项目经济评价中NPV和IRR的风险传递关系研究

在项目的经济评价中,净现值（NPV）和内部收益率（IRR）是主要的两个指标,当用概率形式表示项目经济受到的风险时,如何给出NPV和IRR两者之间的风险传递关系是一个难题。本文通过研究NPV和折现率之间的函数单调性关系,得出NPV和IRR之间的风险概率传递解析关系,由此可以根据NPV的概率得到相应的IRR概率分布曲线。该方法能够提供更为全面的且更符合客观实际情况的经济评价决策信息,使项目经济评价更具科学性。     

NPV和IRR不一致的拟合

本文通过对ＮＰＶ与ＩＲＲ指标不一致原因的分析，在资金不闲置的作用下，很好地解决了ＮＰＶ与ＩＲＲ的不一致性的拟合使其一致。     

On the Separability of Real and Financial Decisions

The financial manager faces two basic problems: first, the firm’s investment or capital budgeting decision, and second, the financing decision. Capital investment and financing decisions are typically analyzed independently. Capital budgeting criteria proceeds under the simplest possible assumption about financing, namely all-equity financing. The only link between investment and financing decisions is the cost of capital. The basic idea behind Modigliani and Miller’s famous proposition I is that in perfect markets, changes in capital structure do not affect value. As long as the total cash flow generated by the firm’s assets is unchanged by capital structure, value is independent of capital structure. This paper is the first attempt to prove that leverage affects the mathematical structures of the cash flow of financing, and that different mathematical structures of financing cash flows may change the total cash flows generated by the firm or the project, thus altering the value of the firm even in perfect markets. The purpose of this paper is to explore the validity of the separation rule through net present value (NPV) and internal rate of return (IRR) rules, as representatives of academic and business practice, and compare their results with simulations that will include the financial decision of the firm. A singular experiment proving that we can change the IRR or NPV of an investment modifying the financial structure cannot be used to affirm a universal statement, but it can be used to show that a theory is wrong.     

A model of techno-economic evaluation for eco-industrial park project

An eco-industrial park or estate is a community of manufactaring and service businesses located together on a common property. The goat of ElP is to create a win-win harmonious development aspect of ecooomic development and environmental protection. This paper emphasizes that the external .effect of an EIP is its main characteristic of technoeconomic evaluation for eco-industrial park project. From the view of the property, rights, the EIP＇s product is typicalty public-private. The government should take some inca.rares for the quantitative analysis on ecological positive externalities of the enterprises in EIP, and also should adopt Coase＇s Theorem, which supports that the market transaction is the best way to deal with positive externalities （external economics or diseconoraics）, or Pigou＇s Theorem, which holds that the government anti-positive externalities programs are the best way to cope with positive externalities, to internalize the EIP＇s external effects, which is also a fundamental tool to encourage investors to actively invest in EIP projects, Furthermore. this paper thinks that the EIP ＇s income should be equal to the income of staple products of the private property, and that of its by-products of the public property. According to this principle, this paper has put forward three major indicators, net present value （NPV）, internal rate of renan （IRR）, and investment repayment period （IRP）, which are also extensively used indicators in ardinary project techno-economic evaluation model to evaluate EIP technoeconomic effects. Theoretically, the indicatory not only can be used in EIP project evaluation, but also can provide a quantitative measure toot for the government to support EIP＇s construction to the maximum. In the end. a case is analyzed.     

Institutional Resource Regimes: Towards sustainability through the combination of property-rights theory and policy analysis

