance and Accounting 26(3-4), 393–418. [6].Beatty, Randolph P., Susan M. Riffe, and Rex Thompson, (1999). “The Method of Comparables and Tax Court Valuations of Private Firms: An Empirical Investigation.” Accounting Horizons 13(3), 177–199. [7].Bhojraj, Sanjeev, and Charles Lee, (2002), “Who is My Peer? A Valuation–Based Approach to the Selection of Comparable Firms”. Journal of Accounting Research 40(2), 407–439. [8].Boatsman, James R., and Elba F. Baskin, (1981). “Asset Valuation with Incomplete Markets.” The Accounting Review 56(1), 38–53. [9].Chan, K. C., and Nai‐fu Chen, (1991). “Structural and Return Characteristics of Small and Large Firms.” The Journal of Finance 46(4), 1467–1484. [10].Cheng, C.S. Agnes, and Ray McNamara, (2000). “The Valuation Accuracy of the Price–Earnings and Price–Book Benchmark Valuation Methods.” Review of Quantitative Finance and Accounting 15(4), 349–370. [11].Cooper, Ian, and Leonardo Cordeiro, (2008). “Optimal Equity Valuation Using Multiples: The Number of Comparable Firms.” Working Paper, London Business School. [12].Copeland, Thomas E., Tim Koller, and Jack Murrin, (1994). Valuation: Measuring and Managing the Value of Companies. New York: Wiley. [13].Damodaran, Aswath, (1996). Damodaran on Valuation. New York: Wiley. [14].Damodaran, Aswath, (2001). The Dark Side of Valuation: Valuing Old Tech, New Tech, and New Economy Companies. FT Prentice Hall, Upper Saddle River, NJ. [15].Damodaran, Aswath, (2002). Investment Valuation: Tools and Techniques for Determining the Value of Any Asset. 2nd edition. New York: J. Wiley and Sons. [16].Damodaran, Aswath, (2006). Damodaran on Valuation. 2nd edition. Wiley, Hoboken, NJ. [17].Demirakos, Efthimios G., Norman C. Strong, and Martin Walker, (2004). “What Valuation Models Do Analysts Use?” Accounting Horizons 18(4), 221-240. [18].Fama, Eugene F., and Kenneth R. French, (1992). “The Cross–Section of Expected Stock Returns.” The Journal of Finance 47(2), 427–465. [19].Goh Chin, Fei, (2011). “Equity Valuation Using Multiples: An Empirical Study on Plantation Sector.” Graduation Thesis, University of Gothenburg, School of Business, Economics, and Law. [20].Harbula, Peter, (2009). “Valuation Multiples: Accuracy and Drivers–Evidence from the European Stock Market.” Business Valuation Review 28(4), 186–200. [21].Henschke, Stefan, and Carsten Homburg, (2009). “Equity Valuation Using Multiples: Controlling for Differences between Firms.” Working Paper, University of Cologne. [22].Jorion, Philippe, and Eli Talmor, (2001). “Value Relevance of Financial and Non Financial Information in Emerging Industries: The Changing Role of Web Traffic Data”, London Business School Accounting Subject Area No.021. [23].Lie, Erik, and Heidi J. Lie, (2002). “Multiples Used to Estimate Corporate Value.” Financial Analysts Journal 58(2), 44–54. [24].Liu, Jing, Doron Nissim, and Jacob Thomas, (2002). “Equity Valuation Using Multiples.” Journal of Accounting Research 40(1), 135–172. [25].Liu, Jing, Doron Nissim, and Jacob Thomas, (2007). “Is Cash Flow King in Valuations?” Financial Analyst Journal 63(2), 56–68. [26].Lundholm, Russell J., and Richard G. Sloan, (2004). Equity Valuation and Analysis with eVal. McGraw–Hill, New York, NY. [27].Lyon, John D., Brad M. Barber, and Chih‐Ling Tsai, (1999). “Improved Methods for Tests of Long–run Abnormal Stock Returns.” The Journal of Finance 54(1), 165–201. [28].Ohlson, James A., (1995). “Earnings, Book Value and Dividends in Security Valuation.” Contemporary Accounting Research 11(2), 661–687. [29].Palepu, Krishna G., Paul M. Healy and Victor L. Bernard, (2000). Business Analysis and Valuation Using Financial Statements. 2nd edition. South–Western, Cincinnati, OH. [30].Pratt, Shannon P, (2006). The Market Approach to Valuing Businesses. 2nd edition. John Wiley & Sons, Inc., Hoboken, New Jersey. [31].Schreiner, Andreas, (2007). “Equity Valuation Using Multiples: An Empirical Investigation”, Dissertation paper No. 3313, University of St. Gallen, Graduate School of Business, Administration, Economics, Law and Social Sciences. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62375 | - |
