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研究生:黃玉枝
研究生(外文):Yu-Chin Huang
論文名稱:以實質選擇權進行公司評價
指導教授:蕭朝興蕭朝興引用關係
指導教授(外文):Chao-shin Chiao
學位類別:碩士
校院名稱:國立東華大學
系所名稱:國際經濟研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:58
中文關鍵詞:實質選擇權公司評價
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傳統現金流量法對於風險因子的處理通常給予較高的折現率,忽略了公司的營運彈性,本文將依循 Schwartz and Moon (2001),針對國內公司進行研究及探討,並進一步試著解釋兩種方式的差別及適用性。
The DCF method was originally applied to project evaluation and later extended to whole companies. DCF method adjusts the uncertainty factors with RADRA (Risk-Adjusted Discount Rate Approach) and CEA (Certainty Equivalent Approach), which always ignore the operating flexibility. Recently, theoretical and computational advances have allowed finance practitioners to adopt financial option pricing techniques for valuation of investment decisions, so called real options. We try to follow Schwartz and Moon (2001) to apply the real option methods to the company valuation and try to analyze the difference between the DCF and real option method.
謝辭………………………………………………………………………I
摘要……………………………………………………………………...II

第壹章 緒論………………………………………………….………….1
1-1 研究背景………….……………………………….…………...1
1-2 相關理論………….……………………………….…………...5

第二章 理論模型建立……………………………………….………...9
2-1 模型構想…………………...…………………………………9
2-2 模型建立………………..………………………………..…...10

第三章 模擬研究設計及模擬結果……………………………………18
3-1 模擬研究設計………………………………………………...18
3-2 模擬結果……………………...………………………………25
3-3 實質選擇權價值與傳統NPV價值………………………….26
3-3 敏感性分析…………………………………………………...29

第四章 結論……………………………………………………………31

附錄一 ( TABLE )…………………………………………….………..32
附錄二 ( FIGURE )……………………………………………….……37
附錄三 公式推導……………………………………………….……...48
參考文獻………………………………………………………………..50
吳啟銘 (2000), 企業評價---個案實證分析,智勝文化出版。

謝劍平 (1999), 財務管理---新觀念與本土化, 智勝文化出版。

陳怡倫 (1996), 台灣電子產業上市公司股票評價模式之研究, 政治大學企業管理研究所未出版碩士論文。

李進生、謝文良、林允永、蔣炤坪、陳達新、盧陽正 (2001),
風險管理---風險值的理論與應用 清蔚科技股份有限公司出版事業部
出版。



Brennan, M. J. and Schwartz E. S. (1982), Consistent Regulatory Policy Under Uncertainty, The Bell Journal of Economics 13, 507-521.

Berger, P.G., Ofek E. and Swary, I. (1996), Investors Valuation of Abandonment Option, Journal of Financial Economics 42, 257-287.

Cox, J., Ingersoll, J. and Ross, S. (1985), A Theory of the Term Structure
of Interest Rates, Econometrica 53, 385-408.

Copeland, T., Koller, T. and Murrin, J. (1994), Valuation: Measuring and
Managing the Value of Companies, Wiley, New York.

Kellogg, D. and Charnes, J.M. (2000), Real Options Valuation for a
Biotechnology Company, Association for Investment Management and
Research, 76-84.
Londstaff, F.A., and Schwartz, E.S. (1998), Valuing American Options
by Simulation: A Simple Least-Squares Approach, Review of Financial
Studies 14, 113-147.

Laughton, D.G. and Jacoby, H.D. (1993), Reversion, Timing Options, and Long-Term Decision-Making, Financial Management 22, 225-240.

Myers, S.C. (1977), Determinants of Corporate Borrowing, Journal of
Financial Economics l5, 147-175.

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& Valuation 10, 4-18.

Pettengill, G.N., Sundaram, S. and Mathur, I. (1995), The Conditional Reation between Beta and Returns, Journal of Financial and Quantitative analysis 30, 101-116.

Ross, S.A., Westerfield, R.W. and Jaffe, J.F. (1996), Corporate Finance, Fourth Edition, McGraw-Hill, New York.

Hayes R. and Abernathy W. (1980), Managing Our Way to Economic Decline Harvard Business Review, 66-77.

Hayes R. and Garvin D. (1982), Managing if tomorrow Mattered, Harvard Business Review, 71-79.

Schwartz, E.S. and Moon, M. (2000), Rational Pricing of Internet Companies,
Financial Analysts Journal 56, 62-75.

Schwartz, E.S. and Moon, M. (2001), Rational Pricing of Internet
Companies Revisited, UCLA Working Paper.

Schwartz, E.S. and Trigeorgis L. (2001), Real Options and Investment Under Uncertainty, MIT, London England.

Trigeorgis, L. and Mason, S.P. (1987), Valuing Managerial Flexibility, Midland Corporate Finance Journal 5, 14-21.
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