基于资本资产定价模型的森林资源资产评估基准折现率测算

doi:10.18402/resci.2019.03.14

资源科学 ›› 2019, Vol. 41 ›› Issue (3): 572-581.doi: 10.18402/resci.2019.03.14

基于资本资产定价模型的森林资源资产评估基准折现率测算

董敏^1,²(), 陈平留¹, 张国防¹()

1. 福建农林大学林学院,福州 350002
2. 西南林业大学林业调查规划设计研究院,昆明 650224

收稿日期:2018-09-03 修回日期:2018-11-02 出版日期:2019-03-20 发布日期:2019-03-20
作者简介:
作者简介：董敏,男,湖南株洲人,博士研究生,副教授,研究方向为森林资源资产评估、林业经济管理。E-mail: dongmin@mail.kib.ac.cn
基金资助:
国家自然科学基金国际（地区）合作与交流项目（41661144002）; 教育部人文社会科学重点研究基地重大项目（16JJD850015）; 云南省教育厅科学研究基金项目（2015Y306）

Benchmark discount rate calculation for forest resource asset valuation via capital asset pricing model

Min DONG^1,²(), Pingliu CHEN¹, Guofang ZHANG¹()

1. College of Forestry, Fujian Agriculture and Forestry University, Fuzhou 350002, China
2. Academy of Forest Inventory and Planning, Southwest Forestry University, Kunming 650224, China

Received:2018-09-03 Revised:2018-11-02 Online:2019-03-20 Published:2019-03-20

摘要/Abstract

摘要：

折现率是森林资源资产评估中对评估结果有重大影响的参数,也是最难以确定的参数。本文引入资本资产定价模型,在定量计算无风险收益率、市场风险溢价和营林行业市场风险系数的基础上,对森林资源资产评估中的基准折现率进行了测算。结果显示,以2016年12月31日为评估基准日,森林资源资产评估中的无风险收益率为1.84%;市场风险溢价为2.88%,市场风险系数为0.92,风险收益率为2.65%;基准折现率为4.50%。根据评估基准日基准折现率测算结果,结合已有研究成果,建议森林资源资产评估中基准折现率的取值为5.0%,其中无风险收益率为2.0%、风险收益率为3.0%,风险收益率中经营风险、财务风险和行业风险取值均为1.0%。但不同经营类型、目标和特点的森林资源资产评估,应以基准折现率为参考设定评估实务中采用的具体折现率。

关键词: 森林资产基准折现率, 资本资产定价模型, 无风险收益率, 市场风险溢价, 市场风险系数

Abstract:

Discount rate has a significant impact on the assessed value of forest resource asset and is a parameter whose value is most difficult to determine. Applying a capital asset pricing model, and based on quantitative calculation of risk-free rate of return, market risk premium, and market risk coefficient of forestry industry, this study empirically calculated the benchmark discount rate for forest resource asset valuation. The result shows that, taking 31 December 2016 as the base date of valuation, the final benchmark discount rate for forest resource asset valuation was 4.50%, among which, risk-free return rate was 1.84%, market risk premium was 2.88%, market risk coefficient was 0.92, and risk return rate was 2.65%. According to the calculation result of benchmark discount rate on the valuation date combined with existing research results, this article suggests that, without considering valuation date, the general value of the benchmark discount rate for forest resource asset valuation is 5.0%, among which, risk-free return rate is 2.0%, risk return rate is 3.0%, and the value of operating risk, financial risk, and industry risk in the risk return rate is 1.0% respectively. However, specific discount rates used in practical forest resource asset valuation with different types of businesses and operation objectives and characteristics could be different, and the setting of specific discount rates in practice should take the general discount rate as the reference.

Key words: benchmark discount rate of forest asset, capital asset pricing model, risk-free return rate, market risk premium, market risk coefficient

董敏, 陈平留, 张国防. 基于资本资产定价模型的森林资源资产评估基准折现率测算[J]. 资源科学, 2019, 41(3): 572-581.

Min DONG, Pingliu CHEN, Guofang ZHANG. Benchmark discount rate calculation for forest resource asset valuation via capital asset pricing model[J]. Resources Science, 2019, 41(3): 572-581.

图/表 5

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参考文献 19

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国债名称	期限/年	剩余期限/年	到期收益率/%	国债名称	期限/年	剩余期限/年	到期收益率/%
2016国债19	30	29.69	4.49	2011国债05	30	24.19	3.87
2016国债08	30	29.36	4.49	2010国债40	30	23.98	4.23
2015国债25	30	28.85	3.74	2010国债26	30	23.67	3.96
2015国债17	30	28.62	4.45	2010国债23	30	23.62	3.35
2014国债25	30	27.87	4.30	2010国债18	30	23.51	4.03
2014国债16	30	27.61	4.76	2010国债03	30	23.21	4.08
2013国债25	30	26.98	3.76	2009国债25	30	22.81	4.54
2013国债19	30	26.75	4.20	2009国债05	30	22.29	4.02
2012国债13	30	25.63	4.12	2008国债20	30	21.83	3.91
2012国债12	30	25.53	3.94	2008国债06	30	21.37	4.50
2011国债16	30	24.52	4.15	2007国债06	30	20.42	4.27

