臺灣博碩士論文加值系統

IT技術雖為企業創造了許多投資機會，卻也為公司帶來投資的不確定性。而組織若期望生產之產品能在競爭已經白熱化的科技產業中勝出，透過發展產業技術平台(platform)則是一項聰明的作法。本研究主要貢獻在應用遞延選擇權和交換選擇權之評價模式，佐以蘋果電腦在個別選擇與IBM之合作發展技術平台時點及改換對象為Intel之實際資料，率先提出一套實質選擇權的實證結果，並參考McDonald and Siegel(1986)所提出之遞延選擇權(defer options)評價模型以動態規劃（Dynamic Programming）求解，以分析當企業籌劃建立產業標準平台時，潛在競爭對手若先行進入市場，則廠商面臨可能的損失應如何反應；佐以Stulz(1982)之交換選擇權(Exchange options)模型建議分析廠商如選擇投資發展產業平台，則其在面臨是否應 更換合作對象共同投資發展時應如何評估，才可找到能為自身帶來最大利益之投資模式。實證結果發現該公司過早執行與IBM合作計畫案，應該遞延該合作計畫執行時點；且由於評價模型評估出其擁有改換合作對象為Intel之交換選擇權價值相當高，也驗證了蘋果電腦與Intel實際合作決策之正確性。此外本研究也提出該產業實務上對手進入市場之損失及機率等實證數據。

Although technology has created many opportunities of investment, it brought a certain degree of uncertainty for corporation to invest. If an organization expects to beat the white-heat technology industry with its products, it would be a smart action to develop technology platform. The main contribution of this study is to apply the pricing models of defer options and exchange options, with the real data when Apple chose to cooperate with IBM and change partner to Intel, to be the first to present a thorough set of empirical results. With the defer options model of McDonald and Siegel(1986), we used dynamic programming technique to analyze how the corporation should react when the potential competitor enters the market first. Furthermore, we took Exchange options model of Stulz(1982) to suggest how the firm should evaluate if it should exchange its current partner to another to find the best decision which could bring out the most benefit. The empirical results showed that Apple has implemented the project to cooperate with IBM too early. It should defer the time to execute the project. Moreover, with the relatively high value of exchange options priced by the model, we proved that Apple was correct to exchange IBM for Intel. Also, this study presented the empirical data of the probability and the loss arisen when potential competitor enters the market first in real practice of high-tech industry.

摘要........ I
英文摘要..............................................................................................................................II
誌謝辭 III
目錄..... IV
圖目錄. V
表目錄VI
1. 緒論...........................................................................................................................- 1 -
1.1 前言.....................................................................................................................- 1 -
1.2 研究背景............................................................................................................- 2 -
1.3 研究動機............................................................................................................- 2 -
1.4 研究流程圖.........................................................................................................- 3 -
2. 相關理論之論述.......................................................................................................- 5 -
2.1 遞延選擇權文獻.................................................................................................- 5 -
2.2 交換選擇權文獻.................................................................................................- 7 -
3. 研究方法...................................................................................................................- 8 -
3.1 遞延選擇權模型.................................................................................................- 8 -
3.2 交換選擇權模型..............................................................................................- 14 -
4. 實證結果分析.........................................................................................................- 17 -
4.1 參數選定...........................................................................................................- 17 -
4.2 標準平台評價架構..........................................................................................- 19 -
4.3 選擇權實證價值分析.......................................................................................- 21 -
4.3.1 遞延選擇權............................................................................................- 21 -
4.3.2 敏感性分析............................................................................................- 21 -
4.3.3 交換選擇權............................................................................................- 22 -
5. 結論與貢獻.............................................................................................................- 24 -
6. 未來研究方向.........................................................................................................- 26 -
附錄.. 27 -
參考文獻........................................................................................................................- 36 -
中文文獻.................................................................................................................- 36 -
英文文獻.................................................................................................................- 36 -

