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研究生:葉龍珠
研究生(外文):Lung-Chu Yeh
論文名稱:實質選擇權應用於網路證券交易系統投資決策模型之研究
論文名稱(外文):Applying the ROA in Internet Securities Trading Business Investment Decision
指導教授:林進財林進財引用關係
指導教授(外文):Chin-Tsai Lin
學位類別:博士
校院名稱:銘傳大學
系所名稱:管理研究所博士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:英文
論文頁數:71
中文關鍵詞:建設期間現金流量折現法實質選擇權網路證券交易雙決策準則變數
外文關鍵詞:real options analysistwo main decision criteria variablesdiscounted cash flowInternet securities tradingstart-up time
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  • 下載下載:79
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本文主要運用實質選擇權法協助證券商在面臨網路技術及經濟因素不確定的雙重風險下,評估網路證券交易專案投資的最適進入或退出門檻值;並進一步評估當網路證券交易愈趨成熟時,取消傳統證券下單之最適時機。因考量網路技術對網路證券交易及經濟因素對證券交易總量之影響甚大,故本文納入此二因素,採用雙決策準則變數建構實質選擇權投資決策模式,模式中亦假設任何一個投資案都需要一段建設期間才能完成。本文亦針對運用實質選擇權法及傳統現金流量折現法在投資決策上的差異進行分析討論,並對其他相關因素進行敏感度分析;本文亦對台灣證券交易市場進行近似實證之研究分析,發現實質選擇法較傳統現金流量折現法更適合用於網路證券交易投資案的決策評估,本文之研究結果可以提供證券商決策者擬定進入或退出網路證券交易及取消傳統證券下單業務專案政策之參考。
This dissertation presents decision models that use real options analysis to evaluate the optimal thresholds for entering or exiting the Internet securities trading business and withdrawing from the conventional securities trading business in the face of both technological and economic uncertainties. Hence, this dissertation adopts two main decision criteria variables to construct ROA decision models. Besides, the proposed evaluation models consider a start-up time to complete the entry project’s procedure. Additionally, the differences between the real options analysis and the traditional discounted cash flow (DCF) method are discussed. Sensitivity analysis is also conducted for related parameters. Numerical analysis of the Taiwan stock market using real options analysis is more consistent with the observed entry/exit data than similar analysis using the net present value method to support the entry/exit decisions in the face of uncertainty. The conclusions of this dissertation provide some valuable references for helping strategic managers of securities firms in making decisions on entering or exiting the Internet securities trading business or withdrawing from the conventional trading business.
Acknowledgements I
Chinese Abstract II
Abstract III
Table of Contents IV
List of Figures VI
List of Tables VII
CHAPTER Ⅰ INTRODUCTION 1
1.1 Study Background 1
1.2 Study Subject 2
1.3 Purpose of the Study 3
1.4 Study Method 4
1.5 Frame of the Dissertation 5
CHAPTER Ⅱ LITERATURE SURVEY 7
2.1 Electronic Commerce 7
2.2 E-Commerce in the Banking Industry 9
2.3 Real Options Approach 11
CHAPTER Ⅲ ENTRY/EXIT MODEL 14
3.1 Notations and Basic Assumptions 14
3.2 Entry Decision 17
3.3 Exit Decision 20
3.4 Sensitivity Analysis 24
3.5 Numerical Example 25
3.6 summary 28
CHAPTER Ⅳ ENTRY-EXIT DECISION MODEL 30
4.1 Entry-Exit Model 30
4.2 Marshallian Static Investment Decision 35
4.3 Numerical Analysis 35
4.4 Summary 41
CHAPTER Ⅴ TIME FOR ENTERING THE INTERNET TRADING BUSINESS TO WITHDRAWING TRADITIONAL BUSINESS 43
5.1 Entry Decision Model by Considering M and N 43
5.2 Withdrawing from Providing Conventional Securities Trading Services 49
5.3 Optimal Exercise Time 51
5.4 Simulation 53
5.5 Summary 54
CHAPTER Ⅵ CONCLUSIONS AND RECOMMENDATIONS 56
6.1 Conclusions 56
6.2 Recommendations 58
References 59
Author''s Biographical Notes 62
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