实物期权在R&D项目投资决策中的应用研究
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摘要
R&D投资活动对于加快技术创新，增强企业活力，促进国民经济持续、快速、健康发展具有十分重大的意义。R&D投资活动的推动和发展不仅仅需要足够的资金投入，而且还需要有恰当的项目评价和选择方法作为保障。
本文首先比较了R&D项目投资与传统项目投资的不同，说明以净现值为代表的传统贴现现金流方法不能全面发掘R&D项目的战略价值，并针对R&D项目投资高度不确定性和多阶段的特点，指出了实物期权方法的适用性。接着引入案例——制药甲厂A药品研发项目，传统的净现值方法由于其固有的局限性使制药甲厂管理层在运用该法评价A药品研发项目时陷入了决策误区。针对净现值方法的缺陷，结合实物期权相关理论，文章提出了包括期权识别和期权价值计算在内的R&D项目实物期权评价框架，指出R&D项目价值是传统净现值方法计算的价值与项目所含期权价值之和。以此框架为比照，文章重新对A药品R&D项目进行了决策评估，指出A药品R&D项目中的期权为交换复合期权，分别选用连续时间的Margrabe交换期权、Carr交换复合期权定价公式以及离散状态的二叉树模型计算期权价值。加上期权价值后，原本在传统净现值方法中被放弃的A药品R&D项目重新得到了制药甲厂管理层的认可。
通过实物期权理论在制药甲厂A药品R&D项目投资决策中的运用，本文解决了运用传统净现值法无法决策的问题，修正了传统净现值方法的不足，对于改善和突破我国由于缺乏恰当的定量投资评价方法而抑制R&D投入进一步增长的现状具有重大的理论意义和现实意义。
Research and development investment activity plays a significant role in the process of accelerating technology innovation, improving enterprises' ability and developing nation's economy. R&D investment activity needs not only enough funds but also adequate project valuation methods.
After comparison of R&D project investment and traditional project investment, the paper explains that discounted cash flow method represented by net present value can't seize the whole value of R&D project. Considering the high uncertainty and multi-phase characters, the paper forwards the applicability of real option methods in this field. Then, the paper introduces case of medicine A R&D project of First pharmaceutical factory and shows the failure of DCF application in the project valuation. Based on real option theory, the paper advances real option analysis framework of R&D investment and points out the value of R&D project is the sum of value calculated by DCF and the option value. According to the framework, the paper revalues medicine A project, forwarding that the option inherent in this project is exchange compound option and measuring the option value by use of Margrabe exchange option model, Can-exchange compound option model and binomial pricing model. Adding the option value, medicine A R&D pr
oject given up by NPV method is recognized by the management of First pharmaceutical factory.
The application of real option method in medicine A R&D project resolves the problem which can't be settled by traditional ways and offsets the flaws of traditional discounted cash flow methods. This paper has theoretical significance and practical value to solving the current problem of low R&D investment caused by lack of quantifying methods in our country.
本文首先比较了R&D项目投资与传统项目投资的不同，说明以净现值为代表的传统贴现现金流方法不能全面发掘R&D项目的战略价值，并针对R&D项目投资高度不确定性和多阶段的特点，指出了实物期权方法的适用性。接着引入案例——制药甲厂A药品研发项目，传统的净现值方法由于其固有的局限性使制药甲厂管理层在运用该法评价A药品研发项目时陷入了决策误区。针对净现值方法的缺陷，结合实物期权相关理论，文章提出了包括期权识别和期权价值计算在内的R&D项目实物期权评价框架，指出R&D项目价值是传统净现值方法计算的价值与项目所含期权价值之和。以此框架为比照，文章重新对A药品R&D项目进行了决策评估，指出A药品R&D项目中的期权为交换复合期权，分别选用连续时间的Margrabe交换期权、Carr交换复合期权定价公式以及离散状态的二叉树模型计算期权价值。加上期权价值后，原本在传统净现值方法中被放弃的A药品R&D项目重新得到了制药甲厂管理层的认可。
通过实物期权理论在制药甲厂A药品R&D项目投资决策中的运用，本文解决了运用传统净现值法无法决策的问题，修正了传统净现值方法的不足，对于改善和突破我国由于缺乏恰当的定量投资评价方法而抑制R&D投入进一步增长的现状具有重大的理论意义和现实意义。
Research and development investment activity plays a significant role in the process of accelerating technology innovation, improving enterprises' ability and developing nation's economy. R&D investment activity needs not only enough funds but also adequate project valuation methods.
After comparison of R&D project investment and traditional project investment, the paper explains that discounted cash flow method represented by net present value can't seize the whole value of R&D project. Considering the high uncertainty and multi-phase characters, the paper forwards the applicability of real option methods in this field. Then, the paper introduces case of medicine A R&D project of First pharmaceutical factory and shows the failure of DCF application in the project valuation. Based on real option theory, the paper advances real option analysis framework of R&D investment and points out the value of R&D project is the sum of value calculated by DCF and the option value. According to the framework, the paper revalues medicine A project, forwarding that the option inherent in this project is exchange compound option and measuring the option value by use of Margrabe exchange option model, Can-exchange compound option model and binomial pricing model. Adding the option value, medicine A R&D pr
oject given up by NPV method is recognized by the management of First pharmaceutical factory.
