臺灣博碩士論文加值系統

本文主要探討創業投資活動中，有關於投資決策以及投資價值評估等重要評估項目所面臨的問題及解決策略。本文將針對高資本支出、研發時間較長以及未來產品價格波動性高的高科技產業創業投資為目標，藉由應用實質選擇權的方式，評估高科技公司的實際投資價值，並計算出此投資計畫中包含的單一及多重實質選擇權的價值。本文更進一步以第五代TFT-LCD面板製造廠的投資個案為例，探討包括遞延、擴充規模、縮小規模等單一實質選擇權，以及多種實質選擇權組合對投資價值的變化影響，從而建立一套簡易及實用的投資分析財務評估模型，提供決策人員作為參考依據。
本文也以TFT-LCD五代廠投資個案為例，提供各項實質選擇權之計算實例並進一步對面板價格波動、生產良率以及利率水準等進行敏感度分析。從實際計算結果，各項選擇權具有以下的特性：
1. 擴充選擇權價值隨著面板價格波動加大而大幅增長，擴充選擇權價值也因生產良率提高而快速增加。由於TFT-LCD產業價格波動性高以及產品世代交替快，擴充選擇權提供各家擴充產能的充分誘因。此項結果與近來各大面板廠相繼擴充產能與提昇技術之觀察符合。
2. 遞延選擇權的價值將隨著面板價格波動加大而遞減，但會隨著生產良率提高而增加，其變化幅度屬於中等程度。遞延選擇權對利率水準的變化則呈現凸型曲線現象，其價值最高點出現在曲線中間。
3. 收縮選擇權是所有選擇權中價值最小，且價值遠低於擴充選擇權。這項結果間接顯示了，縮小經營規模對TFT-LCD產業而言是較不具價值且不利於競爭。
4. 在個案實例中，多重選擇權的價值並不等於個別選擇權價值的加總，而是小於個別選擇權價值的加總，這是由於個別選擇權之間具備負相關的影響所致。

This thesis explores the venture capital investment in high tech company with large capital expenditure, high technical barrier and high market uncertainty. This thesis uses TFT-LCD 5th generation production line as example and further identified the uncertainties embedded in TFT-LCD production line investment. By using the real option approach, the managerial flexibility can be addressed properly for maximum investment return. We also provided a numerical example to provide company executives practical reference in decision-making.
From the numerical examples, we had demonstrated that the option embedded in the TFT-LCD production line build up provided high values for flexibility. We examine options included defer, expand, contract, and combined multiple options. Among these options examined, we find that:
 Option to expand grows more sharply as compare to volatility and yield rate change. This implies that company tends to expand capacity when volatility goes higher and output yield improved.
 Option to defer decreases its value when volatility increases; increases its value when output yield increases. As for interest rate sensitivity, option to defer has its maximum option value at 10% and decreases as interest rate decreases and increases.
 Option to contract value is small when compares with other options. It increases its value as volatility increases. It decreases its value as interest rate and output yield decreases.
 Combined multiple options value (defer + expand + contract) is smaller than the sum of single option. This is due to the negative interaction effect among single option.
It is this thesis’ intention to provide a simple and practical valuation model for venture capital investment. By using real option approach, we can easily capture the flexibility value in venture capital investment with high capital expenditure such as TFT-LCD production line investment.

謝詞 i
論文摘要 ii
Thesis Abstract iii
Table of Contents iv
List of Tables vi
List of Figures vii
Chapter 1 Introduction 1
Research Background and Purpose 1
Research Architecture 2
Venture Capital Investment Stages 2
Venture Capital Investment Activities 3
Venture Capital Investment Issues 4
Chapter 2 Literatures Review 5
Literatures in Venture Capital Investment 5
Literatures in Real Option 6
Real Options Model Summary 8
Chapter 3 Model Development 10
TFT-LCD investment project description and assumption 10
(1) Option to defer: 11
(2) Option to alter operating scale (expand or contract): 12
(3) Option to switch output: 13
(4) Multiple options: 13
Binomial tree model 14
Real option model for TFT-LCD 14
(1) Base case value calculation 14
(2) Identifying options and value analysis 15
(3) Multiple options value analysis 16
Chapter 4 Real Option Approach for TFT-LCD Investment 17
TFT-LCD Industry Outlook 17
Crystal Cycle of TFT-LCD Industry 18
Technology Trend and Output Flexibility 20
Uncertainties in investment of TFT-LCD 5th generation production line 22
A Numerical Example 23
(1) Option to expand at operation phase 24
(2) Option to contract at operation phase 25
(3) Option to defer at construction phase 26
(4) Multiple options 27
(5) Combined options 27
Chapter 5 Sensitivity Analysis 29
Panel price volatility sensitivity (r = 5%) 29
Further Examination 30
Interest rate sensitivity (σ=20%) 33
Further Examination 33
Output yield sensitivity analysis (σ=20%, r=5%) 36
Chapter 6 Conclusion 38
Future study 39
Appendix A 40
References 41

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