Although the concept of sustainable development is gaining increasing political acknowledgement, despite the implementation of environmental policies specifically intended to solve problems in this area, environmental degradation resulting from the recurrent problems associated with the over-exploitation of natural resources remains an important concern for most countries. How can this situation be explained? This article postulates that a combination of approaches from the political sciences (in particular policy analysis) and institutional economics would enable the identification of the most relevant regulatory dimensions which can explain the (un)sustainable uses of resources. Based on this starting point, it develops an innovative theoretical framework, i.e. that of the Institutional Resource Regime (IRR).The adopted approach facilitates the analysis of the regulatory measures and resource management practices associated with complex and competitive heterogeneous use situations from a perspective of sustainability. Indeed, the two dimensions of “extent” and “coherence” enable the definition and categorization of the IRR of a given resource. The extent of an IRR refers to the total number of goods and services in use that are actually regulated by the regime at a given time, while the coherence measures the degree of coordination of the various user-actors within the regime. One of the major contributions of the IRR framework is its ability to describe the different configurations of regimes, both theoretically and empirically, and to predict their effect on the sustainability of a resource based on the hypothesis that high levels of regime extent and coherence are necessary preconditions for sustainability.By doing this, the IRR framework also enables the analysis of the actual use rights to the goods and services provided by resources as the result of the political strategies of actors who mobilize different legal provisions, which stem either from formal property rights to resources or from policies that regulate the use and protection of these resources.Having developed the central research hypotheses and the empirical research procedure, we present the lessons drawn from the first campaign of field research which was mainly conducted in Switzerland from 1999. Based on the evidence from these initial findings, it is suggested that the scope of the IRR framework could be far broader than evidenced by its application in the case of Switzerland where it was initially developed.     

Comparison of medical costs and healthcare resource utilization of post-menopausal women with HR+/HER2− metastatic breast cancer receiving everolimus-based therapy or chemotherapy: a retrospective claims database analysis

Objective:

To analyze medical costs and healthcare resource utilization (HRU) associated with everolimus-based therapy or chemotherapy among post-menopausal women with hormone-receptor-positive, human-epidermal-growth-factor-receptor-2-negative (HR+/HER2?) metastatic breast cancer (mBC).

Methods:

Patients with HR+/HER2? mBC who discontinued a non-steroidal aromatase inhibitor and began a new line of treatment with everolimus-based therapy or chemotherapy (index therapy/index date) between July 20, 2012 and April 30, 2014 were identified from two large claims databases. All-cause, BC-related, and adverse event (AE)-related medical costs (in 2014 USD) and all-cause HRU per patient per month (PPPM) were analyzed for both treatment groups across patients’ first four lines of therapies for mBC. Adjusted differences in costs and HRU between the everolimus and chemotherapy treatment group were estimated pooling all lines and using multivariable generalized linear models, accounting for difference in patient characteristics.

Results:

A total of 3298 patients were included: 902 everolimus-treated patients and 2636 chemotherapy-treated patients. Compared to chemotherapy, everolimus was associated with significantly lower all-cause (adjusted mean difference?=?$3455, p?<?0.01) and BC-related ($2510, p?<?0.01) total medical costs, with inpatient ($1344, p?<?0.01) and outpatient costs ($1048, p?<?0.01) as the main drivers for cost differences. Everolimus was also associated with significantly lower AE-related medical costs ($1730, p?<?0.01), as well as significantly lower HRU (emergency room incidence rate ratio [IRR]?=?0.83; inpatient IRR?=?0.74; inpatient days IRR?=?0.65; outpatient IRR?=?0.71; BC-related outpatient IRR?=?0.57; all p?<?0.01).

Conclusions:

This retrospective claims database analysis of commercially-insured patients with HR+/HER2? mBC in the US showed that everolimus was associated with substantial all-cause, BC-related, and AE-related medical cost savings and less utilization of healthcare resources relative to chemotherapy.     

Rates of Return and Early Retirement Disincentives: Evidence from a German Pension Reform

To counteract the financial pressure emerging in aging societies, statutory pension schemes are undergoing fundamental reforms in many Western countries. Starting with cohort 1937, Germany introduced permanent pension deductions for early retirement. This study examines the profitability of pension contributions against the background of this reform for cohorts 1935–1945. Internal rates of return (IRR) are used to measure the profitability. For men, the IRR declines from 2.4% to 1.2% and for women from 5.2% to 3.7%. The results suggest that the majority of the trend, about 75–80%, is caused by increased pension contributions and not by the reform.     

