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研究生:林偉傑
研究生(外文):Wei-Chieh Lin
論文名稱:新創公司之鑑價-實質選擇權法
論文名稱(外文):Valuation of Start-Ups: Real Opitons Approach
指導教授:楊屯山楊屯山引用關係
指導教授(外文):Jerry T. Yang
學位類別:碩士
校院名稱:國立清華大學
系所名稱:科技管理研究所
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:中文
論文頁數:88
中文關鍵詞:實質選擇權新創公司企業鑑價創新最小平方蒙地卡羅模擬法
外文關鍵詞:Real OpitonsStart-upBusiness ValuaitonInnovationLeast Squares Monte Carlo Simulation (LSM)
相關次數:
  • 被引用被引用:7
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  • 評分評分:
  • 下載下載:157
  • 收藏至我的研究室書目清單書目收藏:5
本計畫以實質選擇權法 (real options approach) 的概念,將新創公司 (start-ups) 所擁有的選擇權特性 (遞延選擇權、擴張選擇權與放棄選擇權) 納入公司價值的評鑑。根據這些選擇權之間的順序關係,利用最小平方蒙地卡羅模擬法 (least squares Monte Carlo simulation) 依序計算出其價值。同時,本文在定價新創公司的過程中,同時考量下列五個重要的因子:(1) 市場的競爭狀況,(2) 等待的機會成本,(3) 潛在競爭者進入的頻率,(4) 未來研發成功的機會,和 (5) 不同營運模式的影響。在考量上述選擇權與五個重要因子下,同時以實質選擇權法與傳統現金流量折現法 (DCF method) 來評價新創公司的價值。
本研究的貢獻有五:首先,我們建議一個評價新創公司的模型,除了考量新創公司三種選擇權的性質外,還納入上述五個市場競爭性與策略性的因子。第二, 提供資訊給公司創辦人做合理的決策,如併購或股票公開上市 (IPO)。第三,模擬的結果,對於具有選擇權性質的無形資產或管理決策的價值能有所闡述,並且舒緩新創公司與資本提供者間資訊不對稱的現象。第四,探討在何種情境下,淨現值法將無異於實質選擇權法。最後,在特定的參數設定下,我們陳列出每一種選擇權的會被執行的機率。這些預測,在設計具有選擇權特性之契約時,可以做為參考的依據。
我們所評價的新創公司,是一家在台創立,且正與一S&P500公司商談相關策略聯盟或併購事宜。經由模擬分析的結果得知,涵蓋五種因子所建構的完整模型 (full model),相對於其他形式的模型穩健 (robust)。由敏感度分析結果來看,期初營收、期初成長率、平均回復速度、新競爭者進入的影響與未來研發成功的可能性都是相對關鍵的參數。以這些參數做不同的情境模擬時,當期初營收、期初成長率都在悲觀的設定狀態下,選擇權價值會接近零。不過在中立的情況下,實質選擇權法所估測出的新創公司價值會比一般淨現值法高約44 % ~ 61 %左右。
This paper exploits real options approach to evaluate start-ups with three option-like features embedded: options to defer, expand, and abandon. Based on the sequence and interactions among those options, we use the Least Squares Monte Carlo Simulation to price the options accordingly. Meanwhile, five key factors are considered simultaneously: (1) market competition, (2) opportunity cost of waiting, (3) potential competitors’ entrance, (4) growth opportunity of further and related research, and (5) the impact of different business models chosen by the entrepreneur. Given all possible combinations of option types and five factors mentioned above, we evaluate a start-up in Taiwan by both real option approach and traditional DCF method.
The contribution is fivefold. First, we propose a valuation model for start-ups while considering not only three options embedded but also five key factors regarding market competition and strategic considerations. Second, we provide information for entrepreneurs to make rational decisions in a case of merger, acquisition, or IPO (initial public offering). Third, our simulation results shed light on valuation of intangible assets and/or managerial decisions with option-like features and on the information asymmetry between entrepreneurs and fund providers. Fourth, we provide predictions about the conditions under which traditional DCF method is as good as real options approach. Finally, under certain parameter settings, we specify the probability that each of the three options will be exercised. These predictions can be used for designing an option-based contract with a predetermined strike price. To verify these predictions will be an interesting empirical exercise.
We initiate this project upon an invitation by a start-up in Taiwan, who is negotiating with an S&P 500 firm in a case of strategic alliance or acquisition. Our results show that the full model which incorporates five factors mentioned above is more robust than others. From sensitivity analysis, we find that key parameters are initial revenue, initial growth rate, mean-reversion speed, the effect of new entrants (competitors), and the likelihood of success in further and related research. From a scenario simulation of those key parameters, the option premium is seemingly worthless if initial revenue and growth rate are both under pessimistic settings. But in general cases, start-ups are more valuable (44% to 61% higher) under real options approach than under traditional NPV method.
中文摘要 I
英文摘要 II
誌 謝 辭 III
目 錄 IV
表 目 錄 V
圖 目 錄 VI
壹、緒論 1
第一節、研究動機 1
第二節、研究目的 3
第三節、研究背景 5
第四節、研究流程與架構 7
第五節、實質選擇權與金融選擇權之比較 8
第六節、實質選擇權在定價上的考量 10
貳、文獻回顧 14
第一節、實質選擇權的觀念 14
第二節、傳統現金流量折現法與實質選擇權法 15
第三節、鑑價新創公司應考量的因素 18
第四節、模型上的考量 23
參、研究方法 24
第一節、模型建構與說明 25
第二節、選擇權價值的評估 28
第三節、模擬方法與參數給定 34
肆、研究結果 42
第一節、模擬結果 42
第二節、分析與比較 45
伍、結論與建議 53
參考文獻 55
一、中文文獻 55
二、英文文獻 55
附錄 61
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