實質選擇權投資風險管理與應用 —以上海新天地飯店投資案為例

An Application of Real Option on the Case of Hotel Investment Ananlysis in Shanghi

陳天健(Tian-Chien Chen)

指導教授 ： 邱忠榮

淡江大學/商學院/財務金融學系碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00757

摘要

就投資者的立場而言，ㄧ個投資決策的主要考量在於風險與報酬的衡量，而估計風險與報酬的方法眾多。在傳統上，有淨現值法(NPV)，內部報酬法(IRR)，還本期間法，會計報酬法等。這些規劃方法在觀念上簡單易懂，但在實務上明顯缺乏彈性。為克服傳統財務規劃法的缺點，具動態彈性實質選擇權分析法在1970年末期開始為企業界廣泛的運用於主要投資決策上，並在日常實務中獲得良好的結果。中國大陸土地皆屬國有。個人無法擁有所有權。但個人可以承租地上權來供各種用途使用。俟租賃期限結束，個人即無法對該土地的使用主張任何權利。相對亦無任何價值。旅館事業為一特殊行業，它和建築事業有些類似。這兩種行業相同處在前期將鉅大的資本支出執行完畢。不同處，旅館業需開始經營才有收入。這些特點對用傳統NPV法估計前期的價值又有何影響？若加入彈性情境以實質選擇權分析法又會有什麼變化？這些問題值得我們做更詳盡的探討。

關鍵字

淨現值法 ； 實質選擇權分析法

並列摘要

On the grounds of an investor, the main evaluation on the investment lies in the estimate of risks and profits. In fact, approaches are quite diverse .Traditionally, there are NPV, IRR, payback period method, Accounting Rate Return Method and ect. These projects are brief and simple conceptually, but in practice they are non- flexible .With a view to tackling the drawbacks of conventional finance project. Real option, which is far more flexible, started to be adapted in major investments in the late 1970s. Meanwhile, it works in many other aspects. In China mainland, all land is nationalized and can't be claimed by an individual. Instead, land can be on loan for various purposes. As soon as a lease runs out, nobody is allowed to claim his right. Hotel industry is special, but it is similar to construction industry in some respects. Both are supposed to pay most cost in the initial stage. On the other hand, the former can't bring in until it opens. What impact on the initial value does NPV exert? What will happen if real option should be practiced? These questions above are worth further exploration.

並列關鍵字

Net Preent Value ； Real Option Analysis

參考文獻

張金鶚，1997，房地產投資決策與分析，華泰書局

Black, F. and Scholes, M., 1973, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy, Vol. 81, pp.637-654

Myers, S.C., 1977, “Determinants of Corporate Borrowing” Journal of Financial Economics, vol. 5, no. 2, pp. 147-175

Cox J.C., Ross S. A. and Mark R., 1979, “Option Pricing: A Simplified Approach”, Journal of Financial Economics, October, pp. 229-263

Geske, R. 1979, “The Valuation of Compound Options”, Journal of Financial Economics, vol. 7, pp. 63-81.