The application of real option method in medicine A R&D project resolves the problem which can't be settled by traditional ways and offsets the flaws of traditional discounted cash flow methods. This paper has theoretical significance and practical value to solving the current problem of low R&D investment caused by lack of quantifying methods in our country.
引文
<1>Black, F. and Scholes, M., The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 1973, May-June:637-659
<2>Carr, P. The Valuation of Sequential Exchange Opportunities. Journal of Finance, 1988, 43 (December):1235-1256
<3>Copeland and Antikarov, Real Options-A Practitioner's Guide, Texere Publishing Limited, 2001
<4>Copeland, T. E. and Keenan, P. T., Making Real Option Real, The Mckinsey Quarterly, No. 3, 1998:128-141
<5>Cortazar and Schwartz, A Compound Option Model of Production and Intermediate Inventories, Journal of Business, Vol. 66, No. 4, 1993 :517-540
<6>Cox, J. C. S. A Ross, and M. Rubinstein. Option Princing:A Simplified Approach. Journal of Financial Economics, 1979, 7(September):229-263
<7>Dixit, A. K. and R S. Pindyck. Investment under Uncertainty. Princeton, Nj: Princeton University Press, 1994. 1-50
<8>Faulkner, T. W. Applying "Option Thingking"to R&D Valuation. Research-Technology Management, 1996, May-June:50-56
<9>Geske, R., The Valuation of Compound Options, Journal of Financial Economics, vol. 7, 1979:63-81
<10>Herath, H. S. B and Park, C. S. Economic Analysis of R&D projects:An Options Approach. The Engineering Economist, 1999, Vol. 44 No. 1:1-35
<11>Kester, W. C. Today's Options for Tomorrow's Growth. Harvard Business Review, 1984 (March-April): 153-160
<12>Kulatilaka, N. and A, J. Marcus. Project Valuation under Uncertainty:When Does DCF fail?Journal of Applied Corporate Finance, 1992, 5(Fall):92-100
<13>Luehrman, T. A., What's It Worth:A General Managers Guide to Valuation", Harvard Business Review, 1997, May-June: 105-115
<14>Margrabe, W., The Value of An Option to Exchange One Asset for Another, Journal of Finance, 1978, 33:177-186
<15>Merton, R. C., Theory of Rational Option Pricing, Journal of Economics Management Science, 1973, Vol. 4, No. 1:141-183
<16>Mitchelle, G. R. and Hamiltom, W. F. Managing R&D as a Strategic Option. Research-
Technology Management, 1988, May-June: 15-22
<17>Morris, EA., Teisberg, E. O. and Kolbe, A. L., When Choosing R&D Go With Long Shots, Research-Technology Management, 1991, January-February:35-40
<18>Myers, S. C., Determinants of Corporate Borrowing, Journal of Financial Economies, Vol. 5, No. 2, 1977:147-176
<19>Myers, S. C. Finance Theory and Financial Strategy. Midland Corporate Finance Journal, 1987, (Spring):6-13
<20>Sharp, D. J., Uncovering the Hidden Value in High Risk Investment, Sloan Management Review, 1991 (Summer):69-74
<21>戴和忠，“现实期权在R&D项目评价中的应用”，《科研管理》，2000，2：108-112
<22>范龙振，“经营柔性与投资决策”，《预测》，1998，3：66-68
<23>范龙振、唐国兴，“投资机会的价值与投资决策——几何布朗运动”，《系统工程学报》，1998，9：8-12
<24>黄凯，“期权定价理论的基本思想、方法及其在企业战略投资领域的应用”，《中国管理科学》，1998，Vol．6，No．2：14-21
<25>雷小清，“战略投资的期权决策模式”，《技术经济与管理研究》，2000，2：45
<26>李晓明，“试论真实期权及其在长期投资决策中的应用”，《投资与证券》，2000，2：83-84
<27>刘志新、范欣、何玉荣，“期权法在R&D项目决策中的应用”，《科学管理研究》，2000，5：24-26
<28>茅宁，《期权分析——理论与应用》，南京大学出版社，2000：465-518
<29>沈厚才、王文平、黄凯，“基于期权定价理论的R&D投资决策思想”，《科研管理》，1998，Vol．19，No．4：45-49
<30>谢强华，“期权定价理论与企业的R&D项目决策”，《中国科学院硕士论文》，2000：45-55
<31>许民利，“应用实物期权理论评价R&D投资”，《系统工程》，2001，1：10-14
<32>郁洪良，《金融期权与实物期权——比较和应用》，上海财经大学出版社，2003：120-141
