基于实物期权理论的风险投资项目评价与决策研究
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摘要
风险投资是一种新型的投融资制度,它不仅孕育了新的经济增长点,而且推动了高新科技成果的转化。近年来,中国的风险投资发展迅速,风险投资公司数量也大幅增加。大多数风险资本投资于高风险、高收益的高新技术企业。对于风险投资家来说,如何选择具有巨大增长潜力的项目,做出正确的投资决策是至关重要的。然而,在项目评价领域却缺乏行之有效的方法,传统NPV法在评价风险投资项目中显露出极大的不适应性和片面性。落后的评价方法严重阻碍了我国风险投资业的发展。
传统的经济评价是基于项目的收入和成本的折现现金流(DCF)的点估计方法,净现值法(NPV)作为不确定性下的投资决策标准具有极大局限性。管理会计与公司理财理论认为,传统的折现现金流法不能够充分捕捉在投资和经营决策时对风险和不确定性进行反应的管理柔性的价值,经常导致错误的投资决定。先前的研究已经证明,传统方法忽略了项目战略中的灵活性的价值,因此造成项目价值的低估。为了弥补上述现行DCF法的缺陷,本文构建了实物期权分析框架,目的是解决不确定性问题。实物期权方法把管理柔性中的投资机会看作能带来投资收益的一系列期权,极大地突破了传统决策法的局限和障碍,很好地适应了以不确定性和风险性为特征的新的投资环境,为经营灵活性和战略适应性的评价提供了新的解决方案。在实物期权的视角下,商业投资机会类似于金融期权。换句话说,实物期权评价法将投资机会和各种管理柔性看作期权并可用期权定价模型来求解,最终判定投资项目的真实价值。实物期权是一次由被动接受向主动进行风险管理的思维变革,无论是看待战略和经营决策的思维方式还是作为量化工具都非常有效。项目管理者拥有规避向下风险、挖掘向上潜力的选择权。当投资能够提供扩张、收缩、延迟以及学习机会,管理决策就创造了价值。实物期权是不确定性环境下更好的投资决策工具。为了减少信息不对称,风险投资家经常选择分阶段进行投资,结合这一风险投资的显著特性,本文重点研究分阶段投资这一固有的复合期权。在实物投资界,一个期权的执行产生了另一个期权,一个机会的把握又带来另一个机会,形成或有可能性链,即复合实物期权。
本文致力于构造一个更科学的风险投资项目评价框架,再通过将其应用于实证分析,为此方法向实务界推广尽绵帛之力,为我国风险投资的健康发展扫除障碍。
Venture capital is a new pattern of financing system.which not only supplies the new economic increasing point but also promotes thansform high-tech achievement into products. Over the recent years, China’s venture capital has developed very quickly.Venture capital investment firms have also been increasing in number.Most of venture capital firms are high-tech enterprises which are typically highly risky, simutanioursly accompanied by high returns. It’s very vital for venture capitalists to choose the project with great potential profit to invest; however, there are few adequate assessment system and methods in the evaluation field. It is very difficult to assess with the traditional method which is so backward, as a result, to heavily hamper the development of our venture investment industry.
Traditionally the economic value of a project is based on a discounted cash flow(DCF)analysis of point estimates of project incomes and costs.NPV has limitations as decision criterion for investments under uncertainty.Management accounting and corporate finance academics have reasoned that the conventional discounted cash flow techniques do not adequately capture the value of managerial flexibility to respond to risks and uncertainty in investment and operating decisions. And it often leads to the wrong investment decision. Previous research (e.g. Dixit and Pindyck, 1994; Trigeorgis, 1995) has demonstrated that this approach fails to capture the value of flexibility in project strategies and therefore can undervalue projects. Project value can be more accurately estimated by adding the value of flexibility.
