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Title:	最適投資決策與產品生命週期--實質選擇權分析法
Authors:	廖四郎;陳坤銘;鄭宗松 Chen, Kun-Ming
Keywords:	不可回復性;產品生命週期;實質選擇權 Irreversibility;Product Life Cycle;Real Options Approach
Date:	2003-09
Issue Date:	2008-12-03 13:55:21 (UTC+8)
Abstract:	本文應用實質選擇權分析法探討廠商最適投資決策問題。當投資計畫具有不可回復性、時間選擇性及現金流量不確定性時，傳統淨現值法無法評價投資計畫的時間與營運彈性，因而低估投資計畫價值。本文之特性在於同時將產品生命週期以及市場獨占力之影響納入模型中。我們所得之最適投資時點將比淨現值法延後，但是比McDonald and Siegel(1986)模型提前。最後，本文利用數值方法探討影響最適投資決策的決定因素。本文發現，當廠商獨占力量愈大、產品生命週期愈長、不確定程度增加、折現率較低以及當成本與收益函數有負相關時，都會提高投資的門檻及其實質選擇權價值，導致最適投資時點往後延遲。 This paper applies a real options approach to analyze optimal investment decision. When the investment projects have the characteristics of irreversibility, uncertainty and the ability to wait, the traditional Net Present Value (NPV) method will underestimate the value of investment, since it neglects the values of timing and operational flexibility. The distinctive feature of this paper is that the effects of product life cycle as well as market power are incorporated into the model. It is shown that the optimal waiting of the investment is shorter than the models of McDonald and Siegel(1986). Finally, a numerical method is used to analyze the determinants of optimal investment decision. Our results indicate that the investment-ratio threshold will be higher and thus the optimal entry time of the investment will delay when (1)the market power is larger, (2)the product life is longer, (3)the uncertainty is larger, (4)the discount rate is lower, and (5)the correlation between cost and revenue is more negative.
Relation:	中山管理評論, 11(3), 571-596
Data Type:	article
Appears in Collections:	[Department of International Business] Periodical Articles

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