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研究生:曾麗玲
研究生(外文):Zeng, Li-Ling
論文名稱:考慮新資訊的實質選擇權評價
論文名稱(外文):Evaluate Real Options when Firms Obtain New information
指導教授:黃裕烈黃裕烈引用關係
指導教授(外文):Huang, Yu-Lieh
學位類別:碩士
校院名稱:國立清華大學
系所名稱:計量財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2013
畢業學年度:101
語文別:中文
論文頁數:29
中文關鍵詞:實質選擇權卡爾曼濾波器資訊流
外文關鍵詞:real optionsKalman filterinformation collection
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實質選擇權是近代興起的管理科學技術,其將金融選擇權的概念運用在實質資產 (e.g. 不動產、公司理財、高科技產業…),其目的是為了提供決策者在對企業經營進行評估時一種動態且有效的管理模式。利用金融選擇權的原理及動態機率規劃的數理方法,使決策者在不確定性的環境下,可依循管理彈性法則進行決策的參考依據。
本研究之目的為當公司利用實質選擇權分析來評價一個新專案或新開發案的實質選擇權價值。當新開發案尚未決定開發前,若有新資訊進入 (e.g. 探勘、市場調查、試驗、問卷、新政策…)時,此新資訊會影響專案價值。因此我們利用卡爾曼濾波器來進行一連串的修正及預估專案價值,使決策者更精準地知道其
價值並做出正確的決策。

Real option analysis is a valuation way to capital budgeting decision. The real option analysis applies financial options theory to real investments, such as natural resource investments, real-estate, corporate finance, high-tech industry, manufacturing plants, product line extensions, and research and development. The aim of this analysis is offering an important way of thinking about valuation and strategic decision making, and the power of this approach is starting to change the economic “equation” of many industries. Using the financial options theory and dynamic programming, the manager can make decision to the project with managerial flexibility under uncertain
circumstance.
 The aim of this paper is that firms use real options analysis to evaluate a new project or an undeveloped project. Before the firms make decisions, the firms can collect information about the new project. Therefore we use Kalman filter procedure to pre-dict and correct the value of the project. As a result, the manager can precisely know
the value of the project to make a right decision.

壹、緒論 1
第一節、研究動機 1
第二節、研究方法 2
第三節、研究限制 4
貳、文獻探討 5
第一節、資本預算的定義及特性 5
第二節、傳統資本預算法與實質選擇權評價法 5
第三節、實質選擇權的介紹 6
第四節、傳統資本預算法 7
第五節、實質選擇權的分類 9
第六節、遞延選擇權的相關研究 10
參、基本模型假設 12
第一節、卡爾曼濾波器的簡介 12
第二節、離散型實質選擇權評價模型 13
肆、個案實證分析 18
第一節、實證分析流程 18
第二節、參數估計 19
第三節、實證結果 20
伍、結論與未來研究方向建議 24
附錄一 25
參考文獻 28

黃繼賢 (2003). 實質選擇權在投資計劃評估之應用: 統寶光電投資方案.
廖四郎, 陳坤銘, 鄭宗松 (2003). 最適投資決策與產品生命週期─ 實質選擇權分析法.
Bernardo, A. E., and Chowdhry, B. (2002). Resources, real options, and corporate strategy. Journal of Financial Economics 63, 211-234.
Copeland, T., and Tufano, P. (2004). A real-world way to manage real options. Harvard business review 82, 90-99.
Cukierman, A. (1980). The effects of uncertainty on investment under risk neutrality with endogenous information. The Journal of Political Economy, 462-475.
Damodaran, A. (2000). The promise of real options. Journal of Applied Corporate Finance 13, 29-44.
Dixit, R. K., and Pindyck, R. S. (2008). Investment under uncertainty, Princeton university press.
Guthrie, G. (2007). Missed opportunities: Optimal investment timing when information is costly. Journal of Financial and Quantitative Analysis 42, 467.
Guthrie, G. (2009). Real Options in theory and practice, Oxford University Press, USA.
Guthrie, G. (2011). Learning Options and Binomial Trees. Wilmott Journal 3, 1-23.
Hilli, P., and Kallio, M. (2007). Real option analysis of a technology portfolio. Review of Financial Economics 16, 127-147.
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Koopman, S. J. (2012). Time series analysis by state space methods, OUP Oxford.
Mayor, N., Schonbucher, P., Wilmott, P., Whalley, E., and Epstein, D. (1997). The Value of Market Research When a Firm is Learning: Real Option Pricing and Optimal Filtering. Documento de Trabajo, Oxford University, Oxford (UK).
McDonald, R., and Siegel, D. (1986). The value of waiting to invest. The Quarterly Journal of Economics 101, 707-727.
Merton, R. C. (1998). Applications of option-pricing theory: twenty-five years later. The American Economic Review 88, 323-349.
Myers, S. C. (1974). Interactions of corporate financing and investment decisions—implications for capital budgeting. The Journal of Finance 29, 1-25.
Myers, S. C. (1977). Determinants of corporate borrowing. Journal of Financial Economics 5, 147-175.
Quigg, L. (1993). Empirical testing of real option‐pricing models. The Journal of Finance 48, 621-640.
Radas, S., and Shugan, S. M. (1998). Seasonal marketing and timing new product introductions. Journal of Marketing Research, 296-315.
Sarkar, S. (2000). On the investment–uncertainty relationship in a real options model. Journal of Economic Dynamics and Control 24, 219-225.
Schwartz, E. S., and Trigeorgis, L. (2004). Real options and investment under uncertainty: Classical readings and recent contributions, MIT press.
Shibata, T. (2008). The impacts of uncertainties in a real options model under incomplete information. European Journal of Operational Research 187, 1368-1379.
Trigeorgis, L. (1996). Real options: Managerial flexibility and strategy in resource allocation, MIT press.

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