年份	沪深300年末收盘指数	股市收益率/%	一年期定期存款利率/%	名义市场风险溢价/%	通货膨胀率/%	实际市场风险溢价/%
2004	1000.00
2005	923.45	-7.65	2.25	-9.90	1.80	-11.70
2006	2041.05	121.02	2.35	118.67	1.50	117.17
2007	5338.28	161.55	3.21	158.34	4.80	153.54
2008	1817.72	-65.95	3.92	-69.87	5.90	-75.77
2009	3575.68	96.71	2.25	94.46	-0.70	95.16
2010	3128.26	-12.51	2.30	-14.81	3.30	-18.11
2011	2345.74	-25.01	3.28	-28.29	5.40	-33.69
2012	2522.95	7.55	3.24	4.31	2.60	1.71
2013	2330.03	-7.65	3.00	-10.65	2.60	-13.25
2014	3533.71	51.66	2.97	48.69	2.00	46.69
2015	3731.01	5.58	2.12	3.46	1.40	2.06
2016	3310.08	-11.28	1.50	-12.78	2.00	-14.78
几何平均数		10.49	2.70	7.10	2.70	2.88

公司名称	上市时间	2012—2016年主营业务范围及累积收入比例/%
公司名称	上市时间	营林	人造板	其他
广西丰林木业集团股份有限公司	2011-09-29	5.01	88.39	6.59
中福海峡（平潭）发展股份有限公司	1996-03-27	8.73	62.66	28.61
福建省永安林业（集团）股份有限公司	1996-12-06	9.30	45.00	45.70
吉林森林工业股份有限公司	1998-10-07	18.57	66.58	14.85
福建金森林业股份有限公司	2012-06-05	100.00

期数	日期	沪深300 指数	市场整体收益率/%	广西丰林		中福海峡		永安林业		吉林森工		福建金森
期数	日期	沪深300 指数	市场整体收益率/%	收盘价/元	收益率/%	收盘价/元	收益率/%	收盘价/元	收益率/%	收盘价/元	收益率/%	收盘价/元	收益率/%
1	2012-01-31	2 464.26	5.05	9.88	10.76	4.92	-1.99	4.97	-6.75	6.50	-2.99	-	-
2	2012-02-29	2 634.14	6.89	11.29	14.27	6.34	28.86	5.91	18.91	7.38	13.54	-	-
3	2012-03-30	2 454.90	-6.80	11.82	4.69	4.66	-26.50	5.11	-13.54	7.31	-0.95	-	-
4	2012-04-27	2 626.16	6.98	10.11	-14.47	6.20	33.05	5.88	15.07	7.42	1.50	-	-
5	2012-05-31	2 632.04	0.22	5.36	-46.98	5.90	-4.84	9.77	66.16	7.30	-1.62	-	-
6	2012-06-29	2 461.61	-6.48	6.45	20.34	5.47	-7.29	7.78	-20.37	6.74	-7.67	-	-
7	2012-07-31	2 332.92	-5.23	5.79	-10.23	4.24	-22.49	6.22	-20.05	5.50	-18.40	9.47	-21.35
8	2012-08-31	2 204.87	-5.49	4.52	-21.93	4.28	0.94	7.79	25.24	5.76	4.73	10.25	8.24
9	2012-09-28	2 293.11	4.00	4.56	0.89	4.48	4.67	9.56	22.72	5.58	-3.13	10.11	-1.37
…	…	…	…	…	…	…	…	…	…	…	…	…	…
57	2016-09-30	3 253.29	-2.24	8.50	-0.47	7.50	-12.49	14.16	7.93	12.10	0.00	26.77	2.18
58	2016-10-31	3 336.28	2.55	9.04	6.35	7.93	5.73	13.91	-1.77	12.10	0.00	43.08	60.93
59	2016-11-30	3 538.00	6.05	9.32	3.10	7.28	-8.20	14.96	7.55	12.10	0.00	50.30	16.76
60	2016-12-30	3 310.08	-6.44	9.40	0.86	6.76	-7.14	16.85	12.633	12.10	0.00	39.84	-20.80

序号	项目	广西丰林	中福海峡	永安林业	吉林森工	福建金森
1	可比林业上市公司与市场收益率的协方差	0.292 6	0.480 1	0.351 1	0.195 5	0.341 9
2	市场收益率方差	0.375 3	0.375 3	0.375 3	0.375 3	0.354 8
3	可比林业上市公司杠杆β系数	0.78	1.28	0.94	0.52	0.96
4	可比林业上市公司加权所得税税率/%	14.90	21.30	21.60	18.60	0.00
5	可比林业上市公司5年平均资产负债率 /%	14.17	23.20	64.05	61.98	49.20
6	可比林业上市公司无财务杠杆β系数	0.70	1.08	0.63	0.35	0.64

基于资本资产定价模型的森林资源资产评估基准折现率测算

Benchmark discount rate calculation for forest resource asset valuation via capital asset pricing model

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