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研究生:林盈妤
論文名稱:以股東價值函數在公司定價理論的應用
論文名稱(外文):The Application of Shareholder Value Function in the Evaluation of Company
指導教授:胡聯國胡聯國引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際經營與貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
畢業學年度:103
語文別:英文
論文頁數:44
中文關鍵詞:公司價值現金保留擴散過程
外文關鍵詞:cash reservesvalue of firmsdiffusion process
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股東價值函數意指公司未來預期股利的加總,其模型主要利用擴散過程來建構。因為公司可透過保留現金和發放股利兩大策略來調控公司價值--過多現金保留將產生現金邊際效益降低;現金保留過少則會產生流動性風險甚至破產問題。論文主要探討公司在捨取現金保留時如果達大公司價值的極大化,並利用實際資料來檢視上市公司的價值是否有高低估之嫌。此外,亦在論文中提供以股東價值函數為評價方式的交易策略。
We consider a problem of finding the optimal solution for maximizing the value of a firm in a stochastic environment. In the paper, we apply a methodology that determines a corporate value by using cash reserves as the main variables. We examine the model by employing two empirical approaches to compare the corporate value computed from the model to the market value. We find that there are slight differences between the stock value and shareholder value. Therefore, we may use the facts that we find to construct optimal trading strategies to exploit small price differences.
1 Introduction 1
2 Literature Review 3
3 the Model 10
4 the Empirical Model 17
5 Conclusion 42
Reference 43

1. Asmussen, S., Taksar, M. (1997) : Controlled diffusion models for optimal dividend pay–out. Insurance: Math Econ 20, 1–15
2. Boguslavskaya, E. (2003) : On Optimization of dividend flow for a company in a presence of liquidation value, Working paper.
3. Cornell, B. (1993) Corporate Valuation: Tools for Effective Appraisal and Decision Making Homewood, IL: Business One Irwin.
4. Hall. M &; Weiss, L. (1967), “Firm Size and Profitability”, The Review of Economics and Statistics, 49 (3), 319 – 331
5. Jeanblanc–Pique, M., Shiryaev, A. (1995): Optimization of the flow of dividends. Russian Math. Surveys 50, 257–277
6. Kruse, D.L. (1992), Profit Sharing and Productivity: Microeconometric Evidence from the United States, The Economic Journal 102 (410), 24-36.
7. Luehrman, T. A. (1997): What's it worth? A general manager's guide to valuation. Harvard Business Review, pp. 132-142.
8. Løkka, A.and Zervos, M. (2005): “Optimal dividend and issuance of equity policies in the presence of proportional costs,” Insurance: Mathematics &; Economics, vol. 42, no. 3, pp. 954–961, 2008.
9. Miller, M.H. and Modigliani, F. (1961). “Dividend Policy, Growth and the Valuation of Shares.” J. Business, 34(34): 411-433
10. Myron J. G. (1962): The Investment, Financing, and Valuation of the Corporation , Homewood, IL: R.D. Irwin)
11. Radner, R., Shepp, L. (1996) : Risk vs. profit potential: A model for corporate strategy. J. Econ. Dynam. Control 20, 1373–1383
12. Sethi, S. P. and Taksar, M. (2002): Optimal financing of a corporation subject to random returns. Math. Finance 12, no. 2, 155-172.
13. Williams, J. B. (1938) “The Theory of Investment Value.” Harvard University Press, Cambridge.

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