基于实物期权的移动通讯企业战略投资研究
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摘要
随着世界经济市场化,信息化和全球化的步伐日益加快,移动通讯企业要想在竞争日益激烈而且不确定性高的市场环境中保持长期生存和稳定发展,如何加强战略投资决策的有效性和准确性,从而提高企业的竞争力和价值,成为企业发展的关键问题。
本文阐明了传统的投资评价方法对移动通讯企业投资评价的局限性,然后尝试把实物期权理论引入移动通讯企业战略投资的决策之中,根据移动通讯企业战略投资具备的不可逆性,决策的灵活性,以及投资环境的不确定性的特征,提出实物期权理论对于战略投资决策评价的适用性;然后对移动通讯企业投资特点进行实物期权特性分析,构建移动通讯企业投资的实物期权分析框架,运用二项式期权定价方法,构建了实物期权模型并运用中国移动是否投资扩张3G项目进行了实证分析。结论得出在考虑不确定性和等待期权的情况下,运用实物期权方法得到的企业价值要远远大于运用传统净现值法得到的企业价值。同时通过对期权价值的分析,发现3G前景可观,使得电信运营商都会尽量获取3G牌照。
文章只是从定量分析方面引入二项式期权定价模型,由于战略投资环境不确定性和实物期权本身复杂性的存在,本文所出的方法不可能成为解决移动通讯企业战略投资决策的固定模式,而只能提供一种理解和分析问题的思路和方法。
With the development of world economy globalization, the mobile telecommunication enterprises have to strengthen the validity of the strategic investment decision-making, enhance the competitive ability and its own value in order to survive and develop in long term in the intensely competitive, complex and changeable market environment, Therefore, for the mobile telecommunication enterprises, how to seek strategic investment decision-making ,enhance the competitive ability and its own value become the key issue.
This paper attempts to introduce real option theory into strategy investment decision-making for mobile telecommunication enterprises. According to characters of their strategic investment such as unreversibility, flexibility, and uncertainty, it proves that the strategic investment has the characteristic of real option, and expounds the disadvantages of traditional DCF method and the advantage of real option theory in the strategic investment decision-making appraisal. Then, based on the analysis of characters of strategic investment in mobile telecommunication field, an analysis model of appraisal strategy investment decision-making has been constructed by applying the binomial options tree method to evaluate. Finally, this paper employs the investment for 3G project in china mobile company as an example to demonstrate the advantage of this model and make analysis on the results. The project value obtained by binomial options tree method is much larger than that obtained by DCF method, from which we know that the 3G would bring so huge benefit that mobile communication companies would like to develop 3G project.
This paper only introduces the binomial tree pricing model in the quantitative analysis aspect, as the complexity of strategic investment decision-making under the indefinite environment and real option itself, the impossible to be a fixed pattern to solve the strategic in this article is investment decision-making, but it only can provide one kind of analysis mentality and method. Further endeavor is needed in order to consummate the research of real option pricing method and serve the strategic investment decision-making.
本文阐明了传统的投资评价方法对移动通讯企业投资评价的局限性,然后尝试把实物期权理论引入移动通讯企业战略投资的决策之中,根据移动通讯企业战略投资具备的不可逆性,决策的灵活性,以及投资环境的不确定性的特征,提出实物期权理论对于战略投资决策评价的适用性;然后对移动通讯企业投资特点进行实物期权特性分析,构建移动通讯企业投资的实物期权分析框架,运用二项式期权定价方法,构建了实物期权模型并运用中国移动是否投资扩张3G项目进行了实证分析。结论得出在考虑不确定性和等待期权的情况下,运用实物期权方法得到的企业价值要远远大于运用传统净现值法得到的企业价值。同时通过对期权价值的分析,发现3G前景可观,使得电信运营商都会尽量获取3G牌照。
文章只是从定量分析方面引入二项式期权定价模型,由于战略投资环境不确定性和实物期权本身复杂性的存在,本文所出的方法不可能成为解决移动通讯企业战略投资决策的固定模式,而只能提供一种理解和分析问题的思路和方法。
With the development of world economy globalization, the mobile telecommunication enterprises have to strengthen the validity of the strategic investment decision-making, enhance the competitive ability and its own value in order to survive and develop in long term in the intensely competitive, complex and changeable market environment, Therefore, for the mobile telecommunication enterprises, how to seek strategic investment decision-making ,enhance the competitive ability and its own value become the key issue.
