資本預算之決策分析─實質選擇權之應用

Abstract

中文摘要 由於生物科技具有的投資金額大、存續期間長、投資風險高的特徵，投資期間往往因不確定因素的存在，使營運過程充滿著不確定性，因此生物科技公司在投資建廠營運之前，均會對投資方案作審慎評估，並於未來經營期間根據實狀況再作修正。 使用傳統現金流量折現法(DCF)來評估資本投資方案,例如標準的淨現值法則(NPV) ,並無法適當地補捉調整及修改後來決策以回應未預期到的市場發展所顯現之管理上的彈性。傳統的DCF法對於現金流量的預期態勢作了些隱含的假設,同時其也推測管理者只會被動地致力於特定靜態的”營運策略”。 然而,在實際的商業活動中,卻是具有著變動性、不確定性、及競爭的互動性,同時,實際的現金流量也將可能和管理階層最初所預期的有所差異。當新訊息來到及關於市場情況和未來現金流量的不確定性逐漸獲得解決時,管理階層或許能擁有具有價值的彈性而能夠去修改其初始的營運策略以便將有利的未來機會資本化或作出其它回應以減緩損失。 對資本預算採用選擇權的評價方式將會是具有潛力能對來自於積極性管理及策略性互動的選擇權利加以概念化及數量化。這樣的價值典型地以蘊藏於資本投資機會中所匯集的 ”實質選擇權” 來表示。 本研究運用實質選擇權模型來評估生物科技公司資本投資的實質價值。吾人使用對數轉換二項演算法(Trigeorgis,1991) 來處理實質選擇交互作用的本質及評量投資方案所涵蓋多重實質選擇權的價值。 從本研究中,吾人發現如下之結論:. 1.當吾人於資本預算分析中考量三種選擇權(放棄、緊縮及擴張)後，任何一項擴展(策略性)NPV均大於靜態NPV.亦即管理彈性是具有價值的，如此也表達出投資計畫的其正價值。 2.從 “選擇權價值(溢酬)=擴展(策略性)NPV- 靜態(消極性) NPV” 公式中,我們可瞭解到靜態(消極性) NPV不該被廢棄, 反而, 其應該被視為以選擇權為基礎的擴展NPV 架構中決定性及必要性的投入要素. 3.若有越多的選擇權蘊藏於投資計劃之中,則資本投資機會將是越有價值的.所以擁有越多的管理彈性對生物科技廠商而言是非常重要的 4.因為隨後發生選擇權之呈現能夠有效地增加先前發生選擇權所依附之標的資產的價值,所以先前發生選擇權的價值會因而改變(一階交互作用)。而當發生在前的選擇權履約後將改變標的資產本身的價值,所以將使得隨後發生選擇權的價值因而隨之修改(二階交互作用)。因此,投資方案所匯集的複合選擇權價值或許會和各別選擇權相加總的價值有所差異。 5.若兩項選擇權間為相反類型且具有有限的時間間隔時,其聯合機率將是微小的,所以其交互作用也是微小的。若兩項選擇權間為相同類型且具有有限的時間間隔時,其聯合機率將是巨大的,所以其交互作用也是巨大的。 6.當其它情況不變時,投資方案的總價值將會因為毛標的資產價值增加而顯著的增加。 7.放棄選擇權及緊縮選擇權的價值將因為無風險利率增加而減少,且隨方案波動性增加而增加。 8. 擴張選擇權的價值將因為無風險利率增加而增加,且隨方案波動性增加而增加。

Abstract Since biologic technology industry has the character of huge investment, long term project, high investment risk, and always has the uncertainty during the investment period to make the operating process uncertainly, so biology technology companies must elaborately evaluate their investment projects before the stage of building a plant and operating a company, and then alter their decisions in future operation under realistic conditions. Traditional discounted-cash-flow(DCF) approaches to the appraisal of capital investment projects, such as the standard net-present-value(NPV) rule, cannot properly capture management’s flexibility to adapt and revise later decisions in respone to unexpected market developments. Traditional DCF approaches make implicit assumptions concerning an “expected scenario” of cash flows and presume management’s passive commitment to a certain static “operating strategy” However, in the actual marketplace , which is characterized by change, uncertanity and competitive interactions the realization of cash flows will probably differ from what management expected at the outset. As new information arrives and uncertainty about market conditions and future cash flows is gradually resolved, management may have valuable flexibility to alter its initial operating strategyin order to capitalize on favorable future opportunities or to react so as to mitigate losses. An options approach to capital budgeting has the potential to conceptualize and quantify the value of options from active management and strategic interactions.This value is typically manifest as a collection of “real options” embedded in capital-investment opportunities. This study applies the real option model to evaluate the real value of capital-investment for biologic technology company.Using the Log-Transformed Binomial Lattice Approach(Trigeorgis ,1991) to deal with the nature of option interactions and the valuation of projects involving mutiple real options In this study ,we find: 1. When we consider three options (abandon, contract, expand) in capital budgeting analysis, each expanded (strategic) NPV is large than static NPV. That is: each managerial flexibility is valuable and shows: the true value of capital-investment. 2.From the formula ”Option value (premium) = expanded (strategic) NPV-Static (passive) NPV”, we know that traditional static(passive) NPV should not be scapped; rather, it should be seen as a critical and necessary input to an options-based “expanded NPV” framework. 3.If there are more options embedded in an investment project, the capital-investment opportunities are more valuable. So it is very important for a biologic technology company that holding the wide range of management flexibility. 4. The value of a prior option would be altered if followed by subsequent options because it would effectively be written on a higher underlying asset(first –order interaction). While the exercise of prior real options may alter the underlying asset itself,and hence the value of subsequent options on it(second-order interaction).So the combined value of a collection of real options may differ from the sum of separate option values. 5.If the two options are of opposite types and have a given finite time separation, the joint probability well be small, and so will be the degree of interaction. If the two options are of the same type for a given finite time separation, the joint probability will be large, and so will be the degree of interaction. 6.With other factors held constant, the total project value increases significantly with gross underlying asset value. 7.The option to abandon and the option to contract decline as riskless interest rate rises,and increase as project volatility rises. 8.The option to expand increase as riskless interest rate rises,and increase as project volatility rises.