(3.235.41.241) 您好!臺灣時間:2021/04/11 21:18
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:藍宇文
研究生(外文):Yu-Wen Lan
論文名稱:訊息成本基礎下的實質選擇權模型修正與研發活動評價
論文名稱(外文):A Modification on the Information Based Real Option Model and the R&D Valuation
指導教授:羅庚辛羅庚辛引用關係
指導教授(外文):Keng-Hsin, Lo
學位類別:博士
校院名稱:國立中央大學
系所名稱:企業管理研究所
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:44
中文關鍵詞:卜瓦松事件實質選擇權研發活動訊息成本指數衰退
外文關鍵詞:real optionR&Dinformation costexponential decayPoisson event
相關次數:
  • 被引用被引用:0
  • 點閱點閱:126
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
Bellalah(1999)利用Merton(1987)所提出將訊息成本納入考量的資本資產評價模式CAPMi為基礎,首次將訊息成本因子納入實質選擇權模型中,並建議使用該模型評估研發活動的價值。本研究認為Bellalah模型雖然可以反映出投資行為因納入訊息成本而引起之市場價值改變,卻無法表達出因未知事件影響而引起之報酬情況改變。按研發活動的價值可能因為技術進步而折舊,亦可能因現行協定(protocol)的改變而驟然失效,由於這些問題未被Bellalah模型所考慮,本研究基此提出新的修正模型。
透過數值分析可知,訊息成本對研發活動價值的影響僅約及指數衰退(折舊)的一半,亦僅約及卜瓦松事件(突發事件)的三分之一,因此支持將折舊與突發事件二個因子納入模型的修正方式;數值分析亦顯示,為找出合宜價格政策所耗費的訊息成本,將可以提高研發活動的價值。透過統計分析可知,修正模型所評估出的研發活動價值,是系統風險係數的重要解釋變數;意味經理人可藉由本模型來瞭解所擁有的研發專案對公司價值之影響,投資者亦可對包含研發活動的投資組合有更精確的價值評估。延伸課題方面,本研究除支持研發活動資本化的觀點外,也針對訊息成本發展出一套評估方法,可以彌補過去研究的不足。
Bellalah(1999) followed the context of Merton(1987), who founded a market equilibrium model with incomplete information, firstly incorporate the information cost into an real option model (ROM) for R&D valuation. However, the Bellalah’s model though exhibited the R&D’s market value based upon information cost; it failed to catch the change of R&D’s payoff due to undefined events within project’s lifetime. More than this, it is plausible of that the R&D may depreciate while time elapses; its value could also vanish over night because of some exceptions for example the ‘protocol’ change. The aforesaid issues were not addressed by Bellalah therefore this study tried to propose a modified model for supplementation.
As shown by the numerical analysis, the influence of information cost onto R&D value is roughly half of exponential decay (depreciation) and one third of Poisson event (a sudden event), which tells the new added factors outweighs the information cost as well as support our modification. We also found that the information cost affiliated with price is helpful for pursuing a more adequate price policy therefore it will boost the R&D value. As shown by the statistical analysis, the R&D value estimated by the modified ROM is an important explanatory variable to the systematic risk coefficient which means, whether managers or investors could be more prudent since they know better the risk level that an R&D investment (or a portfolio containing R&D) may have borne. For some extended topics, this study sustains the viewpoint of capitalization of R&D and, secondly, an estimation framework for the information cost was developed; which may redeem the deficiency before.