To overcome the above mentioned disadvantages of the current DCF methodologies, the objectives of this study are to develop a framework, namely the Real Option framework to address the uncertainty problems.The insight from real options is that a business investment opportunity can be conceptually compared to financial option.Within real investments, i.e., managerial flexibility "an irreversible investment opportunity is much like a financial call option" (Pindyck, 1991). In other words, real option valuation is treating investment opportunities and the different types of managerial flexibility as options and valuing them with option valuation models. Real options are useful both, as a mental model for strategic and operational decision-making, and as a valuation and numerical analysis tool. The problem of the impacts of project management quality on the value of flexible strategies is widespread because project managers commonly use many forms of flexibility that can be structured as real options. Real options techniques value managers’options to shelter investments from adverse effects and exploit upside potential. When investments provide the flexibility to expand, contract, delay and learn, management decisions can create value. A firm that uses real options thinking and models takes an active risk management view.A shift in valuation paradigms from a passive NPV to active risk management.The real option technique is a better decision tool when making decisions under uncertainty.
To reduce the degree of information asymmetry,the venture capitalists usually conduct multi-stages investments.Therefore in this paper we concentrate on multi-stage investment opportunities as compound real options.Compound real options are combinations of real options, where an exercise of a real option opens another real option.In other words, Compound real options are possibilities that open new possibilities, i.e., a chain of contingent possibilities
This paper aims to construct a more scientific framework and by applying it to real case we introduce the new way of thinking to the venture investment decision making.
传统的经济评价是基于项目的收入和成本的折现现金流(DCF)的点估计方法,净现值法(NPV)作为不确定性下的投资决策标准具有极大局限性。管理会计与公司理财理论认为,传统的折现现金流法不能够充分捕捉在投资和经营决策时对风险和不确定性进行反应的管理柔性的价值,经常导致错误的投资决定。先前的研究已经证明,传统方法忽略了项目战略中的灵活性的价值,因此造成项目价值的低估。为了弥补上述现行DCF法的缺陷,本文构建了实物期权分析框架,目的是解决不确定性问题。实物期权方法把管理柔性中的投资机会看作能带来投资收益的一系列期权,极大地突破了传统决策法的局限和障碍,很好地适应了以不确定性和风险性为特征的新的投资环境,为经营灵活性和战略适应性的评价提供了新的解决方案。在实物期权的视角下,商业投资机会类似于金融期权。换句话说,实物期权评价法将投资机会和各种管理柔性看作期权并可用期权定价模型来求解,最终判定投资项目的真实价值。实物期权是一次由被动接受向主动进行风险管理的思维变革,无论是看待战略和经营决策的思维方式还是作为量化工具都非常有效。项目管理者拥有规避向下风险、挖掘向上潜力的选择权。当投资能够提供扩张、收缩、延迟以及学习机会,管理决策就创造了价值。实物期权是不确定性环境下更好的投资决策工具。为了减少信息不对称,风险投资家经常选择分阶段进行投资,结合这一风险投资的显著特性,本文重点研究分阶段投资这一固有的复合期权。在实物投资界,一个期权的执行产生了另一个期权,一个机会的把握又带来另一个机会,形成或有可能性链,即复合实物期权。
本文致力于构造一个更科学的风险投资项目评价框架,再通过将其应用于实证分析,为此方法向实务界推广尽绵帛之力,为我国风险投资的健康发展扫除障碍。
Venture capital is a new pattern of financing system.which not only supplies the new economic increasing point but also promotes thansform high-tech achievement into products. Over the recent years, China’s venture capital has developed very quickly.Venture capital investment firms have also been increasing in number.Most of venture capital firms are high-tech enterprises which are typically highly risky, simutanioursly accompanied by high returns. It’s very vital for venture capitalists to choose the project with great potential profit to invest; however, there are few adequate assessment system and methods in the evaluation field. It is very difficult to assess with the traditional method which is so backward, as a result, to heavily hamper the development of our venture investment industry.
Traditionally the economic value of a project is based on a discounted cash flow(DCF)analysis of point estimates of project incomes and costs.NPV has limitations as decision criterion for investments under uncertainty.Management accounting and corporate finance academics have reasoned that the conventional discounted cash flow techniques do not adequately capture the value of managerial flexibility to respond to risks and uncertainty in investment and operating decisions. And it often leads to the wrong investment decision. Previous research (e.g. Dixit and Pindyck, 1994; Trigeorgis, 1995) has demonstrated that this approach fails to capture the value of flexibility in project strategies and therefore can undervalue projects. Project value can be more accurately estimated by adding the value of flexibility.
