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研究生:洪銘儀
研究生(外文):Ming-YiHong
論文名稱:房地產市場之二階段最佳投資決策-以台灣市場為例
論文名稱(外文):The two-stage optimal investment strategy in Taiwan real estate market
指導教授:劉裕宏劉裕宏引用關係
指導教授(外文):Yu-Hong Liu
學位類別:碩士
校院名稱:國立成功大學
系所名稱:財務金融研究所碩士在職專班
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:2016
畢業學年度:104
語文別:英文
論文頁數:48
中文關鍵詞:可遞延性管理彈性兩階段投資策略
外文關鍵詞:DeferabilityManagement flexibilityTwo-stage investment strategy
相關次數:
  • 被引用被引用:2
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  • 下載下載:77
  • 收藏至我的研究室書目清單書目收藏:1
在真實世界裡,企業總是有很多機會面對充滿高風險的投資環境,並且去作高額資本的投資評估,尤其是不動產、礦產開發等行業等。過去的投資型態是對大型投資專案直接做一次性投資,由於不可能每年都作這種高額投資,可能3~5年才進行一次,最多就是延後投資時點來因應,所以相對起來,比較缺乏管理彈性,尤其是當市場環境在投資後產生不良變化,而且投資後又不可取消的情況下,此時企業承擔高度風險。所以本篇研究的主題在於提供二階段的投資策略,它能使企業減輕風險,並且適當地同時去決定投資時點及比例。
在本篇研究裡,我們應用實質選擇權方法及延伸Dixit和Pindyck在1994年貢獻的架構,來解決在承受高度風險下不可取消性的資本投資問題,並且去適當選擇最佳投資時點及規模及決定投資價值。另一方面,我們同時也比較了一次性高額投資策略法及二階段投資策略之特色,並且提供新的觀點在充滿風險環境下採行兩階段投資策略之分析。
從研究結果發現,首先相對於一次性高額投資策略,採行兩階段投資策略不但為企業提高價值,並且能為企業選擇適當的投資時點及規模,同時允許企業在第一階段投資時點能提早,而第二階段投資可以晚一點;第二點,隨環境風險不斷地增加,企業應該延後高比例的第一階段投資,等待市場情況回升的時候再來進行投資;第三點,一樣隨著環境風險不斷地增加,投資比例的變動並不會重大影響投資價值的變動;最後,本篇研究提供兩階段投資策略的優點在企業面臨風險投資的環境,不但能為企業帶來價值,也提供更多的管理彈性以調整企業資源去因應高風險環境,更能替企業決定適當的投資比例及規模。
關鍵字: 可遞延性、管理彈性、兩階段投資策略。
In the real world developers often have to face a high risk investment environment, especially in the real estate industry. By using a lumpy investment approach, developers will lose managerial flexibility. They only can determine not to invest right away and defer the investment timing up to the arrival of the optimal time, while a multi-stage investment approach allows developers to determine both the optimal timing and proportion in each stage simultaneously.
In this study, we apply the real option approach and extends Dixit and Pindyck’s (1994) framework to resolve the problems of irreversible investment expenditures under uncertainty and determine the optimal investment timing, scale and value. On the others hand, we also compare lumpy or single-stage investment with a two-stage investment strategy, and provide new insights to adopt two-stage investment strategy in an environment with substantial uncertainty.
From our investigations we obtain the following research findings. First, compared to the lumpy investment, employing the two-stage investment strategy in decision-making and determining a proper investment proportion will enhance the value of the developer’s investment and permit the developers to carry out the first-stage investment earlier, while the second-stage investment could be later. Second, when there is substantial upward uncertainty in the environment, the developer should defer a large proportion of the first-stage of investment. Third, when there is substantial upward uncertainty in the environment, the effects of a change in the invested proportions do not impact the investment value substantially. Finally, the contribution of this study is that it proposes a two-stage investment strategy for decision-making to enhance the whole value of investment and provide managerial flexibility to allocate resource appropriately by determining optimal invested proportion and optimal invested time.
Keywords: Deferability, Managerial flexibility, Two-stage investment strategy.
Contents
Chapter 1 Introduction………………………………………………………………….…1
1.1 Research Background………………………………………………………………1
1.2 Research Motivation and Purpose………………………………………………….3
1.3 Thesis Structure…………………………………………………………………….9
Chapter 2 Literature Review……………………………………………………………...10
2.1 Net Present Value Approach………………………………………………………10
2.2 Real Option Approach……………………………………………………………..11
2.3 Real Option Approach with Multi-Stage Investment Strategy…………………….19
Chapter 3 Basic Assumptions..……………………………………………………………27
Chapter 4 Methodology……………………………………………………………………30
4.1 Single-Stage Investment Strategy………………………………………………….30
4.2 Two-Stage Investment Strategy……………………………………………………33
4.2.1 The Option Value in Second-Stage…………………………………………34
4.2.2 The Option Value in First-Stage……………………………………………35
Chapter 5 Numerical Analysis…………………………………………………………….37
Chapter 6 Conclusion……………………………………………………………………...44
Reference…………………………………………………………………………………...46

Tables and Figures
Table 1 The difference and advantages or disadvantages between lumpy and multi-stage
investment …………………………….……….…………………………….....23
Table 2 The meanings and units of the notations used in the descriptive numerical
analysis………………………………………………………………………….38
Figure 1 The timeline and optimal investment scale of lumpy and stepwise
investment…………………………………………………………………........28
Figure 2 The different patterns of changes in option values with different investment
proportions……………..……………………………………………………….38
Figure 3 The impact of the uncertainty on the optimal investment proportions……………41
Figure 4 The impact of uncertainty on the optimal investment timing……………………..42

References
English literature
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