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系統識別號 U0026-0812200914114822
論文名稱(中文) 資本預算之營運槓桿選擇權評價
論文名稱(英文) The Valuation of Operating Leverage Option in Strategic Asset Allocation
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance & Banking
學年度 96
學期 2
出版年 97
研究生(中文) 林偉仁
研究生(英文) Wei-Jen Lin
電子信箱 r8693118@mail.ncku.edu.tw
學號 r8693118
學位類別 碩士
語文別 英文
論文頁數 74頁
口試委員 指導教授-王明隆
口試委員-沈士育
口試委員-陳嬿如
中文關鍵字 實質選擇權  不可逆成本  營運槓桿 
英文關鍵字 Operating leverage  Real option  Irreversible cost 
學科別分類
中文摘要 本研究發展兩期離散式資本預算之評價模型,企業可藉由內含之營運槓桿選擇權調整其生產要素-勞動及資本,以達投資計畫價值及營運槓桿之最佳化,其營運槓桿選擇權包含遞延選擇權、擴充選擇權、放棄選擇權及保留選擇權。在市場風險因子呈幾何布朗運動下,可運用其機率密度函數與期望值方法,由數值微積分求得營運槓桿選擇權價值及企業之最適營運槓桿。本論文亦研究營運槓桿選擇權如何影響企業最適營運風險之決策,且與忽略營運槓桿選擇權之投資計畫比較營運風險分散效果。
研究結果發現,營運槓桿選擇權不但能提高投資計畫價值,亦可降低期初資本投入及投資計畫之營運風險。再者,當市場波動率高時,期初投入較低的資本能有效的提高計畫價值,反之則反。投資過多資本相較於投資過少資本之計畫價值來的大,但營運風險亦大;投資過少資本之計畫價值顯著地被營運槓桿選擇權所影響。另外,當市場波動率低時,企業應著重評估期初資本投入量之精準度;當市場波動率高時,企業除了評估期初資本投入量之精準度外,亦須著重評估計畫期間之擴充、保留及放棄選擇權對投資計畫所帶來之價值。
英文摘要 In this article we consider a two-period investment project in which we include the option to wait, option to expand, option mothball, and option to abandon. In addition we also specify the optimal inherent operating risk measured by the degree of operating leverage in an investment project for a more precise evaluation of the feasibility. We assume that the market uncertainty follows the geometric browning motion, and the managerial flexibility, or the operating leverage option, is the flexibility to optimally control the production inputs, capital and labor, for maximizing project NPV. We adopt the Numerical Calculus to solve the project value with and without the managerial flexibility to specify the value of the operating leverage option and the optimal degree of operating leverage of the firm.
We show that the operating leverage option can enhance the project value and diversify the inherent operating risk. Our numerical example also shows that lower initial capital investment would be suitable when the volatility is high, and the converse is also true. Moreover, overinvestment is more valuable than underinvestment in an investment project, but the overinvestment brings higher operating risk, while the underinvestment creates the potential enhancement on project NPV in the future. In addition, when a firm overinvests or underinvests an investment project, it should focus mainly on the accuracy of the initial capital investment when the volatility is low, while it also needs to focus on the expanding, mothballing, and abandoning strategies when the volatility is high.
論文目次 ABSTRACT III
TABLE OF CONTENTS V
LIST OF TABLES VIII
LIST OF FIGURES IX
CHAPTER 1 INTRODUCTION 1
1.1 Research Background and Motivation 1
1.2 Research Objectives 3
1.3 Structure of Thesis 4
CHAPTER 2 LITERATURE REVIEW 5
2.1 Financial Option 5
2.1.1 European Options 5
2.1.2 American Options 6
2.1.3 Analytic Solution 6
2.1.4 Numerical Approximation 7
2.2 Option to Delay 9
2.3 Option to Expand 11
2.4 Option to Abandon 13
2.5 Degree of Operating Leverage 15
CHAPTER 3 METHODOLOGY 17
3.1 Definition of Degree of the Operating Leverage 17
3.2 Basic Assumptions 18
3.3 Valuation of an One-Period Capital Budgeting 25
3.3.1 Valuation of the Project Given a Certain Capital Investment 26
3.3.2 Optimal Capital Investment and Net Present Value at the Time Point 0 28
3.4 Valuation of a Two-Period Project and the Operating Leverage Option 29
3.4.1 Valuation of the Project Given a Certain Capital at the Time Point 0 30
3.4.2 Optimal Capital Investment at the Time Point 0 39
3.4.3 Valuation of the Project When the Initial Capital Investment is Delayed 40
3.4.4 Investment Trigger of the Project at the Time Point 0 44
CHAPTER 4 NUMERICAL TEST 50
4.1 Project Value and Optimal Degree of the Operating Leverage 51
4.1.1 The Net Present Value of the Project 51
4.1.2 Degree of the Operating Leverage of the Project 54
4.2 The Strategies in the Project 57
4.2.1 Mothballing Strategy 57
4.2.2 Expanding Strategy 58
4.2.3 Overinvestment and Underinvestment in Initial Capital 61
4.3 Value of the Operating Leverage Option 63
4.3.1 Value of the Operating Leverage with the Flexibility to Choose the Optimal Initial Capital 63
4.3.2 Value of the Operating Leverage Option without the Flexibility to Choose the Optimal Initial Capital 65
CHAPTER 5 CONCLUSION AND FURTHER RESEARCH 68
5.1 Conclusions 68
5.2 Further Research 69
REFERENCES 70
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