To overcome the above mentioned disadvantages of the current DCF methodologies, the objectives of this study are to develop a framework, namely the Real Option framework to address the uncertainty problems.The insight from real options is that a business investment opportunity can be conceptually compared to financial option.Within real investments, i.e., managerial flexibility "an irreversible investment opportunity is much like a financial call option" (Pindyck, 1991). In other words, real option valuation is treating investment opportunities and the different types of managerial flexibility as options and valuing them with option valuation models. Real options are useful both, as a mental model for strategic and operational decision-making, and as a valuation and numerical analysis tool. The problem of the impacts of project management quality on the value of flexible strategies is widespread because project managers commonly use many forms of flexibility that can be structured as real options. Real options techniques value managers’options to shelter investments from adverse effects and exploit upside potential. When investments provide the flexibility to expand, contract, delay and learn, management decisions can create value. A firm that uses real options thinking and models takes an active risk management view.A shift in valuation paradigms from a passive NPV to active risk management.The real option technique is a better decision tool when making decisions under uncertainty.
To reduce the degree of information asymmetry,the venture capitalists usually conduct multi-stages investments.Therefore in this paper we concentrate on multi-stage investment opportunities as compound real options.Compound real options are combinations of real options, where an exercise of a real option opens another real option.In other words, Compound real options are possibilities that open new possibilities, i.e., a chain of contingent possibilities
This paper aims to construct a more scientific framework and by applying it to real case we introduce the new way of thinking to the venture investment decision making.
引文
[1]Myers S C.Determinants of Corporate Borrowing.Journal of Financial Economics, November 1977,5(2):325-364
[2]Tyebjee,T.T.,and Bruno,A.V.A model of venture capitalist investment activity, Management Science,1984,30(9):1051~1066
[3]F.Black and M.Scholes (1973) .The price of options and corporate liabilities.Journal of political Economiy, 1999, 81:637-659
[4]CoxJ, R oss S. &Rubinstein M..Option P ircing: A Simplied A pproach [J] Jounral of Financial Economics,1 979,7 :2 29-263
[5]Ross S.A.A simple approach to the valuation of risky income streams [J].Journal of Business, 1978, 5 1:4 53-475
[6] Mason S. and Merton R.. "The Role of Contingent Claims Analysis in Corporate Finance"[J]- Recent Advances in Corporate Finance, 1985:7- 54.
[7]Majd S. &R.S.P indyck.Time toBuild Option Value and Investment Decisions [J].Journal of Financial Economics, 1987, No18:7 -27.
[8]Carr P..The Valuation of SequentialExchange Opportunities [J].The J ounral of Finance, 1988, VO l. 43, N o.5:1 235-1256.
[9]McDonald R.and Siegel D.The Value of Waiting to Invest [J].Quarterly Journal of Economies, 1986, 101(4)
[10]KesterW C.."T oday's Option for Tomorrow's Gorwth" [J].Harvard Business Reviews, VoL62
[11]Trigeorgis L.Real Options Managerial Flexibility and Strategy in Resource Allocation. assachusetts, MIT Press,1996.
[12]范龙振,唐国兴项日价值的期权评价方法[J].系统工程学报,2001,(1)
[13]杨春鹏,实物期权及其应用[M].上海:复旦大学出版社,2003
[14]安实、何琳,基于实物期权的风险投资决策模型研究[J].哈尔滨L业大学学报,2002,6
[15]王志伟,基于实物期权的风险投资项目评价研究[D]大连理工大学,2005.11
[16]王帅,期权定价模型在风险投资企业价值评估中的应用[D]电子科技大学,2006.6
[17]黄卫华,基于复合实物期权方法的创业投资项目价值评估研究[D]中国海洋大学,2008.5
[18]Dixit A、Pindyck R.Investment under uncertainty[M],Princeton:Princeton University Press,1996;
[19]Geske R .On the Valuation of Ameircan Call Options on Stocks with Known D ividends: A Comment [J].Journal of Financial Economics, 1981(8):213-215.
