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好 在企业价值评估中
Ok, so in enterprise value assessment

我们用的主流的方法是
the dominant way that we use is

预期现金流折现的方法
the expected discounted cash flow method

也就是我们通常说到的这个DCF方法
which is the DCF method that we usually talk about

那用DCF方法,很重要的一个参数
So one of the important parameters to use with the DCF method

就是折现率
is the discount rate

折现率其实在我们企业价值评估中
The discount rate is actually in our enterprise value assessment

有的时候我们会用另外一个概念来对应的解释
sometimes we will use another concept to explain

它就是资本成本
it is capital cost

就像这个CAPM模型
Just like this CAPM model

也就是CAPM模型所揭示的这个折现率的计算过程一样
the calculation process of this discount rate revealed by CAPM model

它是把一个企业的投资风险
it divides the investment risk of an enterprise into

分解为股权的资本成本和债权的资本成本
the capital cost of equity and the capital cost of creditor's rights

然后分别给予不同的权重
and then gives different weights to each

当然这个权重有的时候
Of course, this weight is sometimes

也是由于这个企业的资产负债率来决定的
determined by the company's asset-liability ratio

那么通过这样的一个资本成本核算呢
Through such a capital cost accounting

CAPM就得到了从金融学
CAPM has been widely applied from finance

到会计学到财务管理
to accounting to financial management

到整个资本市场最为广泛的应用
to the entire capital market

成为上个世纪非常主流的
becoming a very mainstream

一种资本成本的计算模型和方法
capital cost calculation model and method in the last century

但是这个方法中,有一个很重要的参数
But an important parameter in this method

就是贝塔系数
is the beta coefficient

那么现在也有很多的实证研究
There are also a lot of empirical studies

体现出这个贝塔系数
showing this beta coefficient

并不是完美的能够
which is not perfect to

揭示整个资本市场的风险的
reveal the risk of the whole capital market

所以我们可能有其他的一些方法
So we may have some other ways

帮助我们来理解这个资本成本
to help us understand the cost of capital

以及企业价值评估中的折现率
and the discount rate in the enterprise value assessment

到底除了CAPM这样的一个方法之外
besides CAPM

还有什么其他的方法可以选择
what other ways can we choose

今天我们就跟大家来分享
Today we're going to share

这个Fama-French三因子模型
this fama-french three-factor model with you

事实上除了CAPM
In fact in addition to the CAPM

我们在计算这个企业价值评估的折现率的时候
one of the most simple methodin the calculation of

最简单的一个方法
the discount rate of the enterprise value evaluation

还有风险累加法
is the method of risk accumulation

就是把这个企业
that is accumulating the risk

或者这个投资项目
the enterprise or the investment

它所面临的风险
project faces together

包括了这种,比如说
Including for example

无风险的利率
the risk-free interest rate

或者是这个企业或这个行业
or the risk of the enterprise

平均的风险
or the industry average risk

以及这种企业特有的一个风险
and the specific risk of the company

把它几项风险累加在一起
and accumulate these risks together

但是这样的方法 ,过于简单粗暴
But this way is too simple and crude

因为有一些风险
for there is some risks that

它可能是相互的已经包含在里面
may be already included in each other

比如我们刚刚讲到的
such as we just talked about

这个行业平均风险
the industry average

以及那个企业特有的一个风险
and the enterprise characteristic of a risk

有的时候 ,我们还会加一个风险溢价
sometimes we will also add a risk premium

那这些因素可能
that these factors may

本身已经相互的交叉覆盖
have mutual cross cover itself

如果只是简单的
If we simply use

用风险加和的方法的话
the method of risk addition

就会使得这样的一个资本成本的
it will make such a measurement method

计量方法,会高估风险
of capital cost overestimate the risk

就会带来企业价值的低估
and lead to the underestimation of enterprise value

而第二个常用的资本成本
And the second common cost of capital

也就是我们折现率的计算方法
which is how we calculate our discount rate

CAPM是我们前面的DCF方法的部分
CAPM is part of our previous DCF method

已经深入地跟大家分享过的
which we've been sharing in depth

那这个部分呢,我就不再赘述
but I won't go into that

而第三个Fama-French三因子模型
The third fama-french three-factor model

它虽然源自对美国资本市场的检验
although derived from the test of the US capital market

但是目前在全世界
around the world

绝大多数的资本市场上
in most capital markets

都得到了很好的验证
has been well verified

那我们首先了解一下,Fama-French三因子模型
So what is the fama-french?

