基于实物期权方法的林业投资项目评价问题研究
摘要
本文应用实物期权方法对林业投资项目的评价问题进行了研究。文章先总结了我国林业投资项目的评价现状,指出传统评价方法的不足,进而引入实物期权评价方法,指出其在投资评价和项目管理中的先进性;然后分析了林业投资项目的特点及其具有的期权特性,解释了实物期权法在林业投资项目评价中应用的必要性和可行性。而后,文章基于金融期权理论,结合林业自身的特色,构建了基于实物期权的林业投资项目评价模型。为了将理论研究与实际操作结合起来,本文还针对具体的林业项目进行了案例分析。经过分析,文章得出以下主要结论:第一,林业投资项目的期权特征主要表现在以下四方面,一是林业投资周期较长,项目的现金结构与金融期权相似;二是林业投资的不确定性比较大,且不确定性会随着时间变化而变化,类似于金融期权的到期日;三是从自然特征上来看,林木资源往往具有看涨期权的特征;四是林业投资项目的价值由未来增长期权的可能性决定而不是由当前现金流决定。第二,林业投资项目的现金流类似于研发项目,因此可以将项目分为启动、过渡和扩张三个阶段。从整体来看,项目的三个阶段彼此联系,互相依赖。第三,运用实物期权评价法得出的林业投资项目价值包括两部分内容:一部分为传统静态被动的NPV现金流,另一部分为适应决策灵活性的期权价值。
Real option analysis applied in evaluation of forestry project was studied in this article. Above all it gave a summary of forestry project evaluation currently in China and pointed out their shortages. And then it introduced real option approach. After analyzing peculiarity of forestry project and its option characteristics, the author explained necessity and feasibility of real option analysis applied in forestry project evaluation. Based on finance option theory and combined forestry features, this study constructed an evaluation model of forestry project. In order to combine theoretic study with applied one, the author used case study, applying the model to a real forestry project which comes from the author’s internship.
Finally this study got the following conclusions. First, forestry project’s option characteristics represented in four ways, because of its long cycle, the cash frame of forestry project is similar to financial option. The uncertainty of forestry investment is similarly to finance option’s deadline. From the point of natural, forest resource has the character of call option and then the value of forestry project is not decided by currently cash flow but expand option. Second, the cash flow of forestry project is proximity as research & development items. Therefore, it can be divided into start-up, intergraded and expanded phase. Third, there are two parts in the value of a forestry project evaluated by real option analysis, one is net present value gained through traditional evaluation method, the other is option value which can accommodate dynamic of the decision.
Real option analysis applied in evaluation of forestry project was studied in this article. Above all it gave a summary of forestry project evaluation currently in China and pointed out their shortages. And then it introduced real option approach. After analyzing peculiarity of forestry project and its option characteristics, the author explained necessity and feasibility of real option analysis applied in forestry project evaluation. Based on finance option theory and combined forestry features, this study constructed an evaluation model of forestry project. In order to combine theoretic study with applied one, the author used case study, applying the model to a real forestry project which comes from the author’s internship.
Finally this study got the following conclusions. First, forestry project’s option characteristics represented in four ways, because of its long cycle, the cash frame of forestry project is similar to financial option. The uncertainty of forestry investment is similarly to finance option’s deadline. From the point of natural, forest resource has the character of call option and then the value of forestry project is not decided by currently cash flow but expand option. Second, the cash flow of forestry project is proximity as research & development items. Therefore, it can be divided into start-up, intergraded and expanded phase. Third, there are two parts in the value of a forestry project evaluated by real option analysis, one is net present value gained through traditional evaluation method, the other is option value which can accommodate dynamic of the decision.
引文
[1] 安瑛晖,张维期权博弈理论的方法模型分析与发展[J].管理科学学报,2001,(2).
[2] 曹建华.林业投资项目环境影响价值评价研究[D].北京:中国农业大学,2003:12-13.
[3] 陈龙.项目投资价值分析创新方法研究[D].厦门:厦门大学,2002:7-8.
[4] 陈琦,石金涛.人力资本流动风险管理:实物期权理论应用[J].科学管理研究,2004,(2):81.
[5] 陈森等.林业投资方案的经济效果评价方法[J].云南林业调查规划设计,1998,(3):14.
[6] 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):9.
[7] 董旭东.实物期权思维对传统投资决策方法的修正[J].现代管理科学,2002(8):10.
[8] 范龙振.经营柔性与投资决策[J].预测,1998(3):66-69.
[9] 冯邦彦,徐枫.实物期权理论及其应用评介[J].经济学动态,2003(10):75-76.
[10] 葛颜祥.基于期权的林木产权评估方法[J].林业经济问题,2004(4):215.
