证券市场导报
證券市場導報
증권시장도보
Securities Market Herald
2011年
4期
62~66
,共null页
董耀武 刘锡标 周孝华
董耀武 劉錫標 週孝華
동요무 류석표 주효화
创业板 实物期权 IP0估值 噪声抑价
創業闆 實物期權 IP0估值 譟聲抑價
창업판 실물기권 IP0고치 조성억개
ChiNext, real option, IPO valuation, noise underpricing
本文针对我国创业板上市的高科技公司价值特征、募股资金投资项目的高风险性及IPO高抑价现象，首先以或有期权及无套利规则为基础建立高科技公司多阶段投资项目的复合期权价值评估模型，然后利用蒙特卡罗模拟方法对模型做动态模拟，得到基于实物期权方法的IP0价格；同时，考虑到噪声交易，本文结合基于噪声动量指数进行IP0定价，推导出适合我国创业板高科技公司IPO估值的询价区间，最后进行案例计算及分析。从已发行的创业板公司股票的二级市场表现来看，该定价区问是合理并切实可行的。
本文針對我國創業闆上市的高科技公司價值特徵、募股資金投資項目的高風險性及IPO高抑價現象，首先以或有期權及無套利規則為基礎建立高科技公司多階段投資項目的複閤期權價值評估模型，然後利用矇特卡囉模擬方法對模型做動態模擬，得到基于實物期權方法的IP0價格；同時，攷慮到譟聲交易，本文結閤基于譟聲動量指數進行IP0定價，推導齣適閤我國創業闆高科技公司IPO估值的詢價區間，最後進行案例計算及分析。從已髮行的創業闆公司股票的二級市場錶現來看，該定價區問是閤理併切實可行的。
본문침대아국창업판상시적고과기공사개치특정、모고자금투자항목적고풍험성급IPO고억개현상，수선이혹유기권급무투리규칙위기출건립고과기공사다계단투자항목적복합기권개치평고모형，연후이용몽특잡라모의방법대모형주동태모의，득도기우실물기권방법적IP0개격；동시，고필도조성교역，본문결합기우조성동량지수진행IP0정개，추도출괄합아국창업판고과기공사IPO고치적순개구간，최후진행안례계산급분석。종이발행적창업판공사고표적이급시장표현래간，해정개구문시합리병절실가행적。
According to the value characteristics and the high risk of share capital projects for high-tech companies in ChiNext and IPO＇s high underpricing in China capital market, compound-option value model of multi-stage risk investment program for hightech companies is established based on contingent option and no-arbitrage regulation. The solutions of the model are obtained from analysis of three stages. Then using Monte Carlo simulation, the IPO price based on real option is obtained. Meanwhile combining with IPO price based on noise momentum, IPO＇s inquire pricing range of high-tech companies in China Growth Enterprises Market is found. Calculation and analysis of empirical cases are carried out at last. For the shares issued in ChiNext and their performance in the secondary market, the price range is reasonable and practicable.