到底是一个什么样的模型?
three-factor model

1992年
In 1992

美国的金融学家Eugene Fama
the United States financial historian Eugene Fama

和他的学生French
knew his students French

对美国的股票市场
to the stock market in the United States

进行了深入的研究
and they carried on the thorough research

就发现决定了不同股票回报率的
it found that the factors that

这个差异的因素
determines the different stock returns

并不能完全的用贝塔值来解释
cannot be completely explained by beta

股票市场的这个贝塔值
the beta of the stock market

它不能解释不同股票回报率的差异
can't explain the differences between the stock returns

而上市公司
The market value of a listed company

比如说市值
for example is sometimes

有的时候我们把它解释为规模因子
interpreted as the size factor

账面市值比也称之为价值因子
the book value ratio is also called the value factor

市盈率也称之为市场因子
the price-to-earnings ratio is also called the market factor

这三个因子呢
These three factors

反而可以解释整个股票市场
on the contrary can explain the difference

回报率的差异高达90%
of the total stock market return as high as 90%

那么Fama和French呢
Fama and French

就连续的发表了几篇文章
have published several articles in succession

他们提出一个非常重要的观点
and they put forward a very important point

认为这个导致股票收益出现
believing that the analysis of a three-factor

超额收益差别的 一个三因子的分析
which leads to the difference in excess return of stock returns

是对原来的CAPM模型中的贝塔系数
that did not respond to the beta coefficient in the original CAPM model

没有反应的风险因素的补偿
is the compensation for the risk factorsl

那这三个因子呢
So these three factors

可以用这样的一个公式来显示
by a formula that looks like this

大家可以看我后面的这个公式
and you can look at the formula that I'm going to follow

在这个公式里面
In this formula

Fama French他们认为
Fama French believed that

可以建立一个三级的模型
a three-level model could be established

来解释股票的回报率
to explain the stock return

一个投资组合
a portfolio

甚至包括单个股票,它的超额回报率
even a single stock and its excess return

都可以由他对这三个因子的暴露来解释
could be explained by his exposure to these three factors

那么从上个世纪的60年代到80年代
From last century 60 s and 80 s

CAPM是金融学的主导的模型
the CAPM is one of the leading model of finance

它的发明者William Sharpe教授
its inventor professor William Sharpe

也因为这个理论
because of this theory

获得了1990年的诺贝尔经济学奖
won the 1990 Nobel Prize in economics

但是从90年代到现在
but from the 90 s to the present

三因子模型就成为
Fama - French three factor model is

从美国到全世界资本市场上的
a dominant model of capital market

一个主导的模型
from the United States to the world

而Eugene Fama本人
and Eugene Fama himself

也因为这个理论的贡献
won the 2013 Nobel Prize

获得了2013年的诺贝尔经济学奖
in economics because of the contribution of this theory

三因子模型被评为
The three-factor model has been named

金融学过去25年来最伟大的成就之一
one of finance's greatest achievements over the past 25 years

当然这个模型也不是完美的
And of course the model is not perfect

对吧, 因为按照这个模型对于
right Because according to this model

我们整个投资界的一个解释来说
as an r our entire investment community

我们可以将股票的市值
we can divide the market value of a stock

和账面的市值比这样的一些特征进行划分
by the market value of the book

股票按照市值的大小就可分成小盘股
Stocks can be divided into small-cap stocks

中盘股和大盘股
mid-cap stocks and large-cap stocks

按照账面的市值比来划分呢
according to the size of market value

就可以分成价值型 、平衡型和成长型
it can be divided into value type balance type and growth type

而衍生的股票指数的编制方式
The compilation method of the derivative stock index

基金的持股风格，
and the fund's shareholding style

也可受到Fama-French三因子模型的影响
can also be affected by the fama-french three-factor model

那么Fama-French的三因子模型呢
So Fama - French three factor model actually does not

其实并不代表资本资产定价模型的一个完结
mean the completion of a capital asset pricing model (capm)

因为在后续的研究中，有越来越多的学者加入进来
because in a subsequent study

纷纷地提出了
more and more scholars to join in and have proposed

四因子模型、五因子模型、六因子模型
the four factor model ,five factor model and six factor model

等等更深入的研究
and so on more in-depth research

而最近的一些资本资产定价的研究就发现
and some of the recent capital asset pricing research has found that

这个三因子模型中,还有很多变量
the three factors and there are many variables in the model

并没有被足够的解释
has not been enough to explain

比如说,短期的反转 中期的动量
for example, the reversal of the short-term medium-term momentum

波动 、偏度 、赌博等等这样的一些因素
volatility、 skewness 、gambling etc.

都开始被加入到
Some of these factors

对于股票回报率的这些研究之中
are beginning to be added to the stock returns for these studies

那么在不同的资本市场呢
In different capital markets

这个三因子模型也有不同的一些体现
this three-factor model also has different manifestations

但是我们通过对b-s期权定价模型
However we studied b-s option pricing model

和Fama-French三因子模型的研究
and fama-french three-factor model

只是为了帮助大家提供一些更多的工具和方法
just to help you provide some more tools and methods

事实上,在整个这个企业价值评估的体系里面
In fact, throughout the enterprise value evaluation system

虽然说DCF,也就是现金流折现方法
although DCF model ,namely the discounted cash flow method

是最主流的方法
is the mainstream method

折现率的这个预测和应用
the prediction and application of the discount rate is

也是最为困难最有技术含量的一部分
also the most difficult part of most technical content

但是事实上,整个金融工程 ,财务管理
but in fact ,the financial engineering, financial management

以及资本市场相应的这些估值方法的研究
and capital market the valuation methods of research

一直在持续不动地向前推进
has been continued to move forward

没有一种方法可以包打天下
there is no a way to fit all

可以解决所有的问题
can solve all the problems

我们一定要根据具体问题具体分析
we must according to the specific analysis

这部分的学习就到此结束. 谢谢大家
That's the end of this section. Thank you