在中国技术创新飞速发展阶段，大量高新技术产业迅速涌现，给社会发展带 来了强有力的推动力，调整了产业结构，加速了经济发展和技术创新。新三板市 场给高新技术企业提供了良好的机遇和发展平台。数据显示，截止到 2017 年 12 月，新三板市场挂牌交易企业总数已达到 11630 家，总交易股本数超过 6,756.73 亿股。新三板企业价值的合理评估，对于促进新三板市场效率的提升，推动新三 板企业的创新发展具有一定的实践意义。新三板上市企业的高风险特征使得传统 价值评估方法存在一定适用性问题，而实物期权模型能够较好的考虑新三板企业 价值的合理评估面临的高度不确定性，为合理评估新三板企业价值提供了一个较 好的研究视角。通过观察我们发现，新三板市场数量众多的上市公司通过现金股 利分配来提升投资者价值，因此本文基于红利视角对实物期权模型进行了局部改 进，以考察现金流对新三板企业价值评估产生的影响，为投资者合理配置资源以 及监管部门制定相应政策提供借鉴参考。 本文首先从理论与实证分析相结合的角度，针对国内外研究现状进行分析， 基于实物期权和金融期权的内涵，为实物期权思想在新三板上市企业价值评估领 域的适用性进行分析，并通过提取新三板企业特征，论证了新三板企业蕴含的期 权逻辑，结合新三板交易市场的特点，选取了与传统估值模型相比更具有适用性、 与其他实物期权模型相比更具有优越性的BS模型作为新三板企业价值评估的方 法。引入了红利和印花税两个变量对 BS 模型进行了改进，并具体得出了改进后 的新三板企业的期权定价模型。在此基础上，选取新三板市场交易规模占比较高 的金融业和高端制造业两大行业的三家企业数据进行了实证检验，与改进前的 BS 模型进行对比，结果显示改进后的模型更接近于企业的市场价值，从而进一 步完善了新三板企业价值评估。 关键词，新三板；企业价值评估；实物期权；BS 模型；改进 BS 模型iii ABSTRACT At the stage of rapid development of technological innovation in China, a large number of high-tech industries have emerged rapidly, which has brought a strong impetus to social development, adjusted the industrial structure, and accelerated economic development and technological innovation. The new third board market provides a good opportunity and development platform for high-tech enterprises. Data show that by December 2017, the total number of Listed Companies in the new third board market has reached 11630, with a total trading capital of more than 675.673 billion shares. Reasonable evaluation of the value of the new third board enterprises has certain practical significance for promoting the efficiency of the new third board market and promoting the innovation and development of the new third board enterprises. The high-risk characteristics of listed companies on the new third board make the traditional valuation methods have some applicability problems, but the real option model can better consider the high uncertainty faced by the rational evaluation of the value of the new third board enterprises, and provide a good research perspective for the rational evaluation of the value of the new third board enterprises. Through observation, we find that a large number of Listed Companies in the new third board market improve the value of investors through cash dividend allocation. Therefore, this paper improves the real option model based on the dividend perspective to examine the impact of cash flow on the value evaluation of the new third board enterprises, so as to provide reference for investors to rationally allocate resources and regulators to formulate corresponding policies. This paper first analyzes the status quo of domestic and foreign research from the perspective of combining theory with empirical analysis. Based on the connotation of real options and financial options, this paper analyzes the applicability of real options ideas in the field of valuation of listed companies in the new third board. By extracting the characteristics of the new third board enterprises, this paper demonstrates the option logic contained in the new third board enterprises, and combines the characteristics of the new third board trading market. Compared with the traditional valuation model, this model has more applicability and superiority compared with other real option models as the new third board enterprise valuation method. The model was improved by introducing two variables of dividend and stamp duty, and the improved option pricing model of the new three-board enterprise was obtained. On this basis, the data of the three companies in the financial industry and the high-end manufacturing industry, which accounted for a relatively high transaction volume in the New Third Board market, were empirically tested and compared with the model before the improvement. Compared with the model before the improvement, the results show that the improved model is closer to the market value of the enterprise, thus further improving the value evaluation of the new third board enterprise.iv Key Words，New Third Board, Enterprise Valuation, Real Options, BS Model, Improved BS Modelv 目 录 独创性声明..........................................................i 关于论文使用授权的说明..............................................i 中 文 摘要........................................................ii ABSTRACT........................................................iii 1 绪论..............................................................1 1.1 研究背景......................................................1 1.2 研究目的及意义................................................2 1.2.1 研究目的.................................................2 1.2.2 研究意义.................................................2 1.3 国内外文献综述................................................3 1.3.1 国外文献综述.............................................3 1.3.2 国内文献综述.............................................4 1.3.3 简要总结及评价...........................................8 1.4 研究内容及方法................................................8 1.4.1 研究内容.................................................8 1.4.2 研究方法................................................10 1.5 研究创新点...................................................10 2 相关理论基础.....................................................11 2.1 期权理论.....................................................11 2.1.1 实物期权................................................11 2.1.2 金融期权................................................12 2.2 期权定价模型.................................................12 2.2.1 二叉树估值模型..........................................12 2.2.2 BS 期权估值模型 .........................................13 2.2.3 蒙特卡洛模拟方法........................................14 3 新三板企业特征分析及 BS 模型改进..................................16 3.1 新三板企业特征分析...........................................16 3.1.1 企业技术创新程度高 ......................................16 3.1.2 企业发展阶段性明显 ......................................17 3.1.3 企业决策具有动态序列性 ..................................17 3.1.4 经营过程呈现高风险性 ....................................18 3.1.5 企业发展的快速成长性 ....................................18 3.1.6 价值创造的高收益性 ......................................19 3.2 新三板企业蕴含的期权理论思想.................................20 3.3 基于 BS 模型的新三板企业价值评估分析..........................21 3.3.1 传统企业价值评估模型的缺陷分析..........................21 3.3.2 BS 模型价值评估的优越性分析 .............................22 3.4 基于红利和交易费用的 BS 模型改进..............................24 3.4.1 基于红利的改进分析......................................24 3.4.2 基于交易费用的改进分析..................................25 3.5 BS 改进模型的构建 ............................................26vi 3.5.1 选取指数函数分析........................................26 3.5.2 几何布朗运动和伊藤定理运用..............................27 3.5.3 BS 模型具体改进过程 .....................................29 3.6 模型改进小结.................................................30 4 基于 BS 改进模型的新三板企业价值评估实证研究......................32 4.1 样本企业的选取...............................................32 4.2 基于 BS 改进模型的新三板企业价值评估实证检验..................34 4