实物期权在房地产投资决策中的应用
|
摘要
由于房地产项目投资规模大、开发周期长,并且受政策影响大,其决策具有更大的不确定性。房地产投资分析是房地产项目实施过程中的一个重要的过程,它的成败直接关系到投资的后果。现在应用非常普遍的方法是现金流量分析法(简称NPV法),这种方法忽视了房地产投资中不确定性和动态灵活性所带来的价值。实物期权是一种全新的思维方式,将实物期权方法引入到房地产项目投资决策中,能够弥补传统评估方法的不足,正确评估项目价值。
本文通过理论与实际相结合以及比较分析的方法,系统的介绍了房地产项目投资决策中的实物期权的特征、价值和定价模型,对其在房地产投资中的创造运用过程做了阐述。并结合实例,通过与传统方法的比较分析,来证实实物期权在评估项目价值方面的正确性,进一步推动实物期权方法的应用。
全文共分为六个部分。第一部分绪论部分主要阐述了本文的研究背景意义、结构及国内外关于实物期权方法的研究成果。第二部分主要介绍了几种主要的传统方法及其优缺点,提出了存在的问题,从而引出实物期权方法。第三部分介绍了金融期权、实物期权的相关概念及实物期权的产生发展、基本思想、主要类型,并且对金融期权和实物期权进行了比较。第四部分首先简要回顾了房地产和房地产投资的特征,重点分析了房地产类投资项目不同于其他项目的特性。然后给出了房地产投资决策的实物期权应用框架。第五部分对实物期权在房地产类投资项目评估中的具体运用进行了研究,通过实例指出实物期权评估克服了传统方法中的理论缺陷,阐明了在房地产投资项目评估中,实物期权评估是一种较传统方法更为理想的投资评估方法。第六部分对全文作出了总结并对今后的研究提出建议。
Real estate investment has some characteristics including large investment scale,longoperating term and easily a?ected by policy,which makes more uncertainty for decision-making. Analysis of real estate investment and decision-making is an important processin the implement of real estate project, which directly determines the result of invest-ment.A prevalent analysis method called Net Present Value method (NPV) is being usedcurrently. It neglects something of value when making real estate investment decisionsunder uncertainty and dynamic choice of timing. Real options method is a bran-newthinking mode. Introducing real options method to the real estate development projectinvestment decision-making,could make up for the insu?ciency of the traditional appraisalmethod,and correctly appraise the project value.
In this article,by unifying the theory and the fact as well as the comparative analysismethod,we systematically introduce the characteristics ,value and pricing-model of thereal option in real estate investment and decision-making,and elaborate the process of itscreative use in real estate investment.And we confirm the accuracy of the real option inthe appraisal project value aspect,by taking example and comparative analyzing with thetraditional method.
This paper is divided into 6 sections.In the first section,we mainly expatiate on thebackground and significance of the research topic, brie?y generalize the domestic andforeign study on real options,and introduce the structure of the thesis. In the secondsection,we mainly introduces some knowledge about the traditional method.Firstly weintroduce several main traditional methods,then discuss their advantages and disadvan-tages,and then give the existed problems, and accordingly educe the real options method.In the third part,we introduce the relative concepts of financial option and real option,andgive the development,basal idea and classification of real options,and then compare realoption with financial option.In the forth part, firstly we view the real estate and the investment ,then study emphatically the characteristics of the real estate investment dif-ferent from other projects.And then we propose the analytical framework of the real estateinvestment decisions based on the real option theory.In the fifth part,we study the appli-cation of real option and point out that it can overcome the defects of the traditionalmethods.Therefore,in real estate investment assessment project,real option is a kind ofmore ideal method than the traditional methods.The last part is a conclusion about thearticle and points out the way for further study.
本文通过理论与实际相结合以及比较分析的方法,系统的介绍了房地产项目投资决策中的实物期权的特征、价值和定价模型,对其在房地产投资中的创造运用过程做了阐述。并结合实例,通过与传统方法的比较分析,来证实实物期权在评估项目价值方面的正确性,进一步推动实物期权方法的应用。
全文共分为六个部分。第一部分绪论部分主要阐述了本文的研究背景意义、结构及国内外关于实物期权方法的研究成果。第二部分主要介绍了几种主要的传统方法及其优缺点,提出了存在的问题,从而引出实物期权方法。第三部分介绍了金融期权、实物期权的相关概念及实物期权的产生发展、基本思想、主要类型,并且对金融期权和实物期权进行了比较。第四部分首先简要回顾了房地产和房地产投资的特征,重点分析了房地产类投资项目不同于其他项目的特性。然后给出了房地产投资决策的实物期权应用框架。第五部分对实物期权在房地产类投资项目评估中的具体运用进行了研究,通过实例指出实物期权评估克服了传统方法中的理论缺陷,阐明了在房地产投资项目评估中,实物期权评估是一种较传统方法更为理想的投资评估方法。第六部分对全文作出了总结并对今后的研究提出建议。
Real estate investment has some characteristics including large investment scale,longoperating term and easily a?ected by policy,which makes more uncertainty for decision-making. Analysis of real estate investment and decision-making is an important processin the implement of real estate project, which directly determines the result of invest-ment.A prevalent analysis method called Net Present Value method (NPV) is being usedcurrently. It neglects something of value when making real estate investment decisionsunder uncertainty and dynamic choice of timing. Real options method is a bran-newthinking mode. Introducing real options method to the real estate development projectinvestment decision-making,could make up for the insu?ciency of the traditional appraisalmethod,and correctly appraise the project value.
