Research On Expected Return Based On Time Series

In recent years,with the further deepening of the reform of the economic system in China,Chinese economic operation has shifted from a high-speed growth stage to a new era of high-quality development stage.At the same time,the development and improvement of the capital market has also accelerated the mutual benefit of information resources between enterprises.On this basis,a number of economic activities such as corporate mergers and acquisitions,corporate restructuring,etc.are developing,and the market's demand for corporate value assessment is increasing.At the same time,with the China Asset Appraisal Association revised and released the "Asset Assessment Practice Standards-Enterprise Value",both asset assessment agencies and asset assessment professionals will face new challenges in future corporate value assessments.The traditional enterprise value assessment mainly determines the intrinsic value of the enterprise through market channels,income channels and cost paths.In this three traditional methods,the income path is undoubtedly more suitable for enterprise value assessment and measurement,both in terms of the requirements of the association and the applicability of the market.Under the income path,the evaluation process of the enterprise value mainly shows the discounted value of the expected income amount during the continuous operation time of the enterprise,so as to obtain the intrinsic value of the enterprise.It involves the construction and measurement of the three indicators system of expected income index,discount rate and residual income year,and the screening and measurement of expected income indicators is the most complicated and important.Therefore,reasonable definition and revenue forecast play an important role in the evaluation of enterprise value.Based on the above background,this paper focuses on the related issues of how to measure and measure the expected return indicators under the income path.Under the background of the industry revised by the China Asset Appraisal Association on Article of the Asset Evaluation Professional Standards-Enterprise Value,this paper takes this opportunity as an opportunity to focus on the free cash flow indicators of enterprises in the expected income indicators.The free cash flow code is a representative type of expected income indicator as a specific research object to standardize and coordinate the differences and impacts caused by the different choices of corporate accounting policies,while satisfying the company's pursuit of more free cash flow rather than economy.Profit requirements.By comparing the advantages and disadvantages of traditional income forecasting methods,this paper introduces the concept of time series in econometrics into asset valuation,aiming to make a more reasonable and scientific prediction of expected income indicators.Based on the selection of corporate free cash flow as a specific predictive index,this paper uses single linear regression,vector autoregressive and autoregressive moving average models to predict and fit.In order to compare the final results,compared with the income prediction model,it is proved that the time series regression analysis is more scientific,systematic and complete for the measurement of expected income indicators,and can better serve the enterprise value evaluation to a certain extent.At the same time,this paper fully considers the feasibility and uniformity of the company's free cash flow forecast and time series forecasting,and finally selects Wuliangye Yibin Co.,ltd.in the liquor industry as the specific case analysis object.In order to avoid the market premium effect of the A-share market on liquor companies such as Kweichow Moutai,Wuliangye Company can be supported by more complete historical financial data,which is more in line with the company's free cash flow forecast and time series requirements.