臺灣博碩士論文加值系統

在參考Nissim (2013)關於相對估值法(也稱價格乘數法)對美國保險業公司價值實證效果的研究的基礎上，本文通過相對估值法對中國大陸保險公司進行了價值估計，並對不同相對估值法的估值效果進行了對比分析，希望能夠為投資者對中國大陸保險公司進行價值估計提供一種更加具體、有效並且貼合實際的方法。本文重點研究了相對估值法在以下情況下的估值效果：基於不同基本面財務指標、對基本面財務指標進行不同調整、不同可比基準以及條件相對估值法。本文的實證研究結果主要包括以下五點。第一，在過去的十幾年裡，基於收益的相對估值法的估值效果要優於基於權益帳面價值的相對估值法。第二，與許多分析師的結論不同的是，將累計其他綜合收益從權益帳面價值中扣除並不會提高估值的準確性，相反卻會顯著地降低其估值效果。第三，無論是在金融危機期間還是非金融危機期間，將特殊項目和投資損益從帳面收益中扣除能夠顯著地提高收益的估值效果。第四，條件相對估值法由於其邏輯的內在缺點，在實證中並沒有什麼優勢，其估值效果顯著地差於條件估值法。最後，以預測收益作為基本面財務指標的估值效果要顯著地優於權益帳面價值和收益，但是這一優勢可能被誇大了。

This paper is based on the research results of Nissim (2013), which focus on the relative valuation of U.S. insurance companies. In this study, we hope to provide a specific, effective, and practical method to investors for estimating the intrinsic value of insurance companies in Mainland China. We empirically examines the accuracy of relative valuation methods using data from those companies. Our approaches differ from Nissim’s study in the following terms: the financial fundamentals we used, the adjustments we made to the financial fundamentals, the selection of comparable, and the use of conditioning variables. Our empirical findings include the following. First, over the last decade, earnings multiples have performed better than book value multiples in valuing insurance industry. Second, contrary to the conclusion of many analysts, excluding accumulated other comprehensive income (AOCI) from book value worsens the valuation accuracy. Third, during the financial crisis or the non-financial crisis, using income before special items and realized investment gains and losses, instead of reported income, significantly improves the valuation accuracy. Fourth, because of the logic flaw, conditioning the P/B ratio on ROE will not improves the valuation accuracy of book value multiples. Finally, the valuations based on analysts’ earnings forecasts significantly outperform those based on reported earnings or book value, although this advantage has been overstated.

謝辭 II
摘要 III
Abstract IV
目錄 V
圖目錄 VII
表目錄 VIII
第一章 文獻綜述 1
第一節 研究背景與目的 1
第二節 前人研究 7
第二章 相對估值模型 10
第一節 相對估值法簡介 10
第二節 P/E指標的相關探討 13
第三節 P/B指標的相關探討 17
第四節 其他相關特徵的探討 20
第三章 樣本和資料 24
第四章 實證檢驗 27
第一節 收益乘數檢驗 30
第二節 權益帳面價值乘數檢驗 34
第三節 不同基本面財務指標檢驗 36
第四節 可比基準檢驗 38
第五節 條件價格乘數檢驗 41
第五章 結論與檢討 47
參考文獻 49
附錄1：剩餘收益模型的推導 51
附錄2：四季度移動平均（TFQ）資料及其構建 53

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