TABLE OF CONTENTS
Page
ABSTRACT III
TABLE OF CONTENTS V
LIST OF FIGURES VII
LIST OF TABLES VIII

A MODIFICATION ON THE INFORMATION COST BASED REAL OPTION MODEL AND THE R&D VALUATION

CHAPTER 1 INTRODUCTION 1
1.1. MOTIVATION AND REASERCH PURPOSE 1
1.2. RESULT PREVIEW 3
1.3. THESIS STRUCTURE 4
CHAPTER 2 BACKGROUND 6
2.1. CHARACTER OF R&D ACTIVITY 6
2.2. RISK LEVEL AND R&D 7
2.3. TO EXPENSE IT VERSUS TO CAPITALIZE IT 8
CHAPTER 3 RE-MODELING 10
3.1. THE IMPORTANT EXOGENOUS FACTORS 10
Page
3.2. BASIC SETTINGS AND ASSUMPTIONS 11
3.3. OTHER INFLUENTIAL FACTORS 17
CHAPTER 4 NUMERICAL AND STATISTCAL ANALYSES 19
4.1. SAMPLING 19
4.2. THE NUMERICAL ANALYSIS 20
4.3. THE STATISTICAL ANALYSIS 25
4.3.1. The Expense Viewpoint 25
4.3.2. The Capital Viewpoint 28
4.4. MORE EMPIRICAL EXPLORATION 31
4.4.1. An Image Comparison between the Expense and Capital Viewpoint 31
4.4.2. Estimation on Information Cost 34
CHAPTER 5 DISCUSSION AND CONCLUSION 37
APPENDIX 40
REFERENCES 41
Almon, A., 1965, ‘The Distributed Lag between Capital Appropriations and Expenditures,’ Econometrica, 33, pp. 178-196.
Amihud, Y. and H. Mendelson, 1989, ‘The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns,’ The Journal of Finance, 44, pp. 478-486.
Barber, W., P. Fairfield and J. Haggard, 1991, ‘The Effect of Concern about Reported Income on Discretionary Spending: the Case of Research and Development,’ The Accounting Review, 66, pp. 818-829.
Beaver, W. H. and S. Ryan, 2000, ‘Biases and Lags in Book Value and Their Effects on the Ability of the Book-to-Market Ratio to Predicted Book Return on Equity,’ Journal of Accounting Research, 38, pp. 127-148.
Bellalah, M., 1999, ‘Valuation of Futures and Commodity Options with Information Costs,’ The Journal of Futures and Markets, 19, pp. 645-664.
__________, 2003, ‘On Irreversibility, Sunk Costs and Investment under Incomplete Information,’ In: Paxson D. A. (ed.), Real R&D Options. Burlington: Butterworth Heinemann.
Billings, B. K. and R. M. Morton, 2001, ‘Book-to-Market Components, Future Security Returns, and Errors in Expected Earnings,’ Journal of Accounting Research, 39, pp. 197-219.
Black, F. and M. Scholes, 1973, ‘The Pricing of Options and Corporate Liabilities,’ Journal of Political Econometrics, 81, pp. 637-654.
Bushee, B. J., 1998, ‘The Influence on Institutional Investors on Myopic R&D Investment Behavior,’ The Accounting Review, 73, pp. 305-333.
Chan, L. K. C., J. Lankonishok and T. Sougiannis, 2001, ‘The Stock Market Valuation of Research and Development Expenditures,’ The Journal of Finance, 66, pp. 2431-2457.
Clark, E., 1997, ‘Valuing Political Risk,’ Journal of International Money and Finance, 33, pp. 603-616.
Cohen, W. and R. Levin, 1989, ‘Empirical Studies of Innovation and Market Structure,’ In: Schmalensee, R. and R. Willig (eds.), Handbook of Industrial Organization, North Holland: Elsevier.
Copeland, T. E., J. F. Wetson and K. Shastri, 2005, Financial Theory and Corporation Policy, Boston: Pearson Addison Wesley.
Cox, J. C. and S. A. Ross, 1976, ‘A Survey of Some New Results in Financial Option Pricing Theory,’ The Journal of Finance, 31, pp. 383-402.
Dixit, A. K. and R. S. Pindyck, 1994, Investment Under Uncertainty, Princeton: Princeton University Press.
