实物期权创造价值的实证分析

上海交通大学硕士学位论文实物期权创造价值的实证分析姓名：刘宏达申请学位级别：硕士专业：会计学指导教师：张天西20090101IIIHHTHH2006-2007IIIANEMPIRICALSTUDYONVALUECREATIONOFREALOPTIONABSTRACTInthisvigorous,uncertainanddrasticallycompetitivebusinessworld,thecorporatecashflowisalwaydifferentfrommanagers'originalexpectation,whichthetraditionalvaluationmeasuretoevaluatethecorporateaccurately.ThusRealOptionTheorywasrised.Applyingfinancialoptiontheorytocompanymanagement,Realoptiongavethemanagersoptionsforfuturemarketplananddecisionmodification.Soitwouldabsolutelycreatevalueforcompaniesintheory,whichalwayswasignoredbytraditionalvaluationtheory.TostudyrealoptiononthevaluecreationfuctionandtheimpacttoHigh-TechCompanies,thedissertationemploystheempiricalstudyofShanghai&Shenzhenstockmarkets.ThemaincontensandconclusionsareasfollowsIntheChapterOne,thispaperhadasummaryonthemotivationandthemeaningoftheresearch.Thesecondchapterintroducedtherealoptiontheorysystematically,andanoverviewoftheresultsputforwardbyforeignanddomesticscholars.Thethirdchapterstudiedonthetwofactors-uncertaintyandflexibility,whichimpactedthevalueofrealoptionsignificantly.ChapterFourandChapterFiveconstructedtwo-stageIVmodelstostudyonthevaluecreationfunctionofrealoptionandwhetherrealoptionaffectedthevalueofHigh-Techcompaniesmoresignificantlythannon-High-Techones.Inthefirststageempiricalstudy,thedissertationdividedthesamplesintofourgroupsbyflexibilityanduncertaintyfigures,anddefinedtheHHgroupasrealoptionholder.AfterresearchingtheresultsofT-testandlinearregressionmodel,itarrivedattheconclusionthatHHgroupcreatedmorevaluefortheirshareholdersandrealoptioncreatvalueforthecompaniesandshareholders.Onthebaseofthefirst-stagemodel,thesecond-stagemodelcontinueresearchingonrealoptionownedbytheHigh-TechCompanies,anddividedthesamplesintotwogroups,High-Techcompaniesandon-High-Techones.Afterresearchingtheresultofgrouplinearregressioncomparing,itarrivedattheconlusionthattherealoptionownedbytheHigh-TechCompanieshadgreaterimpactonthevalueofthewholecompanythanon-High-Techones.KeywordsRealOption,Uncertainty,ManagementFlexibility,ValueCreation11.1DCFNPVDCFDeferExpandContractAbandon2VI1.2B-S2001-2007939A31.3=+T1-1Figure1-2ResearchStructure41.41-2Figure1-2ArticleStructure--562.12.1.1()()701977MITStewartMyers72.1.2(DiscountedCashFlow)DCFDCFArrowFisher(1974)RealOptionMyers(1977)2.1.3=+82.1.4Trigeorgis(Optiontodefer)(Timetobuildoption)(Optiontoalteroperatingscale)(Optiontoabandon)(Optiontoswitch)(Growthoption)1.(Optiontodefer)2.(Optiontochangescale)93.(Optiontocontract)4.(Optiontoabandon)5.(Optiontoswitch)106.(Growthoption)AmramKulatilakaWaitingoption)(Growthoption)(Flexibilityoption)(Exitoption)(Learningoption)2.22.2.12.2.1.111Dean1951HayesHayesGarvin1982DCFHodderRigge1985Hodder1986)DCFMyers(1987)DCFTrigeorgisMason(1987)BaldwinClark(1992)BaldwinTrigeorgis19932.2.2.1Myers(1977)Kester(1984)MasonMertoo(1985)TrigeorgisMason(1987)Trigeorgis1988BrealeyMyers1991KulatilakaMarcus19881992MasonMerton19852.2.2BlackScholes1973Merton1973CoxRossRubinstein1979Margrable197812Johnson1987Geske1979Carr19882.2.32.2.3.1IngersollRoss1992MajdPindyck1987Carr1988Trigeorgis1993TrigeorgisMason1987Pindyck1988McDonaldSiegel1985BrennanSchwartz1985MyersMajd1990Margrable1978Kensinger1987Kulatilaka1988KulatilakaTrigeorgis1994BaldwinRuback1986BrealeyMayers1991Kester1993TrigeorgisMason1987Trigeorgis1988Pindyck1988132.2.3.2BrennanSchwartz1985BrennanSchwartzTrigeorgis1993TrigeorgisKulatilaka19952.2.3.3RobertsWeitzman1981Baldwin198214Pindyck1988Dixit1989-KogutKulatilaka1994KulatilakaMarks1988Myers1987Kester19841993Trigeorgis1988BrealeyMyers1991TrigeorgisKasanen1991Kester1993Kester1993TrigeorgisKasanen1991Kasanen1993Trigeorgis1991KulatilakaPerotti1992smitTrigeogis1993smitAnkum199315(R&D)3.111623-13-1Figure3-1UncertaintyCreateValue3.1.117Black-ScholesGeskeBOPMB-A-WBlack-Scholes3.1.2Black-ScholesBlackSholes1973-Black-ScholesBlack-Scholes1.2.S3.4.5.6.7.18BlackScholes12()()rTcSNdXeNd−=⋅−⋅3.121/21211/2ln(/)(0.5),SXrtdddttσσσ++⋅==−⋅⋅cSXrσt12()()rTpSNdXeNd−=−⋅−+⋅−3.221/21211/2ln(/)(0.5),SXrtdddttσσσ++⋅==−⋅⋅pSXrσtBlack-ScholesBlack-Scholes()2112122()ln(),()()StNttttStµσ−−:Ito3-13-23.1.31S192σ3T4r5X203.1.43-2Black-Scholes1d2dFigure3-2Thenormaldistributionof1dand2dinBlack-Scholesmodel21/21211/2ln(/)(0.5),SXrtdddttσσσ++⋅==−⋅⋅σ1/212ddtσ−=⋅σ1d2dx3-112()()rTcSNdXeNd−=⋅−⋅c3.2N213.2.13.2.23.2.32000GBMMonteCarlo2004PoissonGBM222005ud1DCF23TOLS4.14.1.1(1)(DCF)(2)B-S244-14-1LL(HL)(LH)(HH)14.1.24.1.2.1125ab//2003-2005322006-200723TQ26TobinQTobinQ=/=++/4-2itRitmtRtAiTRAiT11RTittRT==∑iTTσ2221111()TTTititttRRTTσ===−∑∑iTAEiTRAEiT11R(TitmttRRT==∑−iTVariTRAEVariTiTRRiTσ=iT4.1.2.2200110832003-20052006-20072003-2007272001-2007939WindSPSS11.5Eviews5.0SAS9.024.1.2.3-/939-4-19394-34-3/2006-2007LLN=264LHN=205/2003-2005HLN=205HHN=265-/939-4-19394-44-4/2006-2007LLN=239LHN=231/2003-2005HLN=231HHN=23828HHHH4.1.2.4111T12345+i1RIniiInvestHEPSBPSBetadustryββββββε==+++++×+∑112T12345+i1RtanIniiIngleHEPSBPSBetadustryββββββε==+++++×+∑112345115+i1TobinQOprofit/SalesFIRMSIZE+IniiInvestHDECFOdustryβββββββε==+++++×+∑