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題名：不確定下研發投資決策：實質選擇權賽局方法之應用
作者：邱清顯
作者(外文)：Ching-hsien Chiu
校院名稱：國立中山大學
系所名稱：企業管理學系研究所
指導教授：林財源
陳安琳
劉維琪
學位類別：博士
出版日期：2006
主題關鍵詞：隨機影響；R&D投資；實質選擇權；實質選擇權賽局；real options game；stochastic impact；R&D investment；real options
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本文假設企業之R&D投資案未來現金流量，依循算術布朗運動與布阿松(跳躍)過程。本研究考量不同隨機影響，分別是常態分佈、負指數分佈、與Laplace分佈，進行不同市場結構下之R&D投資決策評估。
本研究的第一個模型，旨在建構不同隨機影響下獨占R&D投資決策。研究結果與Cossin et al. (2002)不同，發現Cossin et al.在評估一次性投入投資決策價值、兩階段投資決策價值及撤資決策價值，存在低估情形。而敏感度分析結果顯示： (1)對一次性投入R&D投資決策價值呈正向關係的參數，為專案現金流量成長率、突發事件發生頻率、常態分佈平均數、常態分佈標準差，期初投資；(2)而與撤資決策價值正向關係的參數，為專案現金流量成長率、突發事件發生頻率、常態分佈平均數、常態分佈標準差。
本研究的第二個模型，將獨占擴展為雙占，旨建立不同隨機影下雙占R&D投資決策。研究結果符合Tsekrekos (2003)的預期，不確定性愈大，雙占企業之投資門檻愈高。而敏感度分析結果顯示：(1)與領導者研發投資門檻正向關係的參數，為標準差、突發事件發生頻率、折現率、投資成本、常態分佈平均數與常態分佈標準差。而與領導者研發投資門檻呈負向關係的參數為成長率及市占率；(2)與追隨者研發投資門檻正向關係的參數，為標準差、市占率、突發事件發生頻率、折現率、投資成本、常態分佈平均數與常態分佈標準差。而與追隨者研發投資門檻呈負向關係的參數，為成長率。
本研究第三個模型，將模型擴展為寡占，旨在建立不同隨機影響下寡占R&D投資決策。研究結果符合Grenadier(2002)的預期，在其他情況不變下，如果產業競爭程度越高，投資門檻值愈低。即在產業企業數愈多，寡占產業中企業有提前投資的威脅存在。而敏感度分析結果顯示：(1)與寡占研發投資門檻正向關係的參數，為標準差、突發事件發生頻率、折現率、單位投資成本、產業供給；(2)與寡占研發投資門檻呈負向關係的參數，為產業企業數目、成長率及需求彈性。
This dissertation assumes the R&D investment future cash flows of a firm which follows an arithmetic Brownian motion and Poisson (jump) process. This study evaluates the R&D investment decisions under different market structure while considering the stochastic impact scales are the normal, negative exponential, and Laplace distributions, respectively.
The first model of this dissertation aims to build monopoly R&D investment decisions under different stochastic impact scales. The result of this study is different from Cossin et al. (2002), since it shows that the outcome of Cossin et al. (2002) has underestimated decision values in assessing lump-sum investment, staging investment, and liquidation decisions.
Sensitivity analysis reveals the following: (1) the positive relation parameter for the lump-sum investment is the cash flow growth rate of project, frequency of jump event, time of jump event, mean and deviation of normal distribution, and initial cost. (2) The positive relation parameter for liquidation decisions is the cash flow growth rate of project, frequency of jump event, time of jump event, and mean and deviation of normal distribution.
The second model of this dissertation extends the monopoly to duopoly, and it aims to build the duopoly R&D investment decisions under different stochastic impact scales. The result of the study accords with Tsekrekos (2003) that with more uncertainty, there are more duopoly investment thresholds.
Sensitivity analysis reveals the following: (1) the positive relation parameter for the leading R&D investment thresholds is deviation, frequency of jump event, discount rate, investment cost, and mean and deviation of normal distribution, while the negative relation parameter is the growth rate and market share. (2) The positive relation parameter for the follower R&D investment thresholds is deviation, market share, frequency of jump event, discount rate, investment cost, and mean and deviation of normal distribution, while the negative relation parameter is the growth rate.
The third model of this dissertation extends to oligopoly, and it aims to build the oligopoly R&D investment decisions under different stochastic impact scales. The result of the study accords with the expectancy of Grenadier (2002), that while other things being equal, the more industry''s competition degree, the lower oligopoly investment thresholds. Namely the higher the numbers of firms in an industry, those oligopoly firms have more incentives to invest early.
Sensitivity analysis shows the following: (1) The positive relation parameter for the oligopoly R&D investment thresholds is deviation, frequency of jump event, discount rate, unitary investment cost, and mean and oligopoly supply, while the negative relation parameter is the growth rate and market share. (2) The negative relation parameter is the number of firms in the industry, growth rate, and demand elasticity.
邱清顯、劉維琪、林達榮(2006)，「不同隨機影響規模下創投投資決策：實質選擇權法」，管理與系統，第十三卷第四期 ，頁 393-413。new window
陳奉瑤(2003) ，「可更新土地開發價值之研究」，台灣土地研究，第六卷第一期，頁 1-16。new window
張傳章、鍾炫城、林秋發 (2001)，「同時考慮R&D與市場需求不確定下之高科技產業投資方案評估分析」，管理學報，第十八卷第四期，頁 589-616。new window
張靜玫(2004)，「實質選擇權與賽局理論在產品開發競爭策略之應用」，new window
科技管理學刊，第九卷第四期，頁 129-148。
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