[20]Dixit,A.K.,and R.S.Pindyck,The options approach to capital investment,Harvard Business Review,1995,73(May-June):105~115
[21]Wells W.A., Venture Capital Decision Making, unpublished Doctoral Dissertation [D], Carnegie-Mellon University, 1974
[22]Luehrman,T.A.,Strategy as a Portfolio of Real Options.Harvard Business School Press,1998
[23]谢科范,杨青.风险投资管理[M].北京:中央编译出版社,2004, 1
[24]胡学鹏,基于实物期权的风险投资项目决策研究[C]南京航空航天大学2005
[25]刘萍萍,风险投资运作机理与投资决策研究[C]天津大学,2003
[26]Neher, D., Stage financing: An agency perspective, working paper, Boston University, 1997
[27]马莎·阿姆拉姆,纳林·库拉蒂拉卡.实物期权——不确定环境下战略投资管理[M].张维,等译.北京:机械工业出版社,2001:7.
[28]陈元志、夏健明《战略投资的实物期权观》[M].中国财政经济出版社,2005.
[29]夏健明、陈元志,实物期权理论评述[J],上海金融学院学报,2005.1.
[30]约翰·赫尔(美).期权、期货和其他衍生产品[M],北京:华夏出版社,1999;
[31]刘曼红,风险投资:创新与金融,北京:中国人民大学出版社,1998,6~136
[32]茅宁,期权分析——理论与应用,南京:南京大学出版社,2000,2~101
[33]范龙振.经营柔性和投资决策[J]预测,1998, 4(1): 43 - 49.
[34]范龙振、唐国兴.投资机会的价值和投资决策一几何布朗运动[J]系统工程学报,1998,13(3):9
[35]Kulatilaka N.. The Value of Flexibility: The Case of a Dual-fuel industrial Steam Boiler [J] Financial M anagement, 1993, 22 (3):271-280.
[36]SehwartzESandMoonMRationalPrieingofIntenretComPnaies〔J]FinancialAnalystsJounral 2000(3):7一26.
[37]高佳卿,资本投资的期权理论方法[J〕.经济理论与经济管理,1998(2):21一23.
[38]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):l一6.
[39]曾勇、邓光军、夏晖等,不确定条件下的技术创新投资决策,科学出版社,2007.5
[40]Trigeorgis[美]著,林谦[加]译,Real Option:Managerial Flexibility and Strategy in Resource allocation,清华大学出版社,2007.4
[41]乔纳森·文[美]著,王燕鸣译,风险建模:应用蒙特卡罗实物期权分析预测优化技术,清华大学出版社,2009.7
[42]张树德,金融计算教程-MATLAB金融工具箱的应用,清华大学出版社,2007.8
[2]Tyebjee,T.T.,and Bruno,A.V.A model of venture capitalist investment activity, Management Science,1984,30(9):1051~1066
[3]F.Black and M.Scholes (1973) .The price of options and corporate liabilities.Journal of political Economiy, 1999, 81:637-659
[4]CoxJ, R oss S. &Rubinstein M..Option P ircing: A Simplied A pproach [J] Jounral of Financial Economics,1 979,7 :2 29-263
[5]Ross S.A.A simple approach to the valuation of risky income streams [J].Journal of Business, 1978, 5 1:4 53-475
[6] Mason S. and Merton R.. "The Role of Contingent Claims Analysis in Corporate Finance"[J]- Recent Advances in Corporate Finance, 1985:7- 54.
[7]Majd S. &R.S.P indyck.Time toBuild Option Value and Investment Decisions [J].Journal of Financial Economics, 1987, No18:7 -27.
[8]Carr P..The Valuation of SequentialExchange Opportunities [J].The J ounral of Finance, 1988, VO l. 43, N o.5:1 235-1256.
