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| Title: | 企業實質價值之研究--模糊實質選擇權模型
The Research on Real Value of Enterprises --The Fuzzy Real Option Model |
| Authors: | 錢家驊
Chien,Chia Hwa |
| Contributors: | 胡聯國
錢家驊
Chien,Chia Hwa |
| Keywords: | 實質選擇權
模糊理論
模糊實質選擇權
參數估計
太陽能
real option
fuzzy
fuzzy real option
parameter estimation
solar power |
| Date: | 2007 |
| Issue Date: | 2009-09-18 14:14:46 (UTC+8) |
| Abstract: | 本研究以Schwartz與Moon（2000）提出的實質選擇權模型為基礎，再引入模糊理論，建立模糊實質選擇權模型。太陽能產業的益通為樣本公司，進行參數估計，並使用蒙地卡羅模擬，估計益通的合理價值。經過敏感度分析更進一步瞭解，影響公司價值最重要的因子為期初收入成長率與成本。
將本模型應用到其他電子產業，發現公司的股價常有遭到市場高估或低估，而偏離真實價值的情形發生。因此本研究建立一套投資策略，並參考模型估計的合理價格為投資的依據，希望能夠賺取價差。策略模擬的結果，獲利能力明顯優於長期持有的方式，也證明了本模型的實用性。
In this study, we use the real option model from Schwartz and Moon (2000) as the basis, and then combine it with fuzzy theory to create Fuzzy Real Option Model. This study takes one company in solar power industry － E-TON as the sample company to conduct the parameter estimation. We also adopt the Monte Carlo Simulation method to assess the reasonable value of E-TON. After the sensitivity analysis, the results show that initial rate of growth in revenues and cost are the most important factors which influenced on the value of a company.
Furthermore, we apply this model to other companies in electronics industry and discover that the stock prices are often overvalued or undervalued by the market. Therefore, we develop a set of investment strategies for people who want to make profits from the difference of prices. The result of strategic simulation shows that profit is apparently better than the way of buying and holding, and it proves the practicability of this model as well. |
| Reference: | 中文文獻：
1.林家帆（2001），「以實質選擇權法評估高科技產業股價」，國立政治大學金融研究所碩士論文。
2.吳貴淳（2006），「太陽能電池的材料回收處理與再利用研究」，國立交通大學精密與自動化工程學程碩士論文。
3.吳聲庭(2006)，「研發人員職能之研究-以國內太陽能光電産業為例」，中華大學經營管理研究所碩士論文。
4.益通光能有限股份公司民國九十五年公開說明書。
5.益通光能有限股份公司民國九十六年公開說明書。
6.黃玉枝（2002），「以實質選擇權觀點進行公司評價」，國立東華大學國際經濟研究所財務經濟組碩士論文。
7.黃繼賢（2003），「實質選擇權在投資計畫評估之應用：統寶光電投資方案」，國立成功大學企業管理研究所碩士論文。
8.陳為謙（2006），「管理彈性之價值—應用模糊實質選擇權於投資專案評價」，國立台灣科技大學資訊管理系碩士學位論文。
英文文獻：
1.Carlsson, C. and Fuller, R.(2000), “On Fuzzy Real Option Valuation.” Turku Centre for Computer Science, Technical Report: TUCS-TR-367.
2.Carlsson, C. and Fuller, R.(2000),“Real option evaluation in fuzzy environment.” Proceedings of the International Symposium of Hungarian Researchers on Computational Intelligence, p.69-77.
3.Dixit A. and R.S. Pindyck（1995）, “The Options Approach to Capital Investment.” Harvard Business Review, vol.73:p105-115.
4.Eduardo S. Schwartz and Mark Moon(2000), “Rational Pricing of Interest Companies.” Financial Analysts Journal, vol.56: p.62-75.
5.Eduardo S. Schwartz and Mark Moon(2001), “Rational Pricing of Interest Companies Revisited.” The Financial Review, vol.36: p.7-26.
6.F. Black and M. Scholes（1973）, “The Pricing of Options and Corporate Liabilities.” Journal of Political Economics, vol.81 p.637-659.
7.John C. Hull(2002), Options,Futures,and Other Derivatives/5e.
8.Keith J. Leslie, Max P. Michaels（1997）, “The Real Power of Real Options.” The McKinsey Quarterly, No. 3.
9.Myers S.C.（1977）, “Determinants of Corporate Borrowing.” Journal of Financial Economics, vol.5:p147-175.
10.Robert L. McDonald（2006）, “The Role of Real Options in Capital Budgeting: Theory and Practice.” Journal of Applied Corporate Finance, vol.18:p27-40.
11.Trigeorgis L. and S.P. Mason（1987）, “Valuing Managerial Flexibility.” Midland Corporate Finance Journal 5, no.1:p14-21 |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
95351034
96 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0095351034 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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