摘要
商品价格等的不确定性是市场经济条件下企业经营环境的基本特征,面对不确定性经营环境,企业在管理过程中存在各种期权。论文从实物期权理论的基本点出发,对现有的实物期权理论进行了系统归纳,提出了包括二个基本点和四个方面内容的分析体系。二个基本点为项目不确定性和管理期权,四个方面为项目不确定性、管理期权的分类和确认、管理期权的属性和特征、管理期权的建模和估价。论文以此分析体系进行组织和展开研究。
在项目不确定性方面,以商品价格为中心,论文提出异质商品价格的质量变动效应的计量模型,并用hedonic模型探讨了我国的房地产价格的质量变动效应。论文利用有关数据用GBM、ABM、MRP、具有季节效应的MRP、具有时间上的二次趋势的MRP等模型分析了白麦、橡胶、铜、铝的价格过程,分析了白麦、橡胶价格的季节效应以及白麦、橡胶、铜、铝价格的时间上的趋势,并得出结论:不同商品的价格过程具有不同的特点,有的具有显著的均值回归性,有的具有显著的单位根属性。同一种价格模型对于不同的商品具有不同的预测功效,对于不同的商品要选用不同的价格预测模型。对所有商品价格过程建立一种统一的模型是不现实的。
在管理期权的分类和确认方面,论文将企业的融资能力定义为一种期权,提出融资期权的概念,并对我国企业经营环境下融资期权的具体表现形式进行了分析,从融资期权角度对科龙事件、德隆事件进行案例研究,并得出有关结论:在国有企业股权及资产包的转让过程中,不能忽视融资期权的价值;企业要保持适当的融资能力以应付现金流波动。
在管理期权的属性和特征方面,论文提出管理期权的企业属性和行业属性的概念。以自然资源投资、林业投资为例,具体分析了期权的行业属性。论文分析了房地产开发中的融资期权和放弃期权,对融资期权和放弃期权进行了案例研究,分析了银行贷款利率、银行贷款的条件以及银行对贷款资金的监管、开发商向承建商融资、开发商向购房户融资、开发商的声誉和实力、开发项目本身的条件及市场环境、违约成本、开发商与贷款人之间的博弈能力、期权的最优执行等对融资期权和放弃期权价值的影响,并得出结论:融资期权和放弃期权是我国房地产开发商的超额利润的重要来源,它们在房地产开发项目的价值中占有重要的比重。有关法律法规的执行力度严重影响融资期权和放弃期权的价值。政府有关部门应采取措施,完善有关法律法规,限制因法律法规不完善导致的融资期权和放弃期权的较高价值。
在管理期权的估价和建模方面,以二叉树模型为中心。论文推导了二叉树模型与GBM模型的有关参数之间的关系,在一定的假设条件下推导了项目价值与驱动因子之间的线性关系,对战略投资项目和新药研发项目内嵌的期权进行了识别,用二叉树模型对战略投资项目、新药研发项目的价值及内嵌的多种期权价值进行了估价,从成本波动性、项目价值与项目毛利的函数关系、期权的次优执行、期权的管理策略、稳健性原则等方面对影响期权价值的因素进行了深入分析,并得出结论:通过合理建模,二叉树模型可以成为企业期权价值管理的有用工具。
The uncertainty of commodity price and so on is the basic characteristic of the environment in which enterprises operate in a market economy, and in the face of an uncertain operating environment, enterprises have some managerial options within the managerial process. The research presented in this dissertation focused on two basic themes of real option theory: uncertainty and managerial options. The research used a range of analytic tools, combined an empirical test with a normative test, and integrated qualitative analysis with quantitative analysis. It focused on the theoretical and practical values of research results.
The research summarized the current real option literature systematically, and put forward an analytical framework which comprised two basic themes and four aspects. The two basic themes are uncertainties of project and managerial options, and the four aspects are uncertainties of project, the classification and recognition of managerial options, the features and characteristics of managerial options, the modeling and valuation of managerial options. Based on the above-mentioned analytical framework, the research is organized and the questions are studied.
For the aspect of uncertainties of project, the research focused on the issue of commodity price uncertainty. The research analyzed the theoretical and empirical one-factor, two-factor and three-factor models for a homogeneous commodity. It discussed the hedonic price model for a heterogeneous commodity. Based on hedonic model, the research set out the way to measure the quality change effect of heterogeneous commodity price, and analyzed quality change effect of Chinese real estate price. It analyzed the price processes of white wheat, natural rubber, copper and aluminum with relevant data and one-factor models based on the AR (1) process which included GBM, ABM, MRP, MRP with seasonal effect, MRP with quadratic trend. It discussed the seasonal effects of white wheat and natural rubber, and analyzed the quadratic trends of white wheat, natural rubber, copper and aluminum. It gets the following conclusions. The price processes of different commodities have different properties. Some have significant mean-reversion property, and some have significant unit root property. The same price models have different forecasting efficiency for different commodities, and different price forecasting models should be selected for different commodities. So specifying the same model for different commodities is unrealistic.
For the aspect of classification and recognition of managerial options, the research defined the firm’s financing capability as an option, and highlighted the concept of the financing option. It analyzed the various financing options of Chinese firms, and studied the cases of Kelon and Delong and their financing options. The discussion suggests that in the sales process of state-owned enterprises and assets, the value of financing options should not be ignored. The enterprise should establish coexisting, multi-winning relations with banks, suppliers and retailers, and keep its ability to secure the necessary financing in order to cope with the fluctuations of cash flow.
For the features and characteristics of managerial options, the research discussed the fact that managerial options may have an enterprise specific or industry specific nature. The managerial options are not only correlated with an enterprise’s ability to discover and manage options. The value function of the underlying assets and the manner of exercising managerial options also have evident industry-specific features. The research discussed the reserve valuation, exploration option, growth option, and exit option in natural resource investments. It analyzed the timing option in forestry investments. The products and production systems of different industries have different features, and each enterprise has many managerial options, so specifying the same valuation model for different industries and options is unrealistic. The research studied the options of real estate development. The managerial options of real estate sector have unique characteristics under Chinese enterprises’operating environment. The research analyzed the financing option and abandonment option for Chinese development project, and studied a case of managerial options for real estate development. It analyzed the impacts of loan interest rate, the conditions and supervision of bank loans, the behaviors of developers’financing through builders and buyers, the fame and financial strength of developers, default costs, the bargaining power of developers, and optimal exercise of options on the value of financing option and abandonment option. The results indicate that the financing option and abandonment option are important for the project value in a real estate development, and they are main sources for the Chinese developers’excessive profits. The enforcement of law influences the value of financing option and abandonment option greatly. The government should take measures to perfect law and curtail developers of gaining unreasonable value of financing option and abandonment option.
For the aspect of modeling and valuation of managerial options, the research focused on binomial model. The research derived the parametric relationship between the binomial model and the GBM, and measured the linear relationship between the driver and the project value. It valued the strategic investment and new medicine R&D and their nested options with the binomial model. It analyzed the factors that influence the value of options, such as cost volatility, the relationship between project value and project gross profit, the sub-optimal exercise, the management policies of options, and the conservatism principle in the business administration. It suggests that through reasonable modeling, the binomial model may be a helpful tool for managing the value of enterprises’options.
引文
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