基于PFM模型的新三板企业股权价值评估

金 辉; 吴盼盼

基于PFM模型的新三板企业股权价值评估

引用本文：金辉，吴盼盼.基于PFM模型的新三板企业股权价值评估[J].经济数学,2017,(3):96-103

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作者	单位
金辉，吴盼盼	（杭州电子科技大学经济学院，浙江杭州 310018）

中文摘要:新三板企业的股权价值可以通过实物期权理论进行评估，但是由于新三板市场交易的非连续性，给其中的参数估计带来难度.借鉴风险评估领域的PFM模型原理，通过同行业创业板上市公司的数据得到企业价值及其波动率与相关财务指标之间的关系式，计算新三板企业价值及其波动率.在此基础上考虑流动性折扣，采用实物期权定价方法评估新三板挂牌企业股权价值.通过对第一批进入创新层的新三板样本企业进行股权价值评估，验证了基于PFM原理的参数确定方法的有效性及实物期权定价方法的合理性.

中文关键词:金融工程股权价值评估实物期权新三板企业 PFM模型

Equity Valuation of Chinese NEEQEnterprises Based on PFM Model

Abstract:Enterprises value can be assessed by the real option theory，but the parameters are very difficult to be estimated due to the non-continuous stock trading in Chinese NEEQ market.According to the principles of PFM model，this paper obtains the relationship between enterprises value and its volatility with their financial indicators through the data of Growth Enterprise Market Listed companies in the same industry.Then the NEEQ enterprises value and its volatility could be calculated and we can evaluate the enterprises equity value in the NEEQ market.Finally，the value of NEEQ companies which have entered the innovation level are evaluated as examples，demonstrating the validity of proposed method to determine parameters based on PFM model and the rationality of real option pricing method.

keywords:financial engineering enterprises equity valuation real option companies in NEEQ market PFM model

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