Optimal Investment Decisions under Product Life Cycle and Market Power: A Real Options Approach

產品生命週期與市揚力量下的最佳投資策略：實質選擇權分析法

鄭宗松(Johnson T. S. Cheng) ； 姜一銘(I-Ming Jiang) ； 陳伯源(Po-Yuan Chen)

《管理學報》 28卷4期 (2011/08) Pp. 379-402

https://doi.org/10.6504/JOM.2011.28.04.05

摘要

本論文採用實質選擇權法來分析最佳投資策略。當投資專案具有不可回復性、不確定性與進入退出選擇權時，傳統淨現值法(NPV)會低估投資專案的價值，因為它低估了等待與管理彈性的價值。而本論文的貢獻在於將産品生命週期與市場力量整合至實值選擇權的投資決策模型中。研究結果顯示：當我們考慮産品生命週期與市場力量時，投資專案的最佳投資等候時間比McDonald and Siegel (1986)的未考慮股利率的美式選擇權之等候時間更為縮短。最後，我們採用模擬的數值法來分析影響最佳投資策略的相關因素。結果顯示，在下列情況下，專案的投資門檻比值將提高，也導致最佳進入時間點必須延後：(1)産品生命週期較長時，(2)不確定性較大時，(3)折現率較小時，(4)市場力量較大時，(5)成本與收入越為負相關時。然而，在不同型態的市場需求下，較大的市場力量將使得非體驗性産品（體驗性産品）的投資門檻比值較小（大）。

關鍵字

産品生命週期 ； 市場力量 ； 實質選擇權法 ； 不可回復性

並列摘要

This paper employs a real options approach to analyze optimal investment decision. When the investment projects have the characteristics of irreversibility, uncertainty and the option to wait or exit, the traditional Net Present Value (NPV) method would underestimate the value of investment, since it neglects the values of timing and operational flexibility. The distinctive feature of this paper is that the effects of product life cycle as well as market power are incorporated into the model. It is shown that the optimal waiting of the investment is shorter than the American call options model of McDonald and Siegel (1986), which does not incorporate dividend yield in their model. Once product life cycle and market power are incorporated, the optimal waiting of the investment is shorter than the models of McDonald and Siegel (1986). Finally, a numerical method is used to analyze the determinants of optimal investment decision. Our results indicate that the investment-ratio threshold will be higher and thus the optimal entry time of the investment will delay when (1) the product life cycle is longer. (2) the uncertainly is larger. (3) the discount rate is lower. (4) market power is larger and (5) the correlation between cost and revenue is more negative. However; in different types of market demand, the market power is larger and makes investment-ratio threshold smaller (larger) with non-experienced (experienced) goods.

並列關鍵字

Market Power ； Product Life Cycle ； Real Options Approach ； Irreversibility

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