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主要學歷 經歷 國企系 東華大學何謂實質選擇權
Real options is an important way of thinking about valuation and strategic decision making, and the power of this approach is starting to change the economic "equation" of many industries. (Amram & Kulatilaka, 1999)
實質選擇權為決策者對企業經營的決策進行評估時，提供動態的管理模式之一種嶄新的思考與運用方法。此種決策管理方法有別於傳統資本預算規劃的評估方法，利用金融選擇權的原理及機率動態規劃的數理方法，使決策者在不確定性環境下依循管理彈性法則進行策略之決策時參考的依據。
投資效益評估之方法
一、確定性環境下資本投資決策方式：靜態折現現金流量法
二、風險性環境下資本投資決策方式：投資效益之現值損益平衡分析、敏感度分析、
情境交替分析、統計分配法、模擬法、決策樹法
三、不確定性下資本投資決策方式：實質選擇權方法
實質選擇權之分類
|
種 類 |
說 明 例 |
適 用 產 業 |
參 考 文 獻 |
| 延後投資選擇(Option to Defer) | 管理者持有"標的物"的租賃或買入契約,可以在今後的規定年限前,以規定的條件承租或買入標的物. |
天然資源開鑿工業;土地開發產業;農產業; 造紙工業 |
McDonald & Siegel 1986; Paddock et al. 1988; Tourinho 1979; Titman 1985; Ingersoll & Ross 1992 |
| 階段投資選擇(Time-to-build Option; Staged investment) | 系列投資的產出影響今後投資的決定,複合式選擇權的應用. | R&D工業如製藥工業;高科技草創期;大型公共建設或電廠建設 | Majd & Pindyck 1987; Carr 1988; Trigeorgis 1993 |
| 變更操作規模選擇(Option to alter operation scale, e.g. to expand, to contract, to shut down and restart) | 隨外在市場狀況變化而做擴充,緊縮,暫停,重開等規模變更. | 天然資源工業;季節性設施規劃和建設;流行服飾成衣業;消費財;商業物件 | Trigeorgis & Mason 1987; Pindyck 1988; McDonald & Seigel 1985; Brennan & Schwartz 1985 |
| 放棄投資選擇(Option to abandon) | 永久放棄目前營運的選擇. | 交通事業;投資理財服務;不確定市場之新產品導入 | Myers & Majd 1990 |
| 交換投資選擇(Option to switch, e.g. outputs or inputs) | 隨價格或需求的變更,選擇不同的產出或投入方式彈性製造. | 產出方面:
投入方面:原料依賴工業;電力;化工;農作物;零件工業 |
Margrabe 1978; Kensinger 1987; Kulatilaka & Trigeorgis 1994 |
| 投資成長選擇(Growth options) | 早期投資是必需的或相關計劃是連結的,將來有成長的機會的投資選擇. | 基礎建設工業或策略工業(高科技,R&D,)複合產業或多國籍企業營運;策略性購併 | Myers 1977; Brealey & Myers 1991; Kester 1984, 1993; Trigeorgis 1988; Chung & Chjaroenwong 1991 |
| 交互策略投資選擇(Multiple interacting options) | 規避下方風險的策略投資組合 | 以上列舉工業皆適用 | Trigeorgis1993;Brennan & Schwartz 1985; Kulatilaka 1994. |
(參考Linos Trigeorgis編Real Options- Managerial Flexibility and Strategy in Resource Allocation, The MIT Press,1999, P2-P3)
實質選擇權之說明例
假設一石油公司預定執行某一石油開採計劃,開計劃為持有一年等待在未開發土地上鑽油合約的權利.該計劃期初需要開發成本(I1).另外,在完成基礎建設前需投入(I2)的建設成本.開鑿動作必須於基礎建設完成後始可開始.若在基礎建設期間若市場不景氣(石油價格大跌)則石油公司可選擇放棄往後的開採計劃.若市場景氣相對較差則可緊縮c%或(IC)的建設成本.相反,若市場景氣較預期的好,則可擴張x%或(IE)的建設成本.石油公司亦可在任何時間放棄開採計劃,則可得剩餘價值A.
一、延遲投資的選擇(Option to Defer Investment)
延遲投資的選擇可以讓石油公司在今後一年內依油價的漲跌情形判斷是否執行石油開採的計劃.當開採計劃的期望投資利益的現值為V時,執行開採時投資的機會價值為max(V-I1,0),亦即當期望投資利益的現值減去期初開發成本的差為正時始有機會價值.若機會價值不為正時,可以延後石油開採計劃在合約到期前繼續等待,直到機會價值呈現正時再執行開採計劃.此種決策模式為應用於高度不確定性或較長的投資計劃期如資源探勘工業,農牧業,製紙工業或不動產開發產業等.
