實質選擇權在投資決策之應用 －以台電能源電為例－

The Application of Real Option on Investment Decisions Making： The Case of Taiwan Power Plant

甘東敏(Dong-Min Kan)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2004年)

https://doi.org/10.6840/cycu200400325

摘要

本研究利用Trigeorgis(1991)所提出之對數轉換二項式，將過去資本預算中所忽略的管理彈性加以量化。藉以將實質選擇權的觀念與A電廠投資計畫評估加以結合。在研究過程中並比較傳統之現金流量折現法與實質選擇權模式之適用性。
在投資案價值評量上傳統之淨現值法常會忽略當投資案面臨遞延、緊縮、擴張甚至放棄等情形時的管理彈性，而低估了投資案的真實價值。因此，本研究使用實質選擇權法去探討台電電廠投資案因停工而造成投資案遞延一年、考量投資效益而擴張投資幅度、和假設在用電需求下降下，將投資案予以緊縮以及多重選擇權考量，結果顯示所算出來的擴展淨現值(Expanded Net present Value,NPV)值均大於傳統淨現值，此即說明了管理彈性在投資計畫評估中的重要性與必要性，也亦證實了傳統淨現值法為考量管理彈性，而低估了投資計畫價值。
在敏感度分析方面：投資案收益的變動和標準差之變動與擴展淨現值成正相關，而無風險利率變動時，對擴展淨現值而言，是屬於負向關係的。

關鍵字

實質選擇權 ； 管理彈性 ； DCF法

並列摘要

This study utilized the log-transformed binomial method proposed by Tigeorgis(1991) to solve the problem of ignoring managerial flexibility in a traditional capital budgeting. This paper combined the concepts of real options and the investing evaluation of “A” power plant. We compared the traditional Discounted Cash Flow Model and Real-option Pricing Model related their suitability. In addition, this paper adoptd sensitivity analysis to analyze the characteristics of real options.
Traditional Net Present Value (NPV) always ignored situation such as Defer, Contract, Expand and Abandon Option. It is likely underestimate the value of investment. This paper considered those situation and uses Real-option Model to evaluate the value of “A” power plant. The result showd that the Expand NPV always bigger than traditional NPV. It means that the “Flexible Management” is very important and necessary in the evaluation of an investment. This result indicated that NPV Model ignored the “Flexible Management” so that it underestimates the value of an investment.
Finally, the result of sensitivity analysis shows that the changes of investment value and standard deviation had positive impacts on Expand NPV. Nominal risk-free rate changes had negative effects for Expand NPV.

並列關鍵字

Real Option ； Flexible Management ； Discounted Cash Flow Model

參考文獻

11.陳孟誼 (民國九十年)，台灣發電系統整體資源規劃，中原大學電機工程學系碩士論文。

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