English  |  正體中文  |  简体中文  |  Items with full text/Total items : 50124/85142 (59%)
Visitors : 7911962      Online Users : 58
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23770

    Title: Sequential Capital Budgeting as Real Options: The Case of a New DRAM Chipmaker in Taiwan
    Authors: Duan, Chang-wen;Lin, William T.;Lee, Cheng-few
    Contributors: 淡江大學財務金融學系
    Keywords: Average sales price;CAPM;Compound options;Dividend-like yield;DRAM;Lattice method;Real call options;Secant method;Vector autoregression
    Date: 2003-03
    Issue Date: 2009-11-30 17:52:56 (UTC+8)
    Publisher: World Scientific Center, Center for PBBEF Research
    Abstract: We evaluate the initial public offering price of a new DRAM chipmaker in Taiwan in accordance with the compound real call options model of Lin (2002). The worldwide average sales price is the underlying variable, and the average production cost of the new DRAM foundry is the exercise price. The twin security is defined as a portfolio of DRAM manufacturing firms publicly listed in Taiwan stock markets. We estimate the dividend-like yield with two methods, and find that the yield is negative. The negative dividend-like yield results from the negative correlation between the newly constructed DRAM foundry and its twin security, implying the diversification advantage of a new generation of DRAM foundry with a relative low cost of investment opportunity. We solve the critical value for the multivariate normal integral with the secant method, approximating the integral with the lattice method. It has been found that there is only a 4.6% difference between the market IPO price and the estimated one.
    Relation: Review of pacific basin financial markets and policies 6(1), pp.87-112
    DOI: 10.1142/S0219091503000992
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

    Files in This Item:

    File SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback