沖壓成型機廠的投資決策分析-實質選擇權觀點

Investment Decision Analysis of A Press Manufacturing Company–A Real Option Approach

許進鴻(Jin-Hung Hsu)

指導教授 ： 林筠 ； 江炯聰

國立臺灣大學/管理學院/財務金融組/碩士(2008年)

https://doi.org/10.6342/NTU.2008.00144

摘要

本研究試圖以實質選擇權的觀點，對台灣主要工具機產業之一的績優公司，在海外進行製造國際化的據點設立，以及革命性新產品的研發與導入生產之整體投資案的決策彈性作探討。在實質選擇權分析(ROA: Real Option Analysis)的領域中，分析的方法主要引用CRR二項式模型。而應用選擇權的種類則涵蓋延遲、擴張、轉換，以及多重交互作用的結果。探討的目標採實務個案研究的方式，將決策情境妥善的逐一分析與評價(Valuation) 。本研究的成果，將投資案的分析予以結構化，並由簡入繁地得到具備各種決策彈性的專案真實價值(擴展淨現值)。更建立了一個完整的實質選擇權分析模型，可供相類似的投資決策引用。

關鍵字

實質選擇權分析 ； CRR二項式模型 ； 決策彈性 ； 擴展淨現值

並列摘要

This research is a real option approach to study a company’s investment project that will be run under some uncertainties such that there are many decision flexibilities to concern. In this project, the studied company, a major maker in Taiwan’s machinery industry, is going to build up a new factory in Mainland China and kick off an R&D activity for a revolutionary product that can be produced in the project operation period. In ROA (Real Option Analysis), CRR model is utilized to structure all of possible decision scenarios; in-depth studies are applied to real options to defer, to expand, to switch and their multiple interacting effects. The targeted real case and its decision scenarios are properly developed to reveal real world’s situations, and the expanded net present values for all scenarios are also determined for the valuation of the whole investment project. With those obtained results here, this research can be showing up the real expanded net present values of the project’s scenarios, and complete an ROA scheme for some other similar investments.

並列關鍵字

ROA (Real Option Analysis) ； CRR Binomial Option Pricing Model ； Decision flexibilities ； Expanded net present value

參考文獻

15. 黃繼賢、許溪南(指導教授)，實質選擇權在投資計劃評估之應用：統寶光電投資方案，國立成功大學企業管理學研究所碩士論文，民國91年。

25. 施其佑、陳瑞璽(指導教授)，股權結構、資本結構與公司價值關聯性之研究，大同大學事業經營學研究所碩士論文，民國94年。

37. Amram M. and Kulatilaka N., Real Options, Managing Strategic Investment in an Uncertain World, Oxford University Press, 1999.

39. Black F. S. & Scholes M., The Pricing of Options and Corporate Liabilities, Journal of Political Economy Vol. 81, 1973, pp.14-26.

40. Brennan M. and Schwartz E., Evaluating Natural Resource Investments, Journal of Business 58, No.2, 1985, pp.135-157.