臺灣博碩士論文加值系統

企業是以創造利潤、價值滿足股東投資為目標的組織，因此管理者在做決策評估時，都以增加企業市場價值為目標來經營。然而，企業價值評估方法，又該選擇何種評價方式較為適當，本研究目的在探討多種企業評價方法間應用的差異與優劣，Ruback(2002)[18]年發表了資本現金流量法，實證結果顯示該模型優於其他評價模型，且台灣多數文獻針對單一企業個案分析，較少去探討各模型間的優劣。
本研究中所採用的模型為現金流量折現法中的自由現金流量法(FCF)、資本現金流量法(CCF)、調整現值法(APV)、經濟附加價值法(EVA)及比較乘數法中的本益比法、市價帳面價值比法等，分別針對選定個股估算其合理價值，再與真實價值相比較，並以誤差及投資績效做為判斷模型優劣的基礎。另外，本研究加入以AR (1)來預測公司成長率代入模型與代入當一年度實際成長率比較，觀察以預測方式計算成長率，是否有助於企業評價的結果。
從預測誤差結果來看，現金流量折現法的結果多不如於比較乘數法，結果中發現，EVA法可視為較穩定的估計模型。接著以投資績效為出發點，現金流量折現法評價結果的穩定性優於比較乘數法，且整體平均報酬率優於比較乘數法。以AR (1)預測成長率代入模型所計算出來的數值，表現比放入原始成長率計算來的好。
總而言之，整體來看現金流量折現法的表現比相對乘數法來的穩定，且可適宜的推估出企業在市場上的合理價值。

A corporation is an organization that attempts to enhance its business value and make the most profits for its shareholders. However, there are many ways to evaluate a corporation. In 2002, the model of capital cash flow (CCF) was first developed. Some researchers discussed how a valuation model (CCF) is applied to a single corporation. This research selected 45 corporations in different industries and discussed how many other corporate valuation models are applied to these companies.
This research applies various models, such as the discounted cash flow model, free cash flow model (FCF), capital cash flow model (CCF), adjusted present value model (APV), economic value added model (EVA), PE ratio model (PER), and market value to book value ratio (PBR) to evaluate corporate value and estimate its rational stock price. Then, we compared it with the actual market stock price. Furthermore, we also applied the Autoregressive model (AR) to forecast growth rate, and discussed its usefulness to better evaluate the value of a corporation. The smaller the prediction errors, the better the predicting investment performances are as an evaluation model.
In terms of prediction error, relative valuation models are better than the discounted cash flow model (DCF). The economic value added model (EVA) is regarded as the most stable valuation model. From the views of investors, the discounted cash flow method (DCF) is steadier than relative valuation methods (such as PER and PBR). However, the forecasting growth rate by ARMA (1) is significantly better at evaluating the value than using the original growth rate data of the model.
Overall, the discounted cash flow model (DCF) is more stable than other models, as well as a better model for predicting market value.

摘要 i
ABSTRACT ii
誌謝 iii
目錄 iv
圖目錄 vi
表目錄 viii
第一章 前言 1
1.1 研究動機及目的 1
1.2 應用領域扮演角色 2
1.3 論文架構 3
第二章 文獻探討 4
2.1 企業價值評價理論 4
2.1.1 企業價值定義 4
2.1.2 企業價值評估模式 5
2.2 現金流量折現模型 10
2.2.1 模型間差異 10
2.2.2 為何無法準確預估 11
2.2.3 理論與現實差距 12
2.3 比較乘數法 12
2.4 成長率預測模型 13
2.5 小結 13
第三章 研究方法 14
3.1 研究架構 14
3.2 資料樣本 14
3.3 一階段/二階段/多階段折現模型 15
3.4 現金流量折現法 17
3.4.1 自由現金流量折現法 17
3.4.2 資本現金流量折現法 18
3.4.3 調整現值法 19
3.4.4 經濟附加價值法 20
3.5 比較乘數法 21
3.5.1 本益比法(PER) 21
3.5.2 市價/銷售額法(PSR) 21
3.5.3 市價/帳面價值法(PBR) 22
3.5.4 市價/現金流量法(PCR) 22
3.6 預測模型 23
3.7 績效評估 23
3.7.1 預測誤差 23
3.7.2 投資報酬率 24
第四章 實證結果 25
4.1. 系統操作流程 25
4.2. 預測誤差結果 30
4.1.1 現金流量折現法 31
4.1.2 比較乘數法 38
4.1.3 預測誤差結果比較與分析 40
4.3. 投資績效比較與分析 41
4.2.1 現金流量折現法 41
4.2.2 比較乘數法 42
4.2.3 投資績效結果比較與分析 43
第五章 結論與建議 44
5.1 結論 44
5.1.1 實證結果 44
5.1.2 財務意函 45
5.2 研究建議 46
5.2.1 後續研究 46
5.2.2 給投資者的建議 47
參考文獻 48
附錄 52

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