多重現金流量投資計畫之評估

Investment Appraisal for Projects with Multiple Cash Flows

劉芬美(Fen-May Liou)；蕭晴惠(Chin-Hui Hsiao)；陳博亮(Bor-Liang Chen)；陳秉軒(Bing-Syuan Chen)

資本預算 ； 現金流量折現法 ； 實質選擇權 ； 蒙地卡羅模擬分析 ； Capital budgeting ； Discounted cash flow ； Real option ； Monte Carlo simulation

致理學報

34期:商業與管理特刊（2014 / 07 / 01）

915 - 955

繁體中文

標的產品超過一個以上的投資計畫，若各產品市場間之相關性低，或執行時期不同，則各個產品之現金流量的風險可能並不相同，若將各產品的現金流量直接相加為合併現金流量後，再進行評估，將忽略各現金流量之個別風險，導致分析結果高估或是低估投資計畫之管理彈性與價值。若能用多重現金流量法進行投資評估，將可避免此一偏誤。本研究以多目標商業大樓投資計畫為個案作為案例，先分別導出兩個子計畫的合併現金流量表及多重現金流量表，估計兩種現金流量之基本個案的淨現值，進而執行蒙地卡羅模擬分析，估計投資計畫之預期淨現值及風險，再用Black-Scholes評價模型估計投資計畫之管理彈性的選擇權價值。分析結果發現，合併現金流量的計畫淨現值，小於合併之計畫淨現值。最後進行敏感度分析，發現兩個子計畫間之相關係數及共變異數，會影響整體計畫之風險值，進而影響含管理彈性之整體計畫的預期價值。本研究提供之多重現金流量分析法，可供管理者運用於進行非單一現金流量投資計畫之評估參考。

For investment projects aiming at producing multiple products, the risk distribution of individual cash flow of the expected product might differ from one another if the correlations are low among these product markets. Summing up all individual cash flows to an integrated cash flow for project appraisal might ignore the risk associated with the specific individual cash flow and therefore, over- or under-evaluate the project. A multiple-cash flow valuation approach can be used to avoid such bias of project valuation. This paper takes a multiple-goal commercial building project, which consists of two sub-projects, for illustration. First, we developed two cash flow models: the integrated cash flow model and the multiple cash flow model, respectively. Subsequently, we applied Monte Carlo simulation to estimate the expected net present value (NPV) and the standard deviation for each of the two cash flows. Black-Scholes model was used to evaluate the flexibility of management decisions. The results show that the integrated cash flow model generated a lower NPV than the multiple-cash flow model. Finally, we conducted sensitivity analysis and found that the correlations and the correlation coefficients affect the project risk and intern, the expected value of the project. The multiple-cash flow approach is useful for managers to evaluate projects that produce multiple products.