Measuring internal rates of return: The transfer function approach

Although the internal rate of return (IRR) concept is recognized as the most relevant measure of economic return, in practice the accounting rate of return (ARR) is used instead because of the relative ease with which it can be obtained. This paper presents a method whereby the IRR can be estimated using linear systems' transfer functions.     

Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest

Price of a financial derivative with unilateral counterparty credit risk equals to the price of an otherwise risk-free derivative minus a credit value adjustment (CVA) component, which can be seen as a call option on investor's NPV with strike 0. Thus modeling volatility of NPV is the foundation for CVA valuation. This paper assumes that default times of counterparty and reference firm follow a special contagion model with stochastic pre-intensities that allows for explicit formulas for default probabilities. Stochastic interest rate is also incorporated to account for positive correlation between pre-intensity and interest. Survival measure approach is employed to calculate NPV of a risk-free CDS, and semi-analytical solution for CVA is obtained through affine specifications. Numerical analysis shows that contagion has more significant impact on CVA than diffusion of pre-intensities, and the positive correlation between interest and reference firm's pre-intensity has monotonic decreasing impact on CVA.     

增量分析的原理及其在项目评估中的应用

增量分析技术是工程项目评估中的一项重要技术,但是其经济原理和使用范围尚未得到完全分析.增量分析考察不同方案间成本和收益的差异,其经济原理即为边际分析.使用增量分析技术时沉没成本和机会成本的概念在交替和重复使用.增量分析可应用于价值工程分析,或一系列的无限型方案,并可解决不同分析工具引起的方案排序不同的困境.文中给出了三个方面的实例以说明增量分析技术的应用,即增量分析在价值工程和一系列的无限型方案中的应用,以及用于解决不同分析工具引起的方案排序不同的困境时的应用.对比净现值技术,增量分析对项目的评估结果与净现值法相同,但更富于逻辑性且易于理解.另外,增量技术不仅适用于基数尺度为单位如货币等指标表示的项目,也可适用于以序数尺度为单位表示的项目,如功能、效果或效用等,以分析效果成本比或效用成本比等.因此,项目评估中建议增量分析技术优先采用.     

企业资源计划（ERP）系统实施的经济评价

本文介绍了企业资源计划（ERP）的基本含义，利用净现值评价法和期权定价理论，探讨了论企业资源计划（ERP）系统实施的经济评价问题。     

A股上市公司的综合资本成本与投资回报--从内部报酬率的视角观察

本文根据中国股票市场的特点对Fama和French( 1 999)方法进行了适当调整 ,通过估计 1 990— 2 0 0 1年沪深A股非金融行业上市公司整体以及各行业的价值内部报酬率和成本内部报酬率 ,为市场整体及行业的资本成本与投资回报率水平提供了一种度量。本文发现相对于高速的经济增长 ,中国上市公司的价值内部报酬率偏低 ,该证据与中国股票二级市场的价格被严重高估以及上市公司的过度融资动机相关。制度环境是造成二级市场股价过高的主要原因 ,而二元股权结构使上市公司具有内生的过度融资动机。本文还总结了 1 990— 2 0 0 1期间上市公司融资决策和资本结构的若干特征     

基于主成分分析法的资金有限型企业投资决策研究

对同一项目进行评价时,时间型评价指标、价值型评价指标以及效率型评价指标,它所反映的是项目不同侧面的经济效果,对于资金有限型企业而言,仅以NPV法作为绝对衡量指标是不切合实际的。基于主成分分析法的企业投资决策方法,在考虑净现值评价指标的同时,综合考虑动态投资回收期、内部收益率、净现值率指标,全面、客观地对项目进行综合评价,为企业投资决策提供科学依据。     

The god of the mountain and Godavarman: Net Present Value,indigenous territorial rights and sacredness in a bauxite mining conflict in India

This article provides an environmental and institutional history of the highly politicized and contested process of setting a Net Present Value (NPV) for forests in India, in a context of increasing conflicts over land for development, conservation and indigenous rights. Decision-making documents in the Supreme Court and in one specific case of a bauxite mining conflict involving Vedanta in the Niyamgiri hills are studied to come to conclusions about how economic valuation of forests has moved through the political process. We argue that establishing NPV for forests is neither conducive to conservation nor to environmental justice for the following three reasons. The technical and political process of setting prices deepens and reproduces structural inequalities with negative distributive effects. NPV encourages economistic decision-making procedures that exclude participation. Finally NPV does not recognize or take into account cultural difference or plural values. We thus conclude that economic valuation of forest products and services has not managed to “save” forests in India and is not an effective or viable strategy for expressing the value of forests or for environmental conservation and environmental justice activism.     