This paper attempts to introduce real option theory into strategy investment decision-making for mobile telecommunication enterprises. According to characters of their strategic investment such as unreversibility, flexibility, and uncertainty, it proves that the strategic investment has the characteristic of real option, and expounds the disadvantages of traditional DCF method and the advantage of real option theory in the strategic investment decision-making appraisal. Then, based on the analysis of characters of strategic investment in mobile telecommunication field, an analysis model of appraisal strategy investment decision-making has been constructed by applying the binomial options tree method to evaluate. Finally, this paper employs the investment for 3G project in china mobile company as an example to demonstrate the advantage of this model and make analysis on the results. The project value obtained by binomial options tree method is much larger than that obtained by DCF method, from which we know that the 3G would bring so huge benefit that mobile communication companies would like to develop 3G project.
This paper only introduces the binomial tree pricing model in the quantitative analysis aspect, as the complexity of strategic investment decision-making under the indefinite environment and real option itself, the impossible to be a fixed pattern to solve the strategic in this article is investment decision-making, but it only can provide one kind of analysis mentality and method. Further endeavor is needed in order to consummate the research of real option pricing method and serve the strategic investment decision-making.
引文
[1] Black F, Scholes M. The Pricing of Options And Corporate Liabilities [J]. The Journal of Political Economy.1973,81(3): 637-659
[2] Cox.J.S.Ross, M. Rubinstein. Option Pricing: A Simplified Approach [J].J ournal of Financial Economics. 1979: 229-263
[3] Myers S C. Determinants of corporate borrowing [J]. Journal of Financial Economics. 1977,5(2):147-176.
[4] Ross S A. A simple approach to the valuation of risky income streams [J]. Journal of Business. 1978, 5(3):453-475
[5] Kester.WC. Today's options for tomorrow's growth [J]. Harvard Business Review. 1984,62(2):153-160.
[6] Faulkner.T, Applying "Option Thingking" to R&D valuation [J]. Research Technology Management. 1996(5): 50-56
[7] John C, Cox. Ross. S. A. Option Pricing: A Simplified approach [J]. Journal of Financial Economics. 1996(10): 45-46
[8] Kasanene triceorcisl. A market utility approach to investment valuation [J]. European Journal of rational Research. 1994, 74 (4):294-309.
[9] Hartmanr, Hendricksoim. Optimal partially reversible investment[Z]. working paper. 1999
[10] McDonald.R and Siegel.D. the Value of Waiting to Invest [J]. the quarterly journal of economics. 1986:707-727
[11] Dixit.A.K and R.S.Pindyck. The Option Approach to Capital investment [J]. Harvard Business Review. 1995(3):105-115
[12] Copeland T. and Keenan P. Making Real Options Real [J]. The Mckinsey Quarterly.No.3.1998:128-141.
[13] LanderDM, Pinches G Challenges to the practical implementation of modeling and valuing real options [J]. The Quarterly Review of Economics and Finance. 1998, 38 (Special Issue) :537-567.
[14] Chen S.Park and Heantha S.B.Herath. Exploiting Uncertainty-Investment Opportunities as Real Options: A New Way of Thinking in Engineering Economics [J]. The engineering economist.2000.Vol.45 (1):1-35
[15] Mason S P, Merton R C. The role of contingent claims analysis in corporate finance [M]. Irwin.1985
[16] Trigeorgis L, Mason S P. Valuing managerial flexibility [J]. Midland Corporate Financial Journal.1987,5(1):14-21
[17]Brealey R,Myers S C.Principles of corporate finance[M].McGraw Hill.1991
[18]Kulatilaka N.Valuing the flexibility of flexible manufacturing systems[J].IEEE Transaetions in Engineering Management,1988,35(4):250-257
[19]Margrabe,W.The value of an option to exchange one asset for another[J].Journal of Finance.Vol.33.No.1.1978:177-186
[20]Paddock J,Siegel D,Smith J.Option valuation of claims on physical assets:the case of off shore petroleum lease[J].Quarterly Journal of Economics.1988.103(3):479-508.