[11] 洪志军,谭跃,程锦.实物期权在我国银行并购价值评估中的应用[J].金融经济,2004(2):25.
[12] 黄彩凤,孙军.林业投资项目财务评价体系的探索[J].华东森林经理,2004(2):61.
[13] 贾文娟.项目投资决策理论在我国的发展及未来取向研究[D].西安:长安大学,2003:13.
[14] 季峰.实物期权法在 R&D 项目投资决策中的应用研究[D].西安:西安交通大学,2004:17.
[15] 焦媛媛等.确定最优轮伐期的实物期权方法[J].西北农林科技大学学报,2003(5):169.
[16] 孔东民,毛立泳.实物期权法在投资决策中的应用分析[J].商业研究,2004(2):15.
[17] 冷克平,邱刚.战略投资中的实物期权思维[J].管理研究,2004(4):12.
[18] 李珏,李胜宏.实物期权理论应用在公司理财中的先进性[J].商业研究,2004(8):10.
[19] 林丽华.基于期权理论的投资项目评价研究[D].哈尔滨:哈尔滨工业大学,2003:8.
[20] 刘国龙.林业建设项目经济分析述评[J].云南林业调查规划设计,1998(4):47.
[21] 刘明霞.实物期权理论及其管理思维[J].科技进步与对策,2004(6):59.
[22] 刘英,宣国良.现实期权:企业战略投资决策的新视点[J].当代财经,2000(2):61-64.
[23] 马忠明,易江.专利价值评估的实物期权方法[J].价值工程,2004(1):36.
[24] 孟力,张爱玲等.不确定环境下项目评估的期权决策树研究[J].控制工程,2004(1):43.
[25] 庞东.杜婷.基于实物期权理论的无形资产定价方法探析[J].财经研究,2004(7):130.
[26] 沈玉志.黄训江.基于实物期权理论的投资项目评估方法研究[J].经济研究,2001(11):8-12.
[27] 唐和章.项目投资决策的传统方法与现代思维[J].湖南经济管理干部学院学报,2003(2):44.
[28] 王蔚松,夏健明.项目评价[M].北京:清华大学出版社,2004(8):1-2.
[29] 夏自谦.论林业项目的经济计量和评估方法[J].北京林业管理干部学院学报,2004(1):36.
[30] 谢联恒,孟繁.投资项目的传统评价方法和现实期权评价方法的比较分析[J].科技管理研究, 2001(2):54-58.
[31] 徐帮学.林业项目可行性研究与经济评价手册[M].长春:吉林摄影出版社,2002:1342-1343.
[32] 徐雪漫,宋维明.评价林业投资的实物期权方法[J].林业经济问题,2004(2):115.
[33] 严俊.试论现实期权的战略价值[J].企业经济,2001(6):16-18.
[34] 杨春鹏.实物期权及其应用[M].上海:复旦大学出版社,2003:13.
[35] 张阿芬.林业投资项目与工业投资项目可行性研究方法比较[J].林业经济问题,2004(1):36.
[36] 张维,程功.实物期权方法的信息经济学解释[J].现代财经,2001(1):10.
[37] 赵晓庆,许庆瑞.技术能力评价:理论与方法[J].科学学与科学技术管理,2001(4):8.
[38] 周少甫,刘林春.项目投资的实物期权评估方法[J].科技进步与对策,2004(4):106.
[39] Abildtrup, J., 1999. Optimal thinning of forest stands: an option value analysis-preliminary results. Scandinavian Forest Economics 37, 1-13.
[40] Armstrong Duku-Kaakyire, David M. Nanang. Application of Real options theory to forestry investment analysis. Forest Policy and Economics 6 (2004), 539-552
[41] Bo11en,N. Real options and product Life Cycles. Management Science, 1999, 45(5):670—684.
[42] Carr, P. The Valuation of Sequential Exchange Opportunities, Journal of Finance, 1988, 43(5): 1235-1256.
[43] Dixit, A.K. and Pindyck, R.S. Investment Under Uncertainty. New Jersey: Princeton, 1993.
[44] Hevert, K. T. and McLaughlin R. M. Interest Rates, Inflation and the Value of Growth Options .The Quarterly Review of Economics and Finance, 1998,38(Special Issue): 599-615.
[45] Insley Margaret.A Real Option Approach to the Valuation of a Forestry Investment[J]. Journal of Environmental Economics and Management, p. 471-492, 2002.
[46] Kellogg, D. and Charnes, J.M. Real-Options for a Biotechnology Company. Financial Analyst Journal, 2000,3: 7684.
[47] Kogut, B. Kulatilaka, N. Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network. Management Science, 1994, 40(1): 123-139
[48] Kulatilaka, N. Perotti, E.C. Strategic Growth Options. Management Science, 1998, 44(8): 1021-1031.
