應用實質選擇權於工業區優惠投資專案之研究

The Application of Real Option on the Preferential Investment Clauses in the Industry Park

10.29724/TMR.201007.0001

柯俊禎(James J. C. Ko)；賴國樑(Kuo-Liang Lai)；林左裕(Tsoyu-Calvin Lin)

二項式評價法 ； 支付率 ； 實質選擇權 ； 風險中立下的機率 ； Binomial valuation ； Payout rate ； Real option ； Risk-neutral probability

東海管理評論

11卷1期（2010 / 07 / 01）

1 - 33

繁體中文

本研究以工業區○○六六八八優惠專案為研究對象，應用實質選擇權(real option)進行投資開發案之評估。研究模型採修正的二項式評價法進行評估，與一般二項式評價法的最大差異在於本模型中之風險中立下的機率是每期皆會變動，而非一個固定值貫穿整個選擇權的存續期間。本研究之主要結論有：1.對投資人而言，值得履約（承租轉承購）的時機有：(1)第六年年底的土地價格符合至少上漲四期的模式；(2)土地年租金率愈高時；及(3)無風險利率偏低時。2.土地價格的年波動率與誘使選擇權持有人於第六年年底履約的最小年租金率呈同向變動，但與迫使投資人於整個期間都不會履約的最大年租金率呈反向變動。3.本研究模型也可經調整應用於其它開發專案之分析，並可控制值得投資人履約時點之出現期數。因此，主管機關可藉此規劃更具競爭優勢的投資開發專案以吸引更多的企業設廠投資。

This study presents an approach for analyzing 006688 Preferential Investment Development Scheme through real options. The properties of this Scheme are similar to the combination of European and American call options. Valuation methods applied in this study for valuing the model is the modified binomial valuations. The main difference between general binomial valuations and this study is the risk-neutral probability varies every period, no longer merely a constant value during the duration.Results of this study first indicate that the stage worthy for investors to exercise the option is at the end of the 6th year in this Scheme. The worthy exercise conditions are (1) The land price ascends at least 4 periods during the past 6 years; (2) When the rental rate for the land is relatively high; and (3) When the risk-free interest rate is relatively low. Second, the volatility of the land price moves positively with the minimum rental rate that attracts investors to exercise the option at the end of the 6th year, but moves negatively with the maximum rental rate that will force the investors not to exercise during the whole period. Finally, this model can be also applied in other schemes through proper adjustment. Thus, the government can design a more advantageous Investment Development Scheme to attract investment through the application of real options.

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