区间净现值法在投资决策中的应用

虽然净现值法目前在投资方案评价中被广为应用,但该方法仍存在年净现金流量及折现率难以确定、决策缺乏经营柔性等问题。本文利用模糊决策理论对净现值法进行了改进,从而提高决策的科学性和准确性,使投资决策更为合理。     

房地产投资决策中实物期权方法的应用

传统的净现值投资决策方法将不确定性视为一种损失,忽略了项目投资的灵活性和战略性,往往造成项目价值的低估,而实物期权弥补了NPV法的不足。本文将实物期权方法}J入房地产投资决策中,对比分析了传统净现值法的一些不足,介绍了实物期权的基本理论,并采用了B-S期权定价模型对房地产投资决策过程中蕴含的迟延期权进行了案例分析。     

The economic burden of switching targeted disease-modifying anti-rheumatic drugs among rheumatoid arthritis patients

Aims: To estimate real world healthcare costs and resource utilization of rheumatoid arthritis (RA) patients associated with targeted disease modifying anti-rheumatic drugs (tDMARD) switching in general and switching to abatacept specifically.

Materials and methods: RA patients initiating a tDMARD were identified in IMS PharMetrics Plus health insurance claims data (2010–2016), and outcomes measured included monthly healthcare costs per patient (all-cause, RA-related) and resource utilization (inpatient stays, outpatient visits, emergency department [ED] visits). Generalized linear models were used to assess (i) average monthly costs per patient associated with tDMARD switching, and (ii) among switchers only, costs of switching to abatacept vs tumor necrosis factor inhibitors (TNFi) or other non-TNFi. Negative binomial regressions were used to determine incident rate ratios of resource utilization associated with switching to abatacept.

Results: Among 11,856 RA patients who initiated a tDMARD, 2,708 switched tDMARDs once and 814 switched twice (to a third tDMARD). Adjusted average monthly costs were higher among patients who switched to a second tDMARD vs non-switchers (all-cause: $4,785 vs $3,491, p?p?p?p?=?.021), and numerically lower all-cause costs ($4,444 vs $4,741, p?=?0.188). Switchers to TNFi relative to abatacept had more frequent inpatient stays after switch (incidence rate ratio (IRR) = 1.85, p?=?.031), and numerically higher ED visits (IRR = 1.32, p?=?.093). Outpatient visits were less frequent for TNFi switchers (IRR = 0.83, p?Limitations and conclusions: Switching to another tDMARD was associated with higher healthcare costs. Switching to abatacept, however, was associated with lower RA-related costs, fewer inpatient stays, but more frequent outpatient visits compared to switching to a TNFi.     

Options in technology investment games: The real world TFT-LCD industry case

The Thin Film Transistor-Liquid Crystal Display (TFT-LCD) industry has demonstrated that the investment of huge amounts of capital in new plants is a key factor for success. Decisions about investing in the latest generation of plant involve billions of dollars and a great deal of uncertainty. Moreover, the industry shows distinct oligopolistic characteristics, so the first mover's reactions must be considered when making capital decisions in such competitive environments. The traditional net present value (NPV) rule is a ‘now-or-never’ concept that fails to capture the need for managerial flexibility, which is especially important when investments are irreversible and involve a great deal of uncertainty. In this paper, we use a combination of real options and game theory to analyze the investment strategies of a case company in the TFT-LCD industry. The results show that real options reveal the value of flexibility, which NPV fails to consider. In addition, we apply game theory analysis to different investment strategies to demonstrate the decision-making processes used by competing companies.