[49] Majd, S. and Pindyck, R.S. Time to Build, Option Value, and Investment Decisions. Journal of Financial Economics, 1987, 18(3): 7-27.
[50] Margaret Insley, Glenn Fox, and Kimberly Rollins. The Economics of Intensive Forest Management A Stand Level Analysis for the Romeo Malette Forest in Ontario, 2002.
[51] Margrabe, W. The Value of an Option to Exchange One Asset for Another. The Journal of Finance, 1978, 1: 177-186.
[52] McConnell, K.E., Daberkow, J.N, Hardie, I.W, 1983. Planning timber production with evolving prices and costs. Land Economics 59, 292-299.
[53] Robert C. Merton. Theory of Rational Option Pricing [J].The Bell Journal of Economics and Management Science, Vol.4.No.1, p. 141, 1973.
[54] Rose, S. Valuation of Interacting Real Options in a Tollroad Infrastructure Project. The Quarterly Review of Economics and Finance, 1998, 38(Special Issue): 711-723.
[55] Thomson, T.A., 1992. Optimal forest rotation when prices follow a diffusion process. Land Economics 68, 329-342.
[56] Tngersoll, J.E. and Ross, S.A. Waiting to Invest: Investment and Uncertainty. Journal of Business, 1992, 65(l): 1-29.
[57] Trigeorgis L. Real Options: Managerial Flexibility and Strategy in Resource Allocation Cambridge .The MIT Press, 1996.
[58] Trigeorgis, L. The Nature of Option Interactions and the Valuation of Investment with Multiple Real Options. Journal of Financial and Quantitative Analysis, 1993, 28(1): 1-20.
[59] Trigeorgis, L., 1999. Real Options: Managerial Flexibility and Strategy in Resource Allocation. MIT Press, Cambridge, MA.
[2] 曹建华.林业投资项目环境影响价值评价研究[D].北京:中国农业大学,2003:12-13.
[3] 陈龙.项目投资价值分析创新方法研究[D].厦门:厦门大学,2002:7-8.
[4] 陈琦,石金涛.人力资本流动风险管理:实物期权理论应用[J].科学管理研究,2004,(2):81.
[5] 陈森等.林业投资方案的经济效果评价方法[J].云南林业调查规划设计,1998,(3):14.
[6] 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):9.
[7] 董旭东.实物期权思维对传统投资决策方法的修正[J].现代管理科学,2002(8):10.
[8] 范龙振.经营柔性与投资决策[J].预测,1998(3):66-69.
[9] 冯邦彦,徐枫.实物期权理论及其应用评介[J].经济学动态,2003(10):75-76.
[10] 葛颜祥.基于期权的林木产权评估方法[J].林业经济问题,2004(4):215.
[11] 洪志军,谭跃,程锦.实物期权在我国银行并购价值评估中的应用[J].金融经济,2004(2):25.
[12] 黄彩凤,孙军.林业投资项目财务评价体系的探索[J].华东森林经理,2004(2):61.
[13] 贾文娟.项目投资决策理论在我国的发展及未来取向研究[D].西安:长安大学,2003:13.
[14] 季峰.实物期权法在 R&D 项目投资决策中的应用研究[D].西安:西安交通大学,2004:17.
[15] 焦媛媛等.确定最优轮伐期的实物期权方法[J].西北农林科技大学学报,2003(5):169.
[16] 孔东民,毛立泳.实物期权法在投资决策中的应用分析[J].商业研究,2004(2):15.
[17] 冷克平,邱刚.战略投资中的实物期权思维[J].管理研究,2004(4):12.
[18] 李珏,李胜宏.实物期权理论应用在公司理财中的先进性[J].商业研究,2004(8):10.
[19] 林丽华.基于期权理论的投资项目评价研究[D].哈尔滨:哈尔滨工业大学,2003:8.
[20] 刘国龙.林业建设项目经济分析述评[J].云南林业调查规划设计,1998(4):47.
[21] 刘明霞.实物期权理论及其管理思维[J].科技进步与对策,2004(6):59.
[22] 刘英,宣国良.现实期权:企业战略投资决策的新视点[J].当代财经,2000(2):61-64.
[23] 马忠明,易江.专利价值评估的实物期权方法[J].价值工程,2004(1):36.
[24] 孟力,张爱玲等.不确定环境下项目评估的期权决策树研究[J].控制工程,2004(1):43.
[25] 庞东.杜婷.基于实物期权理论的无形资产定价方法探析[J].财经研究,2004(7):130.
[26] 沈玉志.黄训江.基于实物期权理论的投资项目评估方法研究[J].经济研究,2001(11):8-12.
