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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77151


    Title: 以股東價值函數在公司定價理論的應用
    The Application of Shareholder Value Function in the Evaluation of Company
    Authors: 林盈妤
    Contributors: 胡聯國
    林盈妤
    Keywords: 公司價值
    現金保留
    擴散過程
    cash reserves
    value of firms
    diffusion process
    Date: 2015
    Issue Date: 2015-08-03 13:16:51 (UTC+8)
    Abstract: 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.
    Reference: 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.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    102351027
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1023510274
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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