高科技產業股票之評價－實質選擇權評價法

The Valuation of High-Tech Companies: A Real Options Approach

林家帆(Chia-Fan Lin) ； 陳威光(Wei-Kuang Chen) ； 郭維裕(Wei-Yu Kuo)

《管理評論》 21卷3期 (2002/01) Pp. 97-113

https://doi.org/10.6656/MR.2002.21.3.CHI.97

摘要

一般用來衡量企業實質價值的方法有三類：現金流量折現法、相對評價法（如本益比法）以及實質選擇權模型。傳統的現金流量折現法忽略了管理者的決策彈性；本益比法會受到盈餘品質的影響。由於高科技產業具有潛在獲利高而下方風險有限的特性，類似買權，因此本研究以實質選擇權法來評估高科技公司之股價，期能更真實地反映企業價值。本研究以Schwartz & Moon (2000)連續時間下的實質選擇權模型來評估台灣IC設計產業龍頭－威盛電子股份有限公司股票理論價值。根據威盛公司之相關歷史資料估計參數，代入模型求算理論股價，並與民國90年第一季實際股價比較，本文發現實際股價與理論股價346.54元相當接近。而由敏感度分析的結果發現影響威盛股價的四個關鍵參數，包括成本占收入之比率、賺取超額報酬之期間、企業終值和收入成長率隨機過程之回復平均速度。

關鍵字

實質選擇權 ； 企業評價 ； 高科技產業

並列摘要

The valuation of high-tech companies has been a controversial issue in the academic literature. Since high-tech companies have option-like characteristics and asymmetric payoffs, this study applies real-options pricing model by Schwartz and Moon (2000) to obtain the fair stock price of Very Innovative Architecture Technologies (VIA), the world's largest PC core logic chipset supplier with growing exposure to communications chips and microprocessors. After estimating the parameters and solving the model by Monte Carlo simulation method, the fair stock price of VIA Technologies is $346.54, which is close to the market prices in the first quarter of 2001. In addition, this study performs sensitivity analysis in order to determine those critical parameters that have significant effect on the fair stock price. As a result, we find that four critical parameters are cost-to-revenue ratio, horizon of the estimation, terminal value and speed of adjustment for the rate of growth process.

並列關鍵字

Real Options ； Business Valuation ； High-Technology Industry

參考文獻

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