Evenson, R. and Y. Kislev, 1976, ‘A Stochastic Model of Applied Research,’ Journal of Political Economy, 84, pp. 265-281.
Fama, E. F. and K. R. French, 1993, ‘Common Risk Factors in the Returns on Stocks and Bonds,’ Journal of Financial Economics, 33, pp. 3-55.
Graham, J. and C. Harvey, 2001, ‘The Theory and Practice of Corporate Finance: Evidence from the Field,’ Journal of Financial Economics, 60, pp. 187-243.
Green, J. P., A. W. Stark and H. M. Thomas, 1996, ‘UK Evidence of Market Valuation of Research and Development Expenditures,’ Journal of Business and Accounting, 23, pp. 191-216.
Hirschey, M. and J. Weygandt, 1985, ‘Amortization Policy for Advertising and Research and Development Expenditures,’ Journal of Accounting Research, 23, pp. 326-335.
Ho, Y. K., Z. Y. Xu and C. M. Yap, 2004, ‘R&D Investment and Systematic Risk,’ Accounting and Finance, 44, pp. 393-418.
Jou, J. B. and T. Lee, 2001, ‘R&D Investment Decision and Optimal Subsidy,’ R&D Management, 31, pp. 137-148.
Lev, B. and T. Sougiannis, 1996, ‘The Capitalization, Amortization, and Value Relevance of R&D,’ Journal of Accounting, 21, pp. 107-138.
Mandelker, G. N. and S. G. Rhee, 1984, ‘The Impact of Degrees of Operating and Financial Leverage on Systematic Risk of Common Stock,’ Journal of Financial and Quantitative Analysis, 19, pp. 45-58.
Martzoukos, S. H. and L. Trigeorgis, 2002, ‘Real (Investment) Options with Multiple Sources of Rare Events,’ European Journal of Operational Research, 136, pp. 696-706.
McDonald, R. and D. Siegel, 1984, ‘The Value of Waiting to Invest,’ Quarterly Journal of Economics, 99, pp. 707-727.
Mear, R. and M. Firth, 1988, ‘Risk Perceptions of Financial Analysis and the Use of Market and Accounting Data,’ Accounting and Business Research, 18, pp. 335-340.
Merton, R. C., 1987, ‘A Simple Model of Capital Market Equilibrium with Incomplete Information,’ The Journal of Finance, 42, pp. 483-510.
Mowery, D., 1983, ‘The Relationship between Intrafirm and Contractual Form of Industrial Research in American Manufacturing, 1900-1940,’ Explorations in Economic History, 20, pp. 351-374.
Perlitz, M., T. Peske and R. Schrank, 1999, ‘Real Options Valuation: The New Frontier in R&D Project Evaluation,’ R&D Management, 29, pp. 255-269.
Roberts, K and M. L. Weitzman, 1981, ‘Funding Criteria for Research, Development and Exploration Projects,’ Econometrica, 49, pp. 1261-1288.
Ross, S. A., R. W. Westerfield and J. Jaffe, 2002, Corporate Finance, Boston: McGraw-Hill.
Smith, C. W. and R. L. Watts, 1992, ‘The Investment Opportunity Set and Corporate Financing, Dividend and Compensation Policies,’ Journal of Financial Economics, 32, pp. 263-292.
Sougiannis, T., 1994, ‘The Accounting Based Valuation of Corporate R&D,’ The Accounting Review, 69, pp. 44-68.
Sundaram, A. K., T. A. John and K. John, 1996, ‘An Empirical Analysis of Strategic Competition and Firm Values, the Case of R&D Competition,’ Journal of Financial Economics, 40, pp. 459-486.
Titman, S. and R. Wessels, 1988, ‘The Determinant of Capital Structure Choice,’ The Journal of Finance, 43, pp. 1-19.
Whaley, R. E., 2000, ‘The Investor Fear Gauge,’ Journal of Portfolio Management, 26, pp. 12-17.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