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    题名: 應用實質選擇權於購併專案評估
    其它题名: The real options approach to merger and acquisition
    作者: 江宜潔;Chiang, Yi-chieh
    贡献者: 淡江大學財務金融學系碩士在職專班
    邱忠榮;Chiou, Jong-rong
    关键词: 實質選擇權;事件樹;敏感度分析;購併;Real option;Event tree;Sensitivity analysis;M&A
    日期: 2006
    上传时间: 2010-01-11 01:05:35 (UTC+8)
    摘要: 鑒於近年產業面臨同業過度競爭毛利下降,均促使企業購併風潮在各地風起雲湧的進行中。目前企業界中評估投資的決策核心模型尚以「淨現值」法或稱現金流量折現法為主,但僅以淨現值法評估投資案則會有低估投資價值的可能。因為淨現值法是以預期未來的現金流量折現後算得的投資價值,且淨現值法疏於考慮「彈性」的價值,例如管理者可視專案的發展擁有彈性的中止、增加或減少生產量等權利,而這些權利都是淨現值法無法考慮的。
    有鑑於此,本文期望以實質選擇權評價模式導入購併專案的評估,使企業界重視並研究應用於購併專案的評估,以增加了解風險並提供管理者更佳之決策彈性。
    本文以ABC 公司之購併專案為例,以實質選擇權評估專案的價值,得到的結論為:
    1. 專案的淨現值為負50,671 千元,且考量專案相關的不確定因素下經由蒙地卡羅模擬,得出平均報酬率為9.4%及專案的標準差為19.8%,顯示此購併專案的報酬率尚可但仍具相當之風險。
    2. 依照傳統的投資評估淨現值法分析此專案,因為其淨現值為負值,故應拒絕投資此購併專案。但依實質選擇權分析加入考量管理的彈性和價值後,得到結論為此購併案應予以進行。
    3. 需特別注意的是,本專案除了生產的產品以及產品市場價格之影響外,匯率和要求報酬率( 折現率) 對專案的報酬影響也很大,此為產業特性故公司需配合積極之匯利率避險,以免因匯利率波動造成專案報酬率之降低。
    According to the gross margin is going down in industry, M&A activity start to popular in companies. In Taiwan, IT industry is especially had a hard time in industry survive. Traditional corporate investment decisions are base on the NPV method to evaluation projects. Due to static and exible characteristics, traditional investment valuation methods are inadequate to meet the requirement of decision making in M&A. It has been twenty years since Stewart Myers first suggested that the application of option pricing techniques to corporate investment projects could help to heal the rift between finance and strategic planning in the corporation. However, a 2002 survey of Fortune 1,000 CFO’s found that only 11% of the 205 CFO’s surveyed used real options analysis. The purpose of this study is to apply ROA methods in valuing investment opportunities of M&A that contain real options. Major findings are summarized as follows:
    The static NPV is negative NT50.6 millions and the project’s standard deviation is 19.8%, that means the project contains a lot of opportunity and real option approach
    could be a good method to add the project’s value.
    Under the condition of manager has the option to extend (scenario 1), the NPV increases 5.36%, while when manager both has the option to extend and abandon the NPV increases 19.17%. This shows consider the option of the project, the NPV is turn to positive and that means the manager should accept the M&A under applying real option approach.
    From sensitivity analysis results, the factors which affect the project’s rate of return from high to low is DT volume, discount rate, US dollar against new Taiwan dollar exchange rate, MB volume, DT ASP and MB ASP.
    Manager should pay more attention on the volatility of interest rate and exchange rate, this is because the IT industry pay to vendors and receive from customers all by
    US dollar. Manager should take hedge action in both interest rate and currency exchange rate to prevent the risk of reduce the rate of return of the project.
    显示于类别:[財務金融學系暨研究所] 學位論文

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