[21]Nivicolas B.Real options,patents,productivity and market value:Evidence from a panel of British firms IFS[Z].Working paper 2001
[22]Bald.Francesco.Valuing a Leveraged Buyout:Expansion of the Adjusted Present Value by Means of Real Options Analysis[J].Journal of Private Equity 2005.9.8(4):64-81
[23]Villalonga.Belen and McGahan.Anita M.The choice among acquisitions,alliances and divestitures[J].Strategic Management Journal.2005.12.26(13):1183-1208
[24]Y.J.CHEAH Charles and Jicai Liu.Valuing governmental support in infra structure projects as real options using Monte Carlo simulation[J].School o f Civil and Environmental Engineering.Nanyang Technological University.Si ngapore 2005.10
[25]Y.J.CHEAH Charles and Jicai Liu.Real Option Evaluation of Complex Infrastructure Projects:The Case of Dabhol Power[J].School of civil and Environmental Engineering.Nanyang Technological University.Singapore.2005.10
[26]范龙振,唐国兴.投资机会的价值与投资决策:几何布朗运动模型[J].系统工程学报.1998.13(3):8-12
[27]范龙振,唐国兴.项目价值的期权评价方法[J].系统工程学报.2001(16)
[28]朱玉旭,黄洁纲,吴冲锋.序列投资决策的期权分析法[J].决策与决策支持系统.1997.7(21):105-110.
[29]刘兵军,欧阳令南.期权在企业战略投资中的运用研究[J].工业工程与管理.2003.03
[30]高佳卿.资本投资的期权理论与方法[J].经济理论与经济管理.1998.07
[31]刘淑莲.期权估价理论与财务策略[J].会计研究.1997.02
[32]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,1998.03
[33]周春生,长青.等待的价值-未来不确定条件下的建设项目投资决策分析[J].经济研究.2001.08
[34]朱近,宜国良.实物期权的蒙特卡洛方法计算研究[J].技术经济与管理研究.2002.04
[35]梁烁,唐小我,马永开.实物期权思想与企业战略管理[J].软科学2004.18(6):48-51
[36]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,(1):38-44.
[37]谭跃,何佳.实物期权与高科技战略投资3G牌照的价值分析[J].经济研究.2001.4:58-66
[38]凌春华,杨克.油气勘探经济评价新方法的研究—实物期权法[J].中国软科学.2003(7).
[39]郝旭东,欧阳令南.期权理念在风险投资决策中的应用[J].安徽农业科学.2007.(35):640-657
[40]郭蕊.实物期权兼顾灵活性和战略性的项目投资管理工具[J].兰州学刊.2006.(3):137-139
[41]刘立清.基于实物期权的移动增值业务投资决策研究[J].北京邮电大学学报.2008.2
[42]陈元志,夏健明.战略投资的实物期权观[M].中国财政出版.2005
[43]姚铮.基于期权原理的企业战略投资决策[J].财务与金融.2000
[44]张维,程功.实物期权方法的信息经济学解释[J].现代财经.2001
[45]郁洪良.金融期权与实物期权:比较和应用[M].上海财经大学.2001.01.
