BOT計畫投資選擇權與最低營收保證之研究

Abstract

近年來政府經常性支出大量增加，遭遇重大的財政困難，因此，政府正積極以BOT模式推動民間參與公共建設，冀能引進民間的資金與經營效率，解決政府財政不足的窘局。但，BOT計畫風險高且涉及公共利益，為達社會公利與民間利益之平衡，常有重要特許設計之安排，如放棄投資選擇權與最低營收保證等，此時，若以傳統現金流量折現法評估計畫，將無法反應特許公司在投資與營運過程中的彈性價值。因此，本研究特應用實質選擇權相關理論，建立BOT計畫籌辦始點投資選擇權評估模式與最低營收保證複式選擇權評估模式，以擴展淨現值的觀念，評估BOT計畫籌辦始點的各項價值，包括：投資淨現值、放棄投資選擇權，及最低營收保證政策價值。 本研究並以台灣高速鐵路計畫為例，計算特許公司於計畫籌辦始點的各項價值，並進行敏感度分析，以提供BOT特許設計參考。研究結果顯示：第一，當計畫擁有放棄投資選擇權時，計畫整體價值（擴展淨現值）將提高；第二，政府若另提供最低營收保證時，計畫的總彈性價值將會增加，但由於其與放棄投資選擇權同屬消除營收下方風險之選擇權，故總彈性價值小於兩者分別評價之和；第三，特許公司所交付的履約保證金，能降低放棄投資選擇權價值，然而，在有最低營收保證下，履約保證金之交付能提高最低營收保證政策於計畫籌辦始點之評價，對計畫之推行具正面意義。

Recently the Government has sharply increased spending on current accounts, which has led to serious budgetary constraints on public infrastructure spending. To overcome the budgetary problem, the Government has tried to encourage private participation in infrastructure through the BOT model. BOT infrastructure projects usually involve substantial risks, but they usually can generate certain level of positive externalities. To attract private investment and to balance public benefits, policy makers need to consider the application of innovative policy instruments in BOT concession designs, such as the use of minimum revenue guarantee and allowing private investors to abandon BOT projects in different project phases. The use of these instruments has encountered serious valuation problems, however, and these problems cannot be solved by conventional project appraisal approaches such as the DCF method. This research uses the Black & Scholes model to derive a real-option model for the valuation of the options to abandon BOT projects in the pre-construction stage. This research also models minimum revenue guarantee in BOT projects as compound options and derives a real-option model for their valuation. The Taiwan High-Speed Rail project is used as a real case to apply the derived models. The results show that both minimum revenue guarantee and the option to abandon project in the pre-construction stage will increase project values. Project values increased by minimum revenue guarantee and the option to abandon are not straight additive, however, due to the interaction between these two options. In addition, the use of performance bonds will reduce the value of option to abandon BOT projects. Overall, this research finds that real option models can be derived and applied satisfactory in the valuation of innovative policy instruments in BOT concession desig