臺灣博碩士論文加值系統

中文摘要
本論文主要探討在營收不確定的情況下，運用實質選擇權分析(Real Options Analysis, ROA)評估營收之最適進入或退出化妝品市場的門檻值，使國外化妝品業者可以做為投資進入或撤出台灣化妝品市場之決策的依據。當業者欲投入一個新的產品市場之投資計畫時，傳統上常使用基於折現法的資本預算技術有淨現值(Net Present Value, NPV)法與內部報酬率(Internal Rate of Return, IRR)法等基於對未來現金流量折現的資本預算(Capital Budgeting)方法來做評價。此些資本預算技術受限於某些不符合實際情況的假設，如投資計畫本身的資金具有不可逆性、投資計畫之現金流量是在一種預設的情境下確定發生、投資計畫之執行具有立即性、缺乏延遲投資等管理上之彈性。故無法正確且完整的顯現整個投資計畫的價值，造成對投資計畫的不正確評價，導致不適當的投資決策。延遲投資是等待市場資訊趨於明朗確定時再進行投資，具有管理上的彈性並降低投資風險。實質選擇權分析能考慮包括延遲投資等管理上的彈性因素，已是近年來常被使用於策略性投資計畫之評價工具。
本論文即是在實質選擇權觀念下，利用動態規劃的方法，發展出一個連續時間的評價模型。此評價模型假設國外化妝品業者在面對台灣市場不確定之市場營收(Operating Income)的狀況下，以營收作為決策變數，並假設投資是一個連續的隨機過程(stochastic process)，符合幾何布朗寧運動(Geometric Brownian Motion, GBM)之情況下，運用動態規劃(dynamic programming, DP)的方法求得決策變數之門檻值，以作為國外化妝品業者進行投資進入或退出台灣化妝品市場之決策參考依據。本研究中同時探討有競爭者存在時對外國廠商之進入與退出決策之影響，並且比較風險修正後淨現值法(risk-adjusted net present value, rNPV)與實質選擇權法在評價結果的差異。最後以數值範例作分析，同時對模型中之相關參數作靈敏度分析。
本研究假設化妝品廠商進入台灣化妝品市場之投入成本I = 180萬美元，退出成本E = 80萬美元，真正進入市場後之營運成本C = 45萬美元，在市場營收之瞬間成長率α = 0.16，市場營收之標準差σ = 0.32，必要報酬率r = 18%，競爭者加入時營收變化量η = 20%，競爭者加入之平均發生率λ= 1。結果發現，以原始進入退出模型之數據，發現當最適門檻值為10.82萬美元時，為最適退出市場決策值，當最適門檻值為101.43萬美元時，為最適進入市場決策值；當有競爭者加入時，最適退出與進入門檻值分別為32.62與204.35萬美元。對模型中之營收波動、投資成本與退出成本等相關參數作靈敏度分析，發現當相關參數增加時，最適進入市場決策門檻值隨之增加而最適退出市場決策門檻值減少，但營運成本相關參數增加時，最適進入市場決策門檻值增加而最適退出市場決策門檻值亦增加；當市場有競爭者加入時，對最適進入與退出門檻值之影響程度皆隨之增加。

Abstract
The purpose of this study is to build a model that can be used for the foreign cosmetics firms to decide whether or not to enter into or withdraw from Taiwan market. Based on the real options analysis, this study assume that the decision variable, firm's revenue, is uncertain and the optimal entry and exit thresholds of the revenue are determined through the proposed model. When the firm's revenue reaches its optimal thresholds, the firm should enter into or withdraw from Taiwan market.
Entering a new market is an investment project that traditionally evaluated by the methods of the capital budgeting, such as net present value (NPV) method and internal rate of return (IRR) method, which are based on the discounting cash flows. However, these traditional methods are limited by some unrealistic assumptions, such as the investment is reversible, the cash flows are generated under a specific scenario, and the investment is now and forever without the managerial flexibility to postpone investment, thus, these methods can not reveal the entire value of an investment project and result in an improper evaluation. The real options analysis can reveal the value of flexibility and has become an evaluation tool for the strategic investment projects in recent years.
With the concept of real options, this study develops a continuous time model that uses the dynamic programming method to evaluate projects. In this study, we assume a potential foreign cosmetics firm that intend to entry-exit Taiwan market and we also assume the firm's revenue is a stochastic process that follows the Geometric Brownian Motion (GBM). Applying the dynamic programming method, the optimal entry-exit thresholds can be solved and the firm can make decisions according to these thresholds. We also investigate the effect of the competitors arrival and compare the difference of evaluation results between the real options analysis and risk-adjusted net present value method. Lastly, we provide a numerical example to verify the model and make a sensitivity analysis to the relative parameters.
In the example, we assume that the investment cost of the foreign cosmetics firm is I = 180 million dollars, the disinvestment cost is E = 80 million dollars, the operation cost is C = 45 million dollars, the instantaneous growth rate of revenue is α = 20%, the standard deviations of revenue is σ = 0.32, the required rate of return is r = 18%, and the diminishing rate of revenue as competitors arrived is η = 20%. Solving by the model, the optimal exit threshold value is 10.82 million dollars, and the optimal entry threshold value is 101.43 million dollars. Moreover, when the competitors are added and the average arrival rate of competitors is λ= 1, the optimal exit threshold value is 32.62 million dollars, and the optimal entry threshold value is 204.35 million dollars. In the sensitivity analysis, we find that the optimal entry threshold value is increasing and the optimal exit threshold value is decreasing while σ, I, or E is increasing. On the other hand, the optimal entry threshold value and the optimal exit threshold value are all increasing while C or η is increasing.

目錄
致謝 ii
中文摘要 iii
Abstract iv
目錄 v
表 次 vii
圖 次 viii
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究流程 3
第二章 化妝品及化妝品產業 4
第一節 化妝品的定義及組成 4
第二節 化妝品產業及發展趨勢 6
第三章 理論與文獻探討 13
第一節 布朗寧運動 15
第二節 伊藤過程與定理 21
第三節 實質選擇權 28
第四章 建構最佳投資時點的評價模型 41
第一節 原始進入退出模型 41
第二節 風險調整淨現值法 45
第三節 競爭者加入模型 46
第五章 數值分析與敏感度分析 49
第一節 數值分析 49
第二節 敏感度分析 51
第六章 結論與建議 61
參考文獻 63

參考文獻
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