<33>张定杰、鲁伟铭，“实际选择权决策框架”，《阜阳师范学院学报》，2000，4：51-58
<34>张志强，《期权理论与公司理财》，华夏出版社，2000：155-168
<35>(美)詹姆斯．C．范霍恩、小约翰．M．瓦霍维奇，《现代企业财务管理》，郭浩译，经济科学出版社，1998：421
<36>赵国忻，“R&D投资期权创造享有过程研究”，《科研管理》，2000，3：35-41
<37>朱玉旭、黄洁纲、吴冲锋，“序列投资决策的期权分析方法”，《决策与决策支持系统》，1997，Vol．7，No．2：105-110
<2>Carr, P. The Valuation of Sequential Exchange Opportunities. Journal of Finance, 1988, 43 (December):1235-1256
<3>Copeland and Antikarov, Real Options-A Practitioner's Guide, Texere Publishing Limited, 2001
<4>Copeland, T. E. and Keenan, P. T., Making Real Option Real, The Mckinsey Quarterly, No. 3, 1998:128-141
<5>Cortazar and Schwartz, A Compound Option Model of Production and Intermediate Inventories, Journal of Business, Vol. 66, No. 4, 1993 :517-540
<6>Cox, J. C. S. A Ross, and M. Rubinstein. Option Princing:A Simplified Approach. Journal of Financial Economics, 1979, 7(September):229-263
<7>Dixit, A. K. and R S. Pindyck. Investment under Uncertainty. Princeton, Nj: Princeton University Press, 1994. 1-50
<8>Faulkner, T. W. Applying "Option Thingking"to R&D Valuation. Research-Technology Management, 1996, May-June:50-56
<9>Geske, R., The Valuation of Compound Options, Journal of Financial Economics, vol. 7, 1979:63-81
<10>Herath, H. S. B and Park, C. S. Economic Analysis of R&D projects:An Options Approach. The Engineering Economist, 1999, Vol. 44 No. 1:1-35
<11>Kester, W. C. Today's Options for Tomorrow's Growth. Harvard Business Review, 1984 (March-April): 153-160
<12>Kulatilaka, N. and A, J. Marcus. Project Valuation under Uncertainty:When Does DCF fail?Journal of Applied Corporate Finance, 1992, 5(Fall):92-100
<13>Luehrman, T. A., What's It Worth:A General Managers Guide to Valuation", Harvard Business Review, 1997, May-June: 105-115
<14>Margrabe, W., The Value of An Option to Exchange One Asset for Another, Journal of Finance, 1978, 33:177-186
<15>Merton, R. C., Theory of Rational Option Pricing, Journal of Economics Management Science, 1973, Vol. 4, No. 1:141-183
<16>Mitchelle, G. R. and Hamiltom, W. F. Managing R&D as a Strategic Option. Research-
Technology Management, 1988, May-June: 15-22
<17>Morris, EA., Teisberg, E. O. and Kolbe, A. L., When Choosing R&D Go With Long Shots, Research-Technology Management, 1991, January-February:35-40
<18>Myers, S. C., Determinants of Corporate Borrowing, Journal of Financial Economies, Vol. 5, No. 2, 1977:147-176
<19>Myers, S. C. Finance Theory and Financial Strategy. Midland Corporate Finance Journal, 1987, (Spring):6-13
<20>Sharp, D. J., Uncovering the Hidden Value in High Risk Investment, Sloan Management Review, 1991 (Summer):69-74
<21>戴和忠，“现实期权在R&D项目评价中的应用”，《科研管理》，2000，2：108-112
<22>范龙振，“经营柔性与投资决策”，《预测》，1998，3：66-68
<23>范龙振、唐国兴，“投资机会的价值与投资决策——几何布朗运动”，《系统工程学报》，1998，9：8-12
<24>黄凯，“期权定价理论的基本思想、方法及其在企业战略投资领域的应用”，《中国管理科学》，1998，Vol．6，No．2：14-21
<25>雷小清，“战略投资的期权决策模式”，《技术经济与管理研究》，2000，2：45
<26>李晓明，“试论真实期权及其在长期投资决策中的应用”，《投资与证券》，2000，2：83-84
<27>刘志新、范欣、何玉荣，“期权法在R&D项目决策中的应用”，《科学管理研究》，2000，5：24-26
<28>茅宁，《期权分析——理论与应用》，南京大学出版社，2000：465-518
<29>沈厚才、王文平、黄凯，“基于期权定价理论的R&D投资决策思想”，《科研管理》，1998，Vol．19，No．4：45-49
<30>谢强华，“期权定价理论与企业的R&D项目决策”，《中国科学院硕士论文》，2000：45-55
<31>许民利，“应用实物期权理论评价R&D投资”，《系统工程》，2001，1：10-14
<32>郁洪良，《金融期权与实物期权——比较和应用》，上海财经大学出版社，2003：120-141
<33>张定杰、鲁伟铭，“实际选择权决策框架”，《阜阳师范学院学报》，2000，4：51-58
<34>张志强，《期权理论与公司理财》，华夏出版社，2000：155-168
<35>(美)詹姆斯．C．范霍恩、小约翰．M．瓦霍维奇，《现代企业财务管理》，郭浩译，经济科学出版社，1998：421
<36>赵国忻，“R&D投资期权创造享有过程研究”，《科研管理》，2000，3：35-41
<37>朱玉旭、黄洁纲、吴冲锋，“序列投资决策的期权分析方法”，《决策与决策支持系统》，1997，Vol．7，No．2：105-110