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題 名 | 隱涵選擇權價值對投資決策影響之研究--以臺灣地區創投為例=The Study of the Impact of the Embedded Options on the Investment Strategy of Taiwan's Venture Capitalists |
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作 者 | 許培基; 陳隆麒; 謝劍平; | 書刊名 | 管理與系統 |
卷 期 | 6:3 1999.07[民88.07] |
頁 次 | 頁301-323 |
分類號 | 563.52 |
關鍵詞 | 創業投資; 選擇權; Venture capitalists; Options; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究以真實選擇權(Real Options)的觀點探討臺灣地區創投在面臨高投資風險時,可利用延後投資或是階段性挹注資金的方式以降低投資風險。模型的建構以投資專案的現金流量符合幾何Brownian運動的假設為基礎,推演出在風險下最適的淨現值與回收間。由模型的推演得知,風險下最適的淨現值法與最適的回收期間法正相關,象徵傳統的回收期間法仍有「回收」的價值。本研究進一步與Roberts & Weitzman[8]對分階段投入研發的模式結合,推演出風險下的投資模式應切割為三個區間:放棄投資、等候投資或分階段投資、以及馬上投資。實證部分以投資次數作為分階段投資選擇權的代理變數,而以創投第一次投資到被投資公司上市(櫃)的時間間距作為等候投資選擇權的代理變數。實證結果發現,臺灣地區的創投面臨高投資風險時,會增加投資次數而非延後投資。 |
英文摘要 | The study focuses on the embedded options of Taiwan's venture capitalists when the investment environment is highly risky. The venture capitalists could utilize the deferral option or staging option to ameliorate the impact of investment risk. The model is built on the assumption that the cash flows of the invested projects follow geometric Brownian motion, and the optimal net present value and optimal payback period are derived based upon the preset assumption. According to the model, the optimal payback period are derived based upon the preset assumption. According to the model, the optimal net present value and the optimal payback period are positively correlated, which means that the payback method has its recaptured value. Combined with the staging model of R&D expenses derived by Roberts & Weitzman [8], the model reset the optimal investment decision rules and divide the investment strategy into three zones: forsaking the investment, deferring or staging the investment, and immediate investment. The number of investment of venture capitalists is chosen to be the proxy variable of staging option, whereas the time from the first investment to initial public offering stands proxy for the deferral option. The empirical result shows that the Taiwan's venture capitalists use the staging option rather than deferral option when they face the risky environment. |
本系統中英文摘要資訊取自各篇刊載內容。