圖目錄

【圖一】使用NPV 及實質選擇權方法評價決策價值差異.......................................- 29 -
【圖二】遞延選擇權價值.............................................................................................- 29 -
【圖三】蘋果電腦公司麥金塔部門季營收.................................................................- 30 -
【圖四】營收波動度與計畫淨價值關係圖.................................................................- 30 -
【圖五】潛在競爭對手進入市場機率與計畫價值關係圖.........................................- 31 -
【圖六】合作計畫相關係數與交換選擇權價值關係圖.............................................- 31 -

表目錄

【表一】遞延選擇權參數列表.....................................................................................- 32 -
【表二】交換選擇權參數列表.....................................................................................- 32 -
【表三】遞延選擇權σ敏感性分析(一)......................................................................- 32 -
【表四】遞延選擇權σ敏感性分析(二)......................................................................- 33 -
【表五】遞延選擇權λ敏感性分析(一)......................................................................- 34 -
【表六】遞延選擇權λ敏感性分析(二)......................................................................- 35 -

中文文獻
陳子豪、張駿瑩，i蘋果，天下出版社，民國八十九年。

謝德榮，Microsoft Excel應用系列 資料與數值分析，五南圖書出版，民國九十一年

英文文獻
Amram, M., and N. Kulatilaka, 1999, Real Options: Managing Strategic Investment in an Uncertain World, Harvard Business School Press, Boston, MA.

Benaroch, M., and R. Kauffman, 1999, “A case for using real options pricing analysis to evaluate information technology project investments,” Information Systems Research, 10: 1, 70-86.

Bernanke, B., 1983, “Irreversibility, uncertainty, and cyclical investment,” Quarterly Journal of Economics, 98, 85-106.

Bodie, Z., Kane, A., Marcus, A.J., 1996. Investments. Boston: Irwin McGraw-Hill.

Brock, W., M. Rothschild, and J. Stiglitz, 1988, “Stochastic capital theory,” Joan Robinson and modern economics, New York: Macmillan.

Cukierman, A., 1980, “The effects of uncertainty on investment under risk neutrality with endogenous information,” Journal of Public Economy, 88, 462-475.

Davis, G., 1998, "Estimating volatility and dividend yield when valuing real options to invest or abandon," working paper, Division of Economics and Business, Colorado School of Mines.

Demers, M., 1991, “Investment under uncertainty, irreversibility and the arrival of information over time,” Review of Economics Studies, 58, 333-350.

Dixit, A. and Pindyck R., 1994, Investment under Uncertainty, New Jersey: Princeton University Press.

Hopp, C., and S. Tsolakis, 2004, "Investment Application in the Shipping Industry," working paper, University of Konstanz, Real Options Conference, Montréal Canada.

Imai, K., 2000, “Platforms and real options in industrial organization,” The Japanese Economic Review, 51: 3, 308-333.

Majd, S., and R. Pindyck, 1987, “Time to build, option value, and investment decisions,” Journal of Financial Economics, 18: 1, 7-27.

Margrabe, W., 1978, “The value of an option to exchange one asset for another,” Journal of Finance, 33: 1, 177-186.

McDonald, R. and D. Siegel, 1986, “The Value of Waiting to Invest,” Quarterly Journal of Economics, 101, 707-727.

Moel, A., and P. Tufano, 2002, “When are real options exercised? An empirical study of mine closings,” The Review of Financial Studies, 15: 1, 35-64.

Myers, S., 1977, “Determinants of corporate borrowing,” Journal of Financial Economics, 5, 147-175.

Paddock, J., D. Siegel, and J. Smith, 1988, “Option valuation of claims on physical assets: The case of offshore petroleum lease,” Quarterly Journal of Economics, 103: 3, 479-508.

Paxon, D., 1999, "R&D Strategy Using Real Option Values," Finance Research Seminar, Universidade do Minho, Braga, Portugal.

Stulz, R., 1982, “Options on the minimum or the maximum of two risky assets analysis and applications,” Journal of Financial Economics, 10: 2, July 1982, 161-185.

Trigeorgis, L., 1999, Real Options: Managerial Flexibility and Strategy in Resource Allocation, fourth edition, Cambridge Massachusetts: MIT Press.