Sun Yat-Sen Management Review  2003/9
Vol. 11, No.3 p.571-596
National Cheng-Chi University , Department of Accounting, Jinwen University of Science and Technology
本文應用實質選擇權分析法探討廠商最適投資決策問題。當投資計畫具有 不可回復性、時間選擇性及現金流量不確定性時,傳統淨現值法無法評價投資 計畫的時間與營運彈性,因而低估投資計畫價值。本文之特性在於同時將產品 生命週期以及市場獨占力之影響納入模型中。我們所得之最適投資時點將比淨 現值法延後,但是比McDonald and Siegel(1986)模型提前。最後,本文利用數 值方法探討影響最適投資決策的決定因素。本文發現,當廠商獨占力量愈大、 產品生命週期愈長、不確定程度增加、折現率較低以及當成本與收益函數有負 相關時,都會提高投資的門檻及其實質選擇權價值,導致最適投資時點往後延 遲。
(633537154782031250.pdf 32KB)不可回復性、產品生命週期、實質選擇權
This paper applies a real options approach to analyze optimal investment decision. When the investment projects have the characteristics of irreversibility, uncertainty and the ability to wait, the traditional Net Present Value (NPV) method will 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 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 (l )the market power is larger, (2)the product life is longer, (3)the uncertainty is larger, (4)the discount rate is lower, and (5)the correlation between cost and revenue is more negative.
(633537154782031250.pdf 32KB)Irreversibility, Product Life Cycle, Real Options Approach
傳統的淨現值法低估投資決策的最適門檻,無法掌握到管理決策的彈性價值,使得廠商發生投資過早或放棄值得投資之計畫。雖然實質選擇理論在於突顯管理決策的彈性價值,但是本文進一步煮出廠商的投資決策尚須考慮產業特性,如產品的生命週期與市場需求彈性的因素,如此才能正確評估管理決策的彈性價值。本文結果顯示出當產品生命週期越短,如某些高科技產業,應投;投資;而產品的市場獨佔力越弱,責產品的選擇權價值越低,因此廠商應提前投資;最後,不確定性增加,將提高投資門檻(實質選擇權價值),因此將延緩投資計劃的進行。由此可知,穩定的經濟環境是提高投資意願的重要因素。