In this article,by unifying the theory and the fact as well as the comparative analysismethod,we systematically introduce the characteristics ,value and pricing-model of thereal option in real estate investment and decision-making,and elaborate the process of itscreative use in real estate investment.And we confirm the accuracy of the real option inthe appraisal project value aspect,by taking example and comparative analyzing with thetraditional method.
This paper is divided into 6 sections.In the first section,we mainly expatiate on thebackground and significance of the research topic, brie?y generalize the domestic andforeign study on real options,and introduce the structure of the thesis. In the secondsection,we mainly introduces some knowledge about the traditional method.Firstly weintroduce several main traditional methods,then discuss their advantages and disadvan-tages,and then give the existed problems, and accordingly educe the real options method.In the third part,we introduce the relative concepts of financial option and real option,andgive the development,basal idea and classification of real options,and then compare realoption with financial option.In the forth part, firstly we view the real estate and the investment ,then study emphatically the characteristics of the real estate investment dif-ferent from other projects.And then we propose the analytical framework of the real estateinvestment decisions based on the real option theory.In the fifth part,we study the appli-cation of real option and point out that it can overcome the defects of the traditionalmethods.Therefore,in real estate investment assessment project,real option is a kind ofmore ideal method than the traditional methods.The last part is a conclusion about thearticle and points out the way for further study.
引文
[1] 陈小悦,杨潜林.实物期权的分析与估值[J],系统工程理论方法应用,1998,(3):6-9.
[2] Myers SC. Determinants of Corporate Borrowing, [J]Journal of Financial Economics,November,1977,5(2):325-364.
[3] Brennan,M. and E. Schwartz, 1985,A New Approach to Evaluating Natural Resource Invest-ments, Midland Corporate Finance Journal (Spring), p37-47.
[4] Titman,S. (1985): Urban Land Prices Under Uncertainty, [J]American Economic Review65,1985, 505-514.
[5] Siegel , Daniel, James Smith, and James Paddock, 1987, Valuing O?shore Oil Propertieswith Option Pricing Models, Midland Corporate Finance Journal, 5(1): 22-30.
[6] Williams, J.T. (1991):Real Estate Development as an Option, [J]Journal of Real EstateFinance and Economics 4, 1991, 191-208.
[7] Williams, J.T. (1993): Equilibrium and Options on Real Assets, [J] Review of FinancialStudies,6, 1993, 825-850.
[8] J. C. Cox, S. A. Ross, and M. Rubinstein(1979):Option Pricing: A Simplified Ap-proach,[J]Journal of Financial Economics,7(October 1979), pp.229-263.
[9] Grenadier, S.R.(1996):The Strategic Exercise of Options: Development Cascades and Over-building in Real Markets,[J]Journal ofFinance, Vol. 51(5).pp.1653-1679. December 1996.
[10] Grenadier, S.R. (2002): Option Exercise Games: An Application to the Equilibrium Invest-ment Strategies of Firms,[J] Review of Financial Studies, 15, 2002,691-721.
[11] Laura Quigg (1993) Empirical Testing of Real Option-Pricing Models,[J]The Journal of Fi-nance, VOL,XLVIII, NO.2 June 1993.
[12] Holland, A.S., Ott, S.H,and T.J. Riddiough (2000), The Role of Uncertainty in Invest-ment: An Examination of Competing Investment Models Using Commercial Real EstateData,[J]Real Estate Economics, 28 (Spring), 2000, 33-64.
[13] Sivitanidou, Rena and Petros Sivitanides,(2000),Does the Theory of Irreversible Invest-mentsHelp Explain Movements in O?ce-Commercial Real Estate Real Estate Economics,[J]28 (4),623-661.
[14] Sing and Patel (2001), Evidence of irreversibility in the UK property market, the quarterlyreview of economics and finance 41, pp.313-334.
[15] Laarni Bulan, Christopher Mayer C, Tsuriel Somerville (2002),Irreversible Investment, RealOptions, and Competition: Evidence from Real Estate Development(www.realoption.org).