| dc.description.abstract | 本研究首先藉由蒙地卡羅馬可夫鏈之Gibbs sampling模擬流程，估計指標公司間產業價值乘數之平均代表，以獲得最有效之估計量。同時建議實務上欲採取簡易平均作法時，應使用調和平均估計以避免其他平均方法較大之偏誤。於挑選各產業之最佳價值乘數時，企業價值乘數因考慮資本結構而相對股權價值乘數較適用於多數產業；針對各種價值指標之適用性，則以淨值類乘數應用最為廣泛、現金流量類乘數與盈餘類乘數居次，營收類乘數因未考慮費用結構之經營特性而評價表現最差。
最後本研究針對個別公司之價值乘數與蒙地卡羅馬可夫鏈所模擬出之產業平均進行差異化調整，將個別公司價值與產業平均之差異歸納為三個層面之因素所影響。四大層面茲分類為成長性：研發費用率、成長穩定性、成立年齡、資本支出率；獲利性：資產報酬率；風險程度：資產規模。藉由納入差異化調整，可量化標的企業與產業間之差異，以反映個別公司特有之經營特性與評價考量。 | zh_TW |
| dc.description.abstract | This thesis primarily estimates the minimum variance industry valuation multiples by the Markov Chain Monte Carlo (MCMC) Gibbs sampling method and suggests that the harmonic mean is a better estimator compared to simple average, which incorporates much more valuation desperation. Furthermore, the thesis discovers that entity valuation multiples are more appropriate than equity valuation multiples, indicating that we should consider and measure the whole enterprise value to include the different capital structure effects on valuation. And the book value multiples are the best multiples for most industries, but the sales multiples are the worst in the mature industries.
Finally, the thesis quantifies the deviation between the individual firm’s valuation multiple and the industry average MCMC simulated valuation multiple based on the regression model that contains three dimensions factors: growth opportunity, profitability, and risk degree. The regression model helps capture and explain the financial and structural differences between the target firm and the industry average and provides a benchmark of adjustment. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T13:44:31Z (GMT). No. of bitstreams: 1 ntu-102-R00723011-1.pdf: 1353219 bytes, checksum: 2ecc3c1a6a8078737985c85fb756ba70 (MD5) Previous issue date: 2013 | en |
| dc.description.tableofcontents | 目錄
口試委員會審定書.............................................ii 致謝.....................................................iii 中文摘要...................................................iv ABSTRACT...................................................v 第壹章 緒論...............................................1 第一節 研究背景與動機.........................................1 第二節 研究貢獻..............................................3 第三節 研究架構..............................................5 第貳章 文獻回顧............................................6 第一節 市場法之文獻回顧........................................6 第參章 研究方法與實證模型...................................11 第一節 市場法之介紹..........................................11 第二節 市場法之模型..........................................13 第三節 蒙地卡羅馬可夫鏈之Gibbs sampling模擬模型.................15 第四節 價值乘數計算與變數說明..................................16 第五節 各產業最佳價值乘數挑選判斷...............................21 第六節 價值乘數差異調整變數說明................................28 第肆章 實證結果與探討......................................32 第一節 研究樣本說明..........................................32 第二節 實證結果探討..........................................33 第伍章 結論與建議.........................................47 第一節 結論................................................47 第二節 未來展望與建議........................................48 參考文獻...................................................52 | |
| dc.language.iso | zh-TW | |
| dc.subject | 市場法評價 | zh_TW |
| dc.subject | 價值乘數 | zh_TW |
| dc.subject | 蒙地卡羅馬可夫鏈模擬 | zh_TW |
| dc.subject | Market approach | en |
| dc.subject | Valuation multiples | en |
| dc.subject | MCMC Gibbs sampling | en |
| dc.title | 市場法之台灣產業價值乘數模擬彙總與差異性調整 | zh_TW |
| dc.title | The Summary of Valuation Multiples under Market Approach for Taiwan’s Industries and the Discrepancy Adjustment | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 101-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 劉嘉雯(Chia-Wen Liu) | |
| dc.subject.keyword | 市場法評價,價值乘數,蒙地卡羅馬可夫鏈模擬, | zh_TW |
| dc.subject.keyword | Market approach,Valuation multiples,MCMC Gibbs sampling, | en |
| dc.relation.page | 55 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2013-07-10 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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|---|---|---|---|
| ntu-102-1.pdf 未授權公開取用 | 1.32 MB | Adobe PDF |
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