二、階段投資期間不履行的選擇Option to Default during Staged Construction(Time-to-Build Option)
多數實際的投資計劃案之投資計畫案經費投入皆非單一的.當投入經費為階段性投入時,下一階段經費投入為視本階段產出結果為何而定.若本階段的結果不理想,則下一階段的經費投入可能不履行.此種決策模式為應用於R&D依存度高之工業,高度不確定性,長期開發,資本依賴高之產業,以及依賴創業投資之融資等高科技產業.
三、擴充投資之選擇Option to Expand
如果石油價格或市場狀況超過預期的情況,則可增加x%的開採成本或(IE).擴充投資的機會價值為V+max(x%V-IE,0).因此,唯有在x%V-IE為正時才有擴充投資之可行性發生.
四、緊縮投資之選擇Option to Contract
如果石油價格相對不景氣,則可減少c%的開採成本或節省開採成本(IC).緊縮投資之機會價值為max(IC-c%V,0);亦即當節省成本(IC)大於c%V時,緊縮投資價值為正,才執行緊縮投資之策略.
五、暫停或重開之選擇Option to Shut Down and Restart Operations
現實狀況下常因為石油價格波動大,造成投資收益的現金流量(C)未能比開採之變動成本(IV)來的大.故考慮邊際之經濟效益下行使暫停營運的選擇較為有利;亦即當max(C-IV,0)為正時,繼續開採,若為負時則暫停開採等待時機轉好時再重新開採.
六、考量剩餘價值之放棄選擇Option to Abandon for Salvage Value
石油公司可能由於契約到期或市場不景氣時,面臨處分資產的抉擇.在此,假設處分資產的剩餘價值為A,當石油公司判斷是否終止營業時考量的因素為max(V,A);亦即當繼續營業時的收益V必需比處分資產的剩餘價值大,但若反之時,則立刻執行資產的處分放棄繼續經營較為有利.
七、切換利用之選擇Option to Switch Use (e.g., Inputs or Outputs)
假設原油的提煉過程可藉由石油,天然氣,電力等能源使用,故在提煉石油之中下游產品時隨各種能源成本之變動,適時轉換提煉能源,已達降低提煉成本.故此為能源之切換選擇的利用.
八、公司成長之選擇Corporate Growth Options
石油公司由於市場景氣或擴充生產規模,必需另行其他投資計畫可利用公司成長的選擇模式進行分析與決策.
相關文獻及內容請參考 http://www.real-options.com
Books on Real Options
Project Flexibility, Agency, and Product Market Competition : New Developments in the Theory and Application of Real Options AnalysisMichael J. Brennan(Editor), Lenos Trigeorgis (Editor) / Hardcover / Published 1999
Martha Amram, Nalin Kulatilaka / Hardcover / Published 1998
Real Options : Managerial Flexibility and Strategy in Resource Allocation
Lenos Trigeorgis / Hardcover / Published 1996Lenos Trigeorgis(Editor) / Hardcover / Published 1995
Articles with a Theoretical Focus
Berger, P., E. Ofek, and I. Swary (1996) Investor valuation of the abandonment option, Journal of Financial Economics, Vol.42, No. 2, pp. 257-287.
Brennan, M. and E. Schwartz (1985) Evaluating natural resource investment, Journal of Business, Vol. 58, No. 2, pp. 135-157.
Cox, J.C. and S. A. Ross (1976) The valuation of options for alternative stochastic processes, Journal of Financial Economics, Vol. 3, pp. 145-166.
Gibson, R. and E. Schwartz (1990) Stochastic convenience yield and the pricing of oil contingent claims, Journal of Finance, Vol. 45, No. 3, pp. 959-976.
Kulatilaka, N. and E. Perotti (1998), Strategic growth options, Management Science, Vol. 44, No. 8, 1021-1031 ABSTRACT
Kulatilaka, N. and S. Marks (1988) The strategic value of flexibility: Reducing the ability to compromise, American Economic Review, June, pp. 574-580.
Majd, S. and R. Pindyck (1987) Time to build, option Value, and investment decisions, Journal of Financial Economics, No.18, pp. 7-27.
Mason, S. and R. Merton (1985) The role of contingent claims analysis in corporate finance, in Recent Advances in Corporate Finance, ed. by E. Altman and M. Subrahmanyam, Homewood, IL: Richard D. Irwin, pp.7 -54.