[16] Kevin Gillen (2002),An Empirical Test of Property Valuation in a Real Option-PricingFramework(www.realoption.org).
[17] 范龙振,经营柔性与投资决策[J],预测,1998,(3):66-69.
[18] 严俊,试论现实期权的战略价值[J],企业经济,2001,(6):16-18.
[19] 李进涛,朱佳林,郭志涛,实物期权理论在房地产投资决策中的应用[J],2003,(2):94-97.
[20] 钱斌,刘尔烈, 实物期权在房地产估价中的应用[J],中原工学院学报, 2003,(1):54-56.
[21] 项盛辉,何芳,实物期权方法在房地产开发中的应用[J],建筑管理现代化,2002,(2):43-46.
[22] 郭晓丹,房地产开发投资决策及风险控制[J],建筑经济,2003,(12):56-58.
[23] 毛义华,邹锐,房地产开发项目的评价研究[J],工业技术经济,2003, (6):109-111.
[24] 王海东,刘洪彬,项目投资评价中现金流量的构成及评价方法的研究[J],工业技术经济,2003(2):110-111.
[25] 苏世功,初论近郊房地产开发项目的可行性研究[J], 建筑经济, 2003, (8): 55-57.
[26] 粟国敏, 房地产项目投资风险评价研究[J], 工业技术经济, 2003, (6):80-83.
[27] 何国钊,曹振良,李晟,中国房地产周期研究[J], 经济研究, 1996, (12):51-56.
[28] 谭刚,深圳房地产周期波动研究[J], 建筑经济, 2001, (8): 37-41 和2001, (9):39-42.
[29] 谭刚, 房地产周期冲击–传导模型及其主要因素分析[J],建筑经济, 2002,(6):46-48和2002,(7):16-20.
[30] 刘照德,传统投资分析法与现实期权法的比较分析[J],重庆工学院学报,2002年2期.
[31] 刘志新,期权投资学[M],北京:航空工业出版社,2001
[32] 杨春鹏,实物期权及其应用[M],上海:复旦大学出版社,2003.
[33] 金永红,叶中行,奚玉芹,价值评估[M],清华大学出版社,2004年5月第一版:74-75.
[34] John C. Hull, Options, Futures, and other Derivatives(Forth Edition)[M], Qinghua press.
[35] John C.Hull,期权、期货和其它衍生产品[M],华夏出版社,2004年第三版:312-213.
[36] 杨春鹏,实物期权及其应用[M],复旦大学出版社,2003年第一版:59-61.
[37] Geske,R.(1979)The value of compound options [J], Journal of Financial Economics,Vol.7,No.1,63-81.
[38] 马莎·阿姆拉姆,纳林·库拉蒂拉卡,实物期权-不确定性环境下的战略投资管理[M],机械工业出版社,2001年第一版:161-170.
[39] Boyle P, A lattice framework for option pricing with two state-cariables[J], Journal of Financeand QuantitativeAnalysis,1988(23):1-12.
[40] Tian.A modified lattice approach to option pricing[J],Journal of Futures Markets,1993(13):563-577.
[41] 李伟,林军,房地产投资分析与综合开发[M],机械工业出版社,北京:2003年p1-5.
[42] 代春艳, 黄正洪, 复合期权定价理论与IT 项目投资评价[J], 统计与决策, 2005(7): 133-135.
[43] 肖淑芳, 阿晓芸, 复合期权在生物制药项目评估中的应用研究[J], 北京理工大学学报(社会科学版), 2005,7(6): 24-26.60 金属材料与冶金工程Vol.35 No.2.
[2] Myers SC. Determinants of Corporate Borrowing, [J]Journal of Financial Economics,November,1977,5(2):325-364.
[3] Brennan,M. and E. Schwartz, 1985,A New Approach to Evaluating Natural Resource Invest-ments, Midland Corporate Finance Journal (Spring), p37-47.
[4] Titman,S. (1985): Urban Land Prices Under Uncertainty, [J]American Economic Review65,1985, 505-514.
[5] Siegel , Daniel, James Smith, and James Paddock, 1987, Valuing O?shore Oil Propertieswith Option Pricing Models, Midland Corporate Finance Journal, 5(1): 22-30.
[6] Williams, J.T. (1991):Real Estate Development as an Option, [J]Journal of Real EstateFinance and Economics 4, 1991, 191-208.
[7] Williams, J.T. (1993): Equilibrium and Options on Real Assets, [J] Review of FinancialStudies,6, 1993, 825-850.
[8] J. C. Cox, S. A. Ross, and M. Rubinstein(1979):Option Pricing: A Simplified Ap-proach,[J]Journal of Financial Economics,7(October 1979), pp.229-263.
[9] Grenadier, S.R.(1996):The Strategic Exercise of Options: Development Cascades and Over-building in Real Markets,[J]Journal ofFinance, Vol. 51(5).pp.1653-1679. December 1996.
