生命周期视角下增长期权对企业估值和资产风险收益特征影响的研究

The market valuation of firms usually exhibits significant life cycle characteristics. Different from the literature mainly focusing on assets-in-place, this research aims to provide a brand new explanation for the change of valuation by investigating the role of growth opportunities (growth options) in the life cycles of firms. The issues include how the exercise and creation of growth options dynamically affect asset structure, market valuation and risk-return features of firms, and how financial constraints, divestiture, social and political factors affect the role of growth options in the lifecycles of firms. The main contribution of this research is to investigate the dynamic relation between growth options and firm valuation from the perspective of life cycle. By modeling the growth opportunities and the creation of growth opportunities as a series of real options (including calls and compound options) changing with the process of life cycles, this research aims to reveal the dynamic impacts of growth options on the valuation and risk-return characteristics of firms, and thus the nature of firms' sustainable growth. In addition to enriching and developing the theories and approaches of corporate finance, asset pricing and real options by providing a new explanation for the life cycle characteristics of firm valuation, the research can provide important and practical references for firms to seize and create growth opportunities effectively and thus promote firms to improve innovative capabilities and competitiveness.

企业的相对估值通常呈现出显著的生命周期特征。与现有研究主要关注在位资产不同，本项目将通过考察增长机会（增长期权）的作用来提供全新的解释。研究内容包括：企业生命周期中增长期权的执行和创造对企业的资产构成、相对估值和风险收益特征的动态影响以及融资约束、资产剥离、社会政治环境等因素如何影响增长期权的作用等一系列具有重要学术价值与应用前景的前沿问题。研究特色和创新在于：通过将企业面临的增长机遇和增长机会的创造分别描述为一系列随生命周期动态变化的看涨期权与复合期权（包括交换期权），从生命周期的视角研究增长期权与企业价值的动态关系，进而揭示企业持续增长的本质原因。本项目的研究不仅能更好地解释企业的相对估值随生命周期进程发生变化的规律，丰富和发展公司金融、资产定价、实物期权等领域的理论和方法，还可以为企业如何有效把握增长机遇和创造增长机会提供直接和重要的参考依据，进而促进企业提高创新能力和竞争力。

增长期权和在位资产是企业资产的基本构成。本项目从增长期权随企业生命周期动态变化的视角，系统、深入地研究了增长期权执行与创造共同作用下企业市场估值和资产风险-收益特征随生命周期的变化规律，以及并购与资产剥离、高管股权激励、企业交叉持股网络等的增长期权创造作用及其影响，并在“资产端→负债/权益端”的框架下扩展研究了嵌入于在位资产的收缩灵活性和运营杠杆对资产定价的影响、增长期权执行与在位资产收缩决策对财务杠杆的影响等具有重要学术价值和应用前景的问题。本项目圆满并超额完成了预期的研究目标，研究成果不仅从增长期权和生命周期的动态关系揭示了企业估值和资产风险-收益特征的规律性变化，进而企业价值实现和持续增长的本质原因，还从增长期权创造对资产定价的动态影响指出了企业把握和创造增长机会的主要手段与关键因素。项目成果不仅积累和产生了重要的学术影响，还培养了一支具有发展潜力的人才梯队，项目组成员先后在《Asia-Pacific Journal of Financial Studies》、《管理科学学报》等国际国内重要学术刊物发表论文13篇，参加国际国内学术会议14人次（含1次特邀报告和3篇优秀会议论文），境外短期学术访问2人次，培养博士生4名和硕士生9名。