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研究生:曾于哲
研究生(外文):Tseng, Yu-che
論文名稱:民營化的最適時點
論文名稱(外文):The Analysis on the Optimal Timing of Privatization
指導教授:馬嘉應馬嘉應引用關係
指導教授(外文):Ma, Chia-ying Ph.D.
學位類別:碩士
校院名稱:東吳大學
系所名稱:會計學系
學門:商業及管理學門
學類:會計學類
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:101
中文關鍵詞:民營化最適時點實質選擇權選擇權分析時點選擇權
外文關鍵詞:privatizationoptimal timingreal optionsreal option analysistimingoption
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台灣的民營化計畫曾經歷經一些阻礙而有延宕,例如:不利的釋股價格、立法院和工會的反對,以及市場反應不熱絡。本研究基於上述的理由,擬進一步探討民營化政策的最適執行時點,特別是以釋股的方式民營化者。再者目前尚未有任何文獻是以政府持有民營化政策的最終決定權,亦即持有遞延選擇權之觀點,利用實質選擇權模式來分析民營化最適時點。本研究將有助於瞭解實質選擇權模式應用於台灣民營化的效果,並且延伸實質選擇權分析的應用範圍。
本研究建議政府應提早評估民營化政策的可行性。一旦國營事業的市場競爭力減弱,政府執行該遞延選擇權所能得到的一次固定釋股收益將相對減少。本研究僅考慮可能的經濟變數,實務上必定存在著其他非經濟的因素影響民營化政策的執行。
Taiwan’s privatization program has experienced a number of roadblocks including, among other reasons, unfavorable share issued privatization (SIP) price, oppositions from legislative branch of the government, and lack of market enthusiasm in recent years that had resulted in delay of several SIP cases. It is in light of the concerns mentioned above, that we would like to investigate if there exists an optimal timing for privatization, particularly, the SIP type of privatization. According to preliminary exploration, there isn’t any study aimed at the investigation of the optimal timing of privatization using real options analysis under the consideration of that government holds the option to delay a planned privatization. We consider this study using Taiwan’s privatization program as the object of empirical study adds knowledge to the understanding of the implication of the effects of option value on Taiwan’s privatization program and broadens the application scope of real options analysis.
We considerably recommend evaluating the privatization policy in an early stage. The lower the competitive advantages of the SOE, the lower the fixed benefit would be received rather than waiting. In our model, we deliberate to consider economic variables. Hence, there must be other factors beyond our real options analysis and might drift the privatization policy into more complicated situations.
Chapter 1 Overview……..…………………..……………………….1
1.1 Introduction and Research Motivation……………………………1
1.2 Research Background and Objective…….………………………..4
1.2.1 The privatization trend in the world..………………………..4
1.2.2 Privatization in Taiwan……………..………………………..6
1.2.3 Research objective…………………………………………...8
1.3 Research Framework……………………..……………………….9
Chapter 2 Literature Review……………………………………..10
2.1 Privatization in Theory………………….……………………….10
2.2 Empirical Evidence on Privatization…….……..………………..13
2.2.1 Cross-sectional comparisons of public and private enterprises………………………….……………………..16
2.2.2 Econometric analysis of pre- and post- privatization………………………………........................17
2.2.3 Share issued privatizations………………………………..21
2.3 Real Options Analysis…………………….……………………..25
2.3.1 The first passage time problem…………………………...26
2.3.2 The timing of investment…………………………………27
Chapter 3 Research Methodology……………………………….35
3.1 Research Agenda……...…………………………………………35
3.2 Research Design……...………………………………………….37
3.2.1 Real options analysis……………………………………...37
3.2.2 Valuation method…………………………………………40
Chapter 4 Analytical Framework…………….………..………..43
4.1 Dynamic Programming...………………………………………..43
4.2 A Numerical Example...………………….………………………56
Chapter 5 Case Study………………………………………………63
5.1 China Steel Corporation…………………………………………69
5.1.1 Numerical data for CSC…………………………………..70
5.2 Chunghwa Telecom……………………..……………………….75
5.2.1 Numerical data for CHT…………………………………..77
5.3 Taiwan Salt Industrial Corporation……..………………………..82
5.3.1 Numerical data for TSIC………………………………….84
Chapter 6 Summary and Conclusions………………………….89
References…………………………………………………………….92
Appendix……………………………………………………………...96
A Ito’s Lemma……………………………………………………..96
B Quadratic Equation……………………………………………...98
Index of Figures
Figure 1-1 Global Privatization Proceeds…………………………......4
Figure 1-2 Research framework………………………………………9
Figure 4-1 Value of and ……………………………………57
Figure 4-2 Components of ……………………………………...57
Figure 4-3 Components of ………………………………………58
Figure 4-4 Solution of the numerical example………………………59
Figure 4-5 as a function of and ………………………….59
Figure 4-6 as a function of …………………………………..60
Figure 4-7 as a function of …………………………………..60
Figure 4-8 as a function of and …………………………61
Figure 4-9 as a function of …………………………………..61
Figure 4-10 as a function of …………………………………62
Index of Tables
Table 1-1 Change in SOE’s Activity as a percentage of GDP………...5
Table 3-1 Main difference between Pindyck (2000, 2002)
and this study……………………………………………...37
Table 4-1 Relationship between and other factors……………...55
Table 5-1 Numerical variables……………………………………….67
Table 5-2 Related variables………………………………………….68
Table 5-3 CSC numerical variables………………………………….72
Table 5-4 CSC related variables……………………………………..73
Table 5-5 Sensitivity analysis in for CSC……………………….74
Table 5-6 Sensitivity analysis in for CSC……………………….74
Table 5-7 Companies financial ratios similar to CHT……………….78
Table 5-8 Related financial information for CHT…………………...78
Table 5-9 CHT numerical variables………………………………….80
Table 5-10 CHT related variables……………………………………80
Table 5-11 Sensitivity analysis in for CHT……………………...81
Table 5-12 Sensitivity analysis in for CHT……………………...81
Table 5-13 TSIC numerical variables………………………………..86
Table 5-14 TSIC related variables…………………………………...86
Table 5-15 Sensitivity analysis in for TSIC……………………..88
Table 5-16 Sensitivity analysis in for TSIC……………………...88
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