[27] 唐和章.项目投资决策的传统方法与现代思维[J].湖南经济管理干部学院学报,2003(2):44.
[28] 王蔚松,夏健明.项目评价[M].北京:清华大学出版社,2004(8):1-2.
[29] 夏自谦.论林业项目的经济计量和评估方法[J].北京林业管理干部学院学报,2004(1):36.
[30] 谢联恒,孟繁.投资项目的传统评价方法和现实期权评价方法的比较分析[J].科技管理研究, 2001(2):54-58.
[31] 徐帮学.林业项目可行性研究与经济评价手册[M].长春:吉林摄影出版社,2002:1342-1343.
[32] 徐雪漫,宋维明.评价林业投资的实物期权方法[J].林业经济问题,2004(2):115.
[33] 严俊.试论现实期权的战略价值[J].企业经济,2001(6):16-18.
[34] 杨春鹏.实物期权及其应用[M].上海:复旦大学出版社,2003:13.
[35] 张阿芬.林业投资项目与工业投资项目可行性研究方法比较[J].林业经济问题,2004(1):36.
[36] 张维,程功.实物期权方法的信息经济学解释[J].现代财经,2001(1):10.
[37] 赵晓庆,许庆瑞.技术能力评价:理论与方法[J].科学学与科学技术管理,2001(4):8.
[38] 周少甫,刘林春.项目投资的实物期权评估方法[J].科技进步与对策,2004(4):106.
[39] Abildtrup, J., 1999. Optimal thinning of forest stands: an option value analysis-preliminary results. Scandinavian Forest Economics 37, 1-13.
[40] Armstrong Duku-Kaakyire, David M. Nanang. Application of Real options theory to forestry investment analysis. Forest Policy and Economics 6 (2004), 539-552
[41] Bo11en,N. Real options and product Life Cycles. Management Science, 1999, 45(5):670—684.
[42] Carr, P. The Valuation of Sequential Exchange Opportunities, Journal of Finance, 1988, 43(5): 1235-1256.
[43] Dixit, A.K. and Pindyck, R.S. Investment Under Uncertainty. New Jersey: Princeton, 1993.
[44] Hevert, K. T. and McLaughlin R. M. Interest Rates, Inflation and the Value of Growth Options .The Quarterly Review of Economics and Finance, 1998,38(Special Issue): 599-615.
[45] Insley Margaret.A Real Option Approach to the Valuation of a Forestry Investment[J]. Journal of Environmental Economics and Management, p. 471-492, 2002.
[46] Kellogg, D. and Charnes, J.M. Real-Options for a Biotechnology Company. Financial Analyst Journal, 2000,3: 7684.
[47] Kogut, B. Kulatilaka, N. Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network. Management Science, 1994, 40(1): 123-139
[48] Kulatilaka, N. Perotti, E.C. Strategic Growth Options. Management Science, 1998, 44(8): 1021-1031.
[49] Majd, S. and Pindyck, R.S. Time to Build, Option Value, and Investment Decisions. Journal of Financial Economics, 1987, 18(3): 7-27.
[50] Margaret Insley, Glenn Fox, and Kimberly Rollins. The Economics of Intensive Forest Management A Stand Level Analysis for the Romeo Malette Forest in Ontario, 2002.
[51] Margrabe, W. The Value of an Option to Exchange One Asset for Another. The Journal of Finance, 1978, 1: 177-186.
[52] McConnell, K.E., Daberkow, J.N, Hardie, I.W, 1983. Planning timber production with evolving prices and costs. Land Economics 59, 292-299.
[53] Robert C. Merton. Theory of Rational Option Pricing [J].The Bell Journal of Economics and Management Science, Vol.4.No.1, p. 141, 1973.
[54] Rose, S. Valuation of Interacting Real Options in a Tollroad Infrastructure Project. The Quarterly Review of Economics and Finance, 1998, 38(Special Issue): 711-723.
[55] Thomson, T.A., 1992. Optimal forest rotation when prices follow a diffusion process. Land Economics 68, 329-342.
[56] Tngersoll, J.E. and Ross, S.A. Waiting to Invest: Investment and Uncertainty. Journal of Business, 1992, 65(l): 1-29.
[57] Trigeorgis L. Real Options: Managerial Flexibility and Strategy in Resource Allocation Cambridge .The MIT Press, 1996.
[58] Trigeorgis, L. The Nature of Option Interactions and the Valuation of Investment with Multiple Real Options. Journal of Financial and Quantitative Analysis, 1993, 28(1): 1-20.
[59] Trigeorgis, L., 1999. Real Options: Managerial Flexibility and Strategy in Resource Allocation. MIT Press, Cambridge, MA.