[9]McDonald R.and Siegel D.The Value of Waiting to Invest [J].Quarterly Journal of Economies, 1986, 101(4)
[10]KesterW C.."T oday's Option for Tomorrow's Gorwth" [J].Harvard Business Reviews, VoL62
[11]Trigeorgis L.Real Options Managerial Flexibility and Strategy in Resource Allocation. assachusetts, MIT Press,1996.
[12]范龙振,唐国兴项日价值的期权评价方法[J].系统工程学报,2001,(1)
[13]杨春鹏,实物期权及其应用[M].上海:复旦大学出版社,2003
[14]安实、何琳,基于实物期权的风险投资决策模型研究[J].哈尔滨L业大学学报,2002,6
[15]王志伟,基于实物期权的风险投资项目评价研究[D]大连理工大学,2005.11
[16]王帅,期权定价模型在风险投资企业价值评估中的应用[D]电子科技大学,2006.6
[17]黄卫华,基于复合实物期权方法的创业投资项目价值评估研究[D]中国海洋大学,2008.5
[18]Dixit A、Pindyck R.Investment under uncertainty[M],Princeton:Princeton University Press,1996;
[19]Geske R .On the Valuation of Ameircan Call Options on Stocks with Known D ividends: A Comment [J].Journal of Financial Economics, 1981(8):213-215.
[20]Dixit,A.K.,and R.S.Pindyck,The options approach to capital investment,Harvard Business Review,1995,73(May-June):105~115
[21]Wells W.A., Venture Capital Decision Making, unpublished Doctoral Dissertation [D], Carnegie-Mellon University, 1974
[22]Luehrman,T.A.,Strategy as a Portfolio of Real Options.Harvard Business School Press,1998
[23]谢科范,杨青.风险投资管理[M].北京:中央编译出版社,2004, 1
[24]胡学鹏,基于实物期权的风险投资项目决策研究[C]南京航空航天大学2005
[25]刘萍萍,风险投资运作机理与投资决策研究[C]天津大学,2003
[26]Neher, D., Stage financing: An agency perspective, working paper, Boston University, 1997
[27]马莎·阿姆拉姆,纳林·库拉蒂拉卡.实物期权——不确定环境下战略投资管理[M].张维,等译.北京:机械工业出版社,2001:7.
[28]陈元志、夏健明《战略投资的实物期权观》[M].中国财政经济出版社,2005.
[29]夏健明、陈元志,实物期权理论评述[J],上海金融学院学报,2005.1.
[30]约翰·赫尔(美).期权、期货和其他衍生产品[M],北京:华夏出版社,1999;
[31]刘曼红,风险投资:创新与金融,北京:中国人民大学出版社,1998,6~136
[32]茅宁,期权分析——理论与应用,南京:南京大学出版社,2000,2~101
[33]范龙振.经营柔性和投资决策[J]预测,1998, 4(1): 43 - 49.
[34]范龙振、唐国兴.投资机会的价值和投资决策一几何布朗运动[J]系统工程学报,1998,13(3):9
[35]Kulatilaka N.. The Value of Flexibility: The Case of a Dual-fuel industrial Steam Boiler [J] Financial M anagement, 1993, 22 (3):271-280.
[36]SehwartzESandMoonMRationalPrieingofIntenretComPnaies〔J]FinancialAnalystsJounral 2000(3):7一26.
[37]高佳卿,资本投资的期权理论方法[J〕.经济理论与经济管理,1998(2):21一23.
[38]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):l一6.
[39]曾勇、邓光军、夏晖等,不确定条件下的技术创新投资决策,科学出版社,2007.5
[40]Trigeorgis[美]著,林谦[加]译,Real Option:Managerial Flexibility and Strategy in Resource allocation,清华大学出版社,2007.4
[41]乔纳森·文[美]著,王燕鸣译,风险建模:应用蒙特卡罗实物期权分析预测优化技术,清华大学出版社,2009.7
[42]张树德,金融计算教程-MATLAB金融工具箱的应用,清华大学出版社,2007.8