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題名:高科技產業股票之評價--實質選擇權評價法
書刊名:管理評論
作者:林家帆陳威光 引用關係郭維裕 引用關係
作者(外文):Lin, Chia-fanChen, Wei-kuangKuo, Wei-yu
出版日期:2002
卷期:21:3
頁次:頁97-113
主題關鍵詞:實質選擇權企業評價高科技產業Real optionsBusiness valuationHigh technology industry
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(6) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:6
  • 共同引用共同引用:6
  • 點閱點閱:53
一般用來衡量企業實質價值的方法有三類:現金流量折現法、相對評價法(如本益比法)以及實質選擇權模型。傳統的現金流量折現法忽略了管理者的決策彈性;本益比法會受到盈餘品質的影響。由於高科技產業具有潛在獲利高而下方風險有限的特性,類似買權,因此本研究以實質選擇權法來評估高科技公司之股價,期能更真實地反映企業價值。本研究以Schwartz & Moon (2000)連續時間下的實質選擇權模型來評估台灣IC設計產業龍頭-威盛電子股份有限公司股票理論價值。根據威盛公司之相關歷史資料估計參數,代入模型求算理論股價,並與民國90年第一季實際股價比較,本文發現實際股價與理論股價346.54元相當接近。而由敏感度分析的結果發現影響威盛股價的四個關鍵參數,包括成本占收入之比率、賺取超額報酬之期間、企業終值和收入成長率隨機過程之回復平均速度。
The valuation of high-tech companies has been a controversial issue in the academic literature. Since high-tech companies have option-like characteristics and asymmetric payoffs, this study applies real-options pricing model by Schwartz and Moon (2000) to obtain the fair stock price of Very Innovative Architecture Technologies (VIA), the world's largest PC core logic chipset supplier with growing exposure to communications chips and microprocessors. After estimating the parameters and solving the model by Monte Carlo simulation method, the fair stock price of VIA Technologies is $346.54, which is close to the market prices in the first quarter of 2001. In addition, this study performs sensitivity analysis in order to determine those critical parameters that have significant effect on the fair stock price. As a result, we find that four critical parameters are cost-to-revenue ratio, horizon of the estimation, terminal value and speed of adjustment for the rate of growth process.
期刊論文
1.Kellogg, D.、Charnes, J. M.(2000)。Real-options Valuation for a Biotechnology Company。Financial Analysis Journal,56,76-84。  new window
2.Dixit, Avinash K.、Pindyck, Robert S.(1995)。The Options Approach to Capital Investment。Harvard Business Review,73(3),105-115。  new window
3.Paddock, J. L.、Siegel, D. R.、Smith, J. L.(1988)。Option Valuation of Claims on Real Assets: The case of Offshore Petroleum Leases。The Quarterly Journal of Economics,103(3),479-508。  new window
4.Trigeorgis, L.、Mason, S. P.(1987)。Valuing Managerial Flexibility。Midland Corporate Finance Journal,5(1),14-21。  new window
5.Schwartz, E. S.、Moon, M.(2000)。Rational pricing of internet companies。Financial Analysts Journal,56(3),62-75。  new window
6.Kester, W. C.(1984)。Today's Options for Tomorrow's Growth。Harvard Business Review,62(2),153-160。  new window
7.Myers, Stewart C.(1977)。Determinants of Corporate Borrowing。Journal of Financial Economics,5(2),147-175。  new window
會議論文
1.林家帆、陳威光、郭維裕(2002)。高科技產業股票之評價-實質選擇權評價法。沒有紀錄。new window  延伸查詢new window
研究報告
1.Dan, Heyler(2001)。VIA Technologies。沒有紀錄。  延伸查詢new window
圖書
1.Brennan, M.、Trigeorgis, L.(2000)。Project Flexibility, Agency, and Competition: New Developments in the Theory and Application of Real Options。Project Flexibility, Agency, and Competition: New Developments in the Theory and Application of Real Options。New York, NY:Oxford University Press。  new window
2.Copeland, Tom E.、Koller, Tim、Murrin, Jack(1994)。Valuation: Measuring and Managing the Value of Companies。New York, NY:John Wiley & Sons。  new window
3.Trigeorgis, Lenos(1996)。Real Options: Managerial Flexibility and Strategy in Resource Allocation。The MIT Press。  new window
其他
1.Schwartz, E.,Moon, M.(2001)。Rational Pricing of Internet Companies Revisited,Los Angeles, CA。  new window
 
 
 
 
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