[46]Trigeorgis.Real Options in Capital Investment[M|.Praeger Press.1995:1-31
[47]曹飞.实务期权在战略投资决策中的应用研究[D].东北财经大学.2007.12
[48]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
[49]陈立文.项目投资风险分析理论与方法[M].机械工业出版.2004
[50]Dixit.A.K and R.S.Pindyck.TheOptionApproach to Capital investment[J].Harvard Business Review.1995(3):105-115
[51]Grenadier S.Option exercise games:An application to the equilibrium investment strategies of firms[J].The Review of Financial Studies.2002.15(3):691-721
[52]Weeds H.Strategic delay in real option model of R&D competition[J].Review of Economic Studies.2002.69:729-747
[53]Yang Ming,Li Chulin.Valuing investment project in competitive environment [J].Discrete and Continuous Dynamical Systems.2003.An Supplement Volume:941-946
[54]乔治.戴,保罗.休梅克著,石莹等译.沃顿论新兴技术管理(中文版)[M].华夏出版社.2002:219-233
[55]盛臙.中国通信企3G投资项目风险研究和应用[D].北京邮电大学.2007.03
[56]赵连强.移动新业务网络投资决策模型[D].北京邮电大学.2007
[57]黄斌.移动通信企业投资项目绩效评价理论研究与实证分析[D].暨南大学.2007.06
[58]李楠,吴洪.实物期权在电信投资评价中的应用[J].北京邮电大学学报(社会科学版).2005.07
[59]杨春鹏.实物期权及其应用[M].上海复旦大学出版社.2003
[60]谭跃,何佳.实物期权与高科技战略投资中3G牌照的价值分析[J].经济研究.2001.04:58-66
[61]Avinash K.Dixit and Robert S.Pindyck.Investment under Uncertainty[M].Princeton University Press.1994
[2] Cox.J.S.Ross, M. Rubinstein. Option Pricing: A Simplified Approach [J].J ournal of Financial Economics. 1979: 229-263
[3] Myers S C. Determinants of corporate borrowing [J]. Journal of Financial Economics. 1977,5(2):147-176.
[4] Ross S A. A simple approach to the valuation of risky income streams [J]. Journal of Business. 1978, 5(3):453-475
[5] Kester.WC. Today's options for tomorrow's growth [J]. Harvard Business Review. 1984,62(2):153-160.
[6] Faulkner.T, Applying "Option Thingking" to R&D valuation [J]. Research Technology Management. 1996(5): 50-56
[7] John C, Cox. Ross. S. A. Option Pricing: A Simplified approach [J]. Journal of Financial Economics. 1996(10): 45-46
[8] Kasanene triceorcisl. A market utility approach to investment valuation [J]. European Journal of rational Research. 1994, 74 (4):294-309.
[9] Hartmanr, Hendricksoim. Optimal partially reversible investment[Z]. working paper. 1999
[10] McDonald.R and Siegel.D. the Value of Waiting to Invest [J]. the quarterly journal of economics. 1986:707-727
[11] Dixit.A.K and R.S.Pindyck. The Option Approach to Capital investment [J]. Harvard Business Review. 1995(3):105-115
[12] Copeland T. and Keenan P. Making Real Options Real [J]. The Mckinsey Quarterly.No.3.1998:128-141.
[13] LanderDM, Pinches G Challenges to the practical implementation of modeling and valuing real options [J]. The Quarterly Review of Economics and Finance. 1998, 38 (Special Issue) :537-567.
[14] Chen S.Park and Heantha S.B.Herath. Exploiting Uncertainty-Investment Opportunities as Real Options: A New Way of Thinking in Engineering Economics [J]. The engineering economist.2000.Vol.45 (1):1-35
[15] Mason S P, Merton R C. The role of contingent claims analysis in corporate finance [M]. Irwin.1985
[16] Trigeorgis L, Mason S P. Valuing managerial flexibility [J]. Midland Corporate Financial Journal.1987,5(1):14-21
[17]Brealey R,Myers S C.Principles of corporate finance[M].McGraw Hill.1991
[18]Kulatilaka N.Valuing the flexibility of flexible manufacturing systems[J].IEEE Transaetions in Engineering Management,1988,35(4):250-257
[19]Margrabe,W.The value of an option to exchange one asset for another[J].Journal of Finance.Vol.33.No.1.1978:177-186
[20]Paddock J,Siegel D,Smith J.Option valuation of claims on physical assets:the case of off shore petroleum lease[J].Quarterly Journal of Economics.1988.103(3):479-508.
[21]Nivicolas B.Real options,patents,productivity and market value:Evidence from a panel of British firms IFS[Z].Working paper 2001
[22]Bald.Francesco.Valuing a Leveraged Buyout:Expansion of the Adjusted Present Value by Means of Real Options Analysis[J].Journal of Private Equity 2005.9.8(4):64-81
[23]Villalonga.Belen and McGahan.Anita M.The choice among acquisitions,alliances and divestitures[J].Strategic Management Journal.2005.12.26(13):1183-1208
[24]Y.J.CHEAH Charles and Jicai Liu.Valuing governmental support in infra structure projects as real options using Monte Carlo simulation[J].School o f Civil and Environmental Engineering.Nanyang Technological University.Si ngapore 2005.10
[25]Y.J.CHEAH Charles and Jicai Liu.Real Option Evaluation of Complex Infrastructure Projects:The Case of Dabhol Power[J].School of civil and Environmental Engineering.Nanyang Technological University.Singapore.2005.10
[26]范龙振,唐国兴.投资机会的价值与投资决策:几何布朗运动模型[J].系统工程学报.1998.13(3):8-12
[27]范龙振,唐国兴.项目价值的期权评价方法[J].系统工程学报.2001(16)
[28]朱玉旭,黄洁纲,吴冲锋.序列投资决策的期权分析法[J].决策与决策支持系统.1997.7(21):105-110.
