Research On Stock Pricing Of Listed Companies With Losses Based On Schwartz-Moon Model

Loss listed companies is one of the focuses of the industry and academics.Among the studies on the value of stocks,some scholars have pointed out that "loss does not necessarily mean falling stock prices".It means that for the majority of investors,loss companies are not necessarily without investment value.Thus how to reasonably evaluate the value of these stocks to give investors practical advice becomes an urgent problem to be solved.In terms of stock pricing,loss companies usually have negative profits and no dividends,which cannot be applied to the conditions of traditional models.Most researches follow factor model and arbitrage pricing theory to indirectly estimate stock returns,there are few direct quantitative analysis.Therefore,this paper adopts real options model to directly estimate stock value of all loss companies with Chinese A-share through Monte Carlo simulation,in order to solve the problem that current academic research cannot provide practical investment advice.Different from case studies in previous literature,this paper adopts cross-sectional data of China's loss companies to realize simultaneous estimation of multiple stocks while fully verifying the pricing effect of the model;Auto-regressive model is used to determine initial value of the half-life parameter for each industry to improve accuracy.Empirical research found:(1)Schwartz-Moon model is suitable for stock pricing of loss companies.Among all loss companies,it is more applicable to recognize those with investment value;compared with short-term value,the model is more suitable for the judgment of long-term value.(2)Loss companies have a certain investment value for investors,only a few of them face a high probability of bankruptcy,Schwartz-Moon model can quickly identify them.(3)There are industry differences in the applicability of model.It is more suitable for information transmission software and information technology services,construction industry,electric heat gas and water production and supply,agriculture,forestry,animal husbandry and fishery,water environment and public facilities management,mining,transportation,warehousing and postal services and some industries in manufacturing;and is not suitable for real estate,wholesale and retail,Cultural and sports and entertainment,textile and apparel industry,non-metallic mineral products industry,non-ferrous metal smelting and rolling processing and food manufacturing.This paper is expected to have a certain reference value for the stock valuation of loss listed companies in China.