McDonald, R. and D. Siegel (1984) Option pricing when the underlying asset earns a below-equilibrium rate of return: A note, Journal of Finance, Vol. 34, No.1, pp. 261-265.
McDonald, R. and D. Siegel (1985) Investment and the valuation of firms when there is an option of shut down, International Economic Review, Vol. 28, No. 2, June 1985, pp. 331-349.
McDonald, R. and D. Siegel (1986) The value of waiting to invest, Quarterly Journal of Economics, November, pp. 707-727.
Pindyck, R. (1984) Uncertainty in the theory of renewable resource markets, Review of Economic Studies, April, pp. 289 - 303.
Pindyck, R. (1988) Irreversible investment, capacity choice, and value of the firm, American Economic Review, Vol. 78, No. 5, pp. 969-985.
Pindyck, R. (1993a) Investments of uncertain cost, Journal of Financial Economics, Vol. 34, pp. 53 - 76.
Pindyck, R. (1993b) The present value model of rational commodity pricing, The Economic Journal, May.
Pindyck, R. (1994) Inventories and the short-run dynamics of commodity prices, Rand Journal of Economics, March.
Tufano, P. (1996a) Who manages risk? An empirical examination of risk management practices in the gold mining industry, Journal of Finance, Sept., pp. 1097 - 1137
Articles with a Managerial Focus
Baghai, M., Coley, S., and White, D. with Conn, C., and McLean, R. (1996) Staircases to growth, The McKinsey Quarterly, Number 4, pp. 38-61
Baldwin, C. and K. Clark (1992) Capabilities and capital investment: New perspectives on capital budgeting, Journal of Applied Corporate Finance, Summer, pp. 67-87.
Baldwin, C. and K. Clark (1997) Managing in an age of modularity, Harvard Business Review, Sept.-Oct., pp. 84-93.
Copeland, T. and Keenan, P. (1998) Making real options real, The McKinsey Quarterly, Number 3, pp. 128-141
Copeland, T. and Keenan, P. (1998) How much is flexibility worth?, The McKinsey Quarterly, Number 2, pp. 38-49
Dixit, A. and R. Pindyck (1995) The options approach to capital investment, Harvard Business Review, May-June, pp. 105-115.
Froot, K. and D. Scharfstein and J. Stein (1994) A framework for risk management, Harvard Business Review, Nov.-Dec., pp. 91-102.
Hayes, R. and D. Garvin (1982) Managing as if tomorrow mattered, Harvard Business Review, May-June, pp. 71-79.
Kester, W. (1984) Today's options for tomorrow's growth, Harvard Business Review, March-April, pp. 153-160.
Kogut, B. and N. Kulatilaka (1994a) Options thinking and platform investments: Investing in opportunity, California Management Review, Winter, pp. 52-71.
Kogut, B. and N. Kulatilaka (1994b) Operating flexibility, global manufacturing, and the option value of a multinational network, Management Science, Vol.40, No.1, pp.123-139.
Kulatilaka, N. and A. Marcus (1992) Project Valuation Under Uncertainty When Does DCF Fail, Journal of Applied Corporate Finance, Fall 1992, pp. 92-100.
Kulatilaka, N. and N. Venkatraman (1998) Are You Preparing to Compete in the New Economy? Use a Real Options Navigator. Boston University Systems Research Center
Leslie, K. and Michaels, M. (1997) The real power of real options, The McKinsey Quarterly, Number 3, pp. 04-22
Luehrman, T. (1992, 1995) Arundel partners: The sequel project, Harvard Business School Case No. 292-140 and Teaching Note 295-118.
Luehrman, T. (1997) What's it worth?: A general manager's guide to valuation, Harvard Business Review, May-June, pp. 132 - 142.
Luehrman, T. (1998) Investment opportunities as real options: Getting started on the numbers, Harvard Business Review, July-August.
Mason, S. and R. Merton (1985) The role of contingent claims analysis in corporate finance, in Recent Advances in Corporate Finance, ed. by E. Altman and M. Subrahmanyam, Homewood, IL: Richard D. Irwin, pp.7 -54.
McDonald, R. (Forthcoming), Real options and rules of thumb in capital budgeting, in Flexibility, Natural Resources and Strategic Options, ed. by M. J. Brennan and L. Trigeorgis, Oxford: Oxford University Press.
Merton, R. (1997), Applications of option-pricing theory: Twenty-five years later, Nobel Lecture, December 9, 1997. Journal of Finance