[29]刘兵军,欧阳令南.期权在企业战略投资中的运用研究[J].工业工程与管理.2003.03
[30]高佳卿.资本投资的期权理论与方法[J].经济理论与经济管理.1998.07
[31]刘淑莲.期权估价理论与财务策略[J].会计研究.1997.02
[32]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,1998.03
[33]周春生,长青.等待的价值-未来不确定条件下的建设项目投资决策分析[J].经济研究.2001.08
[34]朱近,宜国良.实物期权的蒙特卡洛方法计算研究[J].技术经济与管理研究.2002.04
[35]梁烁,唐小我,马永开.实物期权思想与企业战略管理[J].软科学2004.18(6):48-51
[36]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,(1):38-44.
[37]谭跃,何佳.实物期权与高科技战略投资3G牌照的价值分析[J].经济研究.2001.4:58-66
[38]凌春华,杨克.油气勘探经济评价新方法的研究—实物期权法[J].中国软科学.2003(7).
[39]郝旭东,欧阳令南.期权理念在风险投资决策中的应用[J].安徽农业科学.2007.(35):640-657
[40]郭蕊.实物期权兼顾灵活性和战略性的项目投资管理工具[J].兰州学刊.2006.(3):137-139
[41]刘立清.基于实物期权的移动增值业务投资决策研究[J].北京邮电大学学报.2008.2
[42]陈元志,夏健明.战略投资的实物期权观[M].中国财政出版.2005
[43]姚铮.基于期权原理的企业战略投资决策[J].财务与金融.2000
[44]张维,程功.实物期权方法的信息经济学解释[J].现代财经.2001
[45]郁洪良.金融期权与实物期权:比较和应用[M].上海财经大学.2001.01.
[46]Trigeorgis.Real Options in Capital Investment[M|.Praeger Press.1995:1-31
[47]曹飞.实务期权在战略投资决策中的应用研究[D].东北财经大学.2007.12
[48]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
[49]陈立文.项目投资风险分析理论与方法[M].机械工业出版.2004
[50]Dixit.A.K and R.S.Pindyck.TheOptionApproach to Capital investment[J].Harvard Business Review.1995(3):105-115
[51]Grenadier S.Option exercise games:An application to the equilibrium investment strategies of firms[J].The Review of Financial Studies.2002.15(3):691-721
[52]Weeds H.Strategic delay in real option model of R&D competition[J].Review of Economic Studies.2002.69:729-747
[53]Yang Ming,Li Chulin.Valuing investment project in competitive environment [J].Discrete and Continuous Dynamical Systems.2003.An Supplement Volume:941-946
[54]乔治.戴,保罗.休梅克著,石莹等译.沃顿论新兴技术管理(中文版)[M].华夏出版社.2002:219-233
[55]盛臙.中国通信企3G投资项目风险研究和应用[D].北京邮电大学.2007.03
[56]赵连强.移动新业务网络投资决策模型[D].北京邮电大学.2007
[57]黄斌.移动通信企业投资项目绩效评价理论研究与实证分析[D].暨南大学.2007.06
[58]李楠,吴洪.实物期权在电信投资评价中的应用[J].北京邮电大学学报(社会科学版).2005.07
[59]杨春鹏.实物期权及其应用[M].上海复旦大学出版社.2003
[60]谭跃,何佳.实物期权与高科技战略投资中3G牌照的价值分析[J].经济研究.2001.04:58-66
[61]Avinash K.Dixit and Robert S.Pindyck.Investment under Uncertainty[M].Princeton University Press.1994