[10] Grenadier, S.R. (2002): Option Exercise Games: An Application to the Equilibrium Invest-ment Strategies of Firms,[J] Review of Financial Studies, 15, 2002,691-721.
[11] Laura Quigg (1993) Empirical Testing of Real Option-Pricing Models,[J]The Journal of Fi-nance, VOL,XLVIII, NO.2 June 1993.
[12] Holland, A.S., Ott, S.H,and T.J. Riddiough (2000), The Role of Uncertainty in Invest-ment: An Examination of Competing Investment Models Using Commercial Real EstateData,[J]Real Estate Economics, 28 (Spring), 2000, 33-64.
[13] Sivitanidou, Rena and Petros Sivitanides,(2000),Does the Theory of Irreversible Invest-mentsHelp Explain Movements in O?ce-Commercial Real Estate Real Estate Economics,[J]28 (4),623-661.
[14] Sing and Patel (2001), Evidence of irreversibility in the UK property market, the quarterlyreview of economics and finance 41, pp.313-334.
[15] Laarni Bulan, Christopher Mayer C, Tsuriel Somerville (2002),Irreversible Investment, RealOptions, and Competition: Evidence from Real Estate Development(www.realoption.org).
[16] Kevin Gillen (2002),An Empirical Test of Property Valuation in a Real Option-PricingFramework(www.realoption.org).
[17] 范龙振,经营柔性与投资决策[J],预测,1998,(3):66-69.
[18] 严俊,试论现实期权的战略价值[J],企业经济,2001,(6):16-18.
[19] 李进涛,朱佳林,郭志涛,实物期权理论在房地产投资决策中的应用[J],2003,(2):94-97.
[20] 钱斌,刘尔烈, 实物期权在房地产估价中的应用[J],中原工学院学报, 2003,(1):54-56.
[21] 项盛辉,何芳,实物期权方法在房地产开发中的应用[J],建筑管理现代化,2002,(2):43-46.
[22] 郭晓丹,房地产开发投资决策及风险控制[J],建筑经济,2003,(12):56-58.
[23] 毛义华,邹锐,房地产开发项目的评价研究[J],工业技术经济,2003, (6):109-111.
[24] 王海东,刘洪彬,项目投资评价中现金流量的构成及评价方法的研究[J],工业技术经济,2003(2):110-111.
[25] 苏世功,初论近郊房地产开发项目的可行性研究[J], 建筑经济, 2003, (8): 55-57.
[26] 粟国敏, 房地产项目投资风险评价研究[J], 工业技术经济, 2003, (6):80-83.
[27] 何国钊,曹振良,李晟,中国房地产周期研究[J], 经济研究, 1996, (12):51-56.
[28] 谭刚,深圳房地产周期波动研究[J], 建筑经济, 2001, (8): 37-41 和2001, (9):39-42.
[29] 谭刚, 房地产周期冲击–传导模型及其主要因素分析[J],建筑经济, 2002,(6):46-48和2002,(7):16-20.
[30] 刘照德,传统投资分析法与现实期权法的比较分析[J],重庆工学院学报,2002年2期.
[31] 刘志新,期权投资学[M],北京:航空工业出版社,2001
[32] 杨春鹏,实物期权及其应用[M],上海:复旦大学出版社,2003.
[33] 金永红,叶中行,奚玉芹,价值评估[M],清华大学出版社,2004年5月第一版:74-75.
[34] John C. Hull, Options, Futures, and other Derivatives(Forth Edition)[M], Qinghua press.
[35] John C.Hull,期权、期货和其它衍生产品[M],华夏出版社,2004年第三版:312-213.
[36] 杨春鹏,实物期权及其应用[M],复旦大学出版社,2003年第一版:59-61.
[37] Geske,R.(1979)The value of compound options [J], Journal of Financial Economics,Vol.7,No.1,63-81.
[38] 马莎·阿姆拉姆,纳林·库拉蒂拉卡,实物期权-不确定性环境下的战略投资管理[M],机械工业出版社,2001年第一版:161-170.
[39] Boyle P, A lattice framework for option pricing with two state-cariables[J], Journal of Financeand QuantitativeAnalysis,1988(23):1-12.
[40] Tian.A modified lattice approach to option pricing[J],Journal of Futures Markets,1993(13):563-577.
[41] 李伟,林军,房地产投资分析与综合开发[M],机械工业出版社,北京:2003年p1-5.
[42] 代春艳, 黄正洪, 复合期权定价理论与IT 项目投资评价[J], 统计与决策, 2005(7): 133-135.
[43] 肖淑芳, 阿晓芸, 复合期权在生物制药项目评估中的应用研究[J], 北京理工大学学报(社会科学版), 2005,7(6): 24-26.60 金属材料与冶金工程Vol.35 No.2.