基于实物期权的城市供水PPP项目投资决策分析

为解决城市供水PPP项目中实物期权的价值合理界定问题,通过分析城市供水PPP项目的期权特性,采用二叉树实物期权定价模型对项目中隐含的期权进行定价,并运用模糊综合评价法对项目的复合期权价值加以完善,建立城市供水项目的价值评估模型,完善了传统的城市供水项目价值评估方法,并通过案例分析,验证了将实物期权法引入到价值评估中有助于合理界定城市供水PPP项目的不确定性价值,准确反映项目的实际价值,从而为投资者提供有效的决策依据。     

基于实物期权法的林木资产价值评估——以江西吉安东固采育林场为例

合理评估林木资产的价值对于林权流转业务的健康发展具有重要意义。传统资产评估方法忽略了林木资产所包含的选择权,而实物期权法能够反映不确定性带来的柔性价值,在一定程度上弥补了传统评估方法的缺陷。文章在充分剖析林木资产实物期权特征的基础上,对实物期权法在林木资产价值评估领域应用的必要性和可行性进行了分析,并对Black-Scholes期权定价模型关键参数的确定方法进行了探讨。另外,以江西吉安东固采育林场的一项林木资产评估为案例,比较了实物期权法与传统方法的实际应用。     

实物期权理论在房地产投资决策中的作用

实物期权方法和传统的投资决策方法是两种不同角度的投资决策机制。本文基于实物期权定价模型的研究分析,结合相关案例的探讨,总结出实物期权在房地产投资决策中具有很明显的优越性,这会il导投资者对房地产投资项目的价值做出正确的评价。     

实物期权在水利项目投资决策中的模型构建

简单介绍实物期权的概念、特性、分类以及定价模型，在此基础上结合水利工程的特点，分析水利建设项目投资决策的实物期权特征，构造水利建设项目投资决策中的两种实物期权：延迟投资期权和增长实物期权。依据两种实物期权特定的定价模型参数确定方法，确定可用于水利建设项目投资决策过程的定价模型。     

实物期权法在PPP项目物有所值评价中的可行性研究

PPP模式是政府、社会资本基于某些特定的项目而形成的一种特许经营融资模式。由于政府采用PPP模式的前提是这一模式的成本必须低于传统公共服务建设方法的成本,故准确评估PPP项目的价值成为这一模式能否实施的关键。传统的物有所值定量评估方法无法衡量项目中所蕴含的期权价值,引入实物期权法改善物有所值评价方法,以更准确地评估其价值。     

基于实物期权法PPP项目物有所值定量分析研究——以A市垃圾焚烧发电项目为例

PPP项目物有所值评价追求成本节约下的高效率产出,以达到最佳的资源配置状态,其中关键就是确定项目由政府传统模式建设与采用PPP模式的成本孰低问题。PPP项目与一般投资项目一样隐含着价值的实物期权,在进行物有所值评价时引入实物期权评价具有可行性,并且实物期权的引入能够提高政府部门决策准确性。本文以A市垃圾焚烧发电PPP项目为例,通过识别项目中蕴含的风险判定项目可能具有的期权,并利用实物期权法在公共部门比较基准法的基础上调整VFM值,进行敏感性分析,得出项目的期权价值与波动率、无风险利率成正相关,与项目到期时间成负相关。     

林业项目评估的实物期权法浅议

总结了林业项目评估的现状,指出传统评估方法的不足,进而分析林业项目的特点及其具有的期权特性,解释实物期权法在林业项目评估中的必要性和可行性。然后,介绍实物期权法在林业项目评估中的应用现状,分析在运用实物期权法进行林业项目评估时的局限和问题。最后,针对这些问题给出一些建议。     

实物期权研究综述

实物期权是金融期权理论相对于实物（非金融）资产期权的延伸，即标的资产为非金融资产的期权称为实物期权。在金融期权合约中，对于期权合约的各项参数规定得很详细，而嵌入到各式各样战略投资中的实物期权必须经过认真识别和鉴定。从金融期权领域转移到实物期权领域需要一种思维方式的转变，即需要把金融市场上的交易规则转移到公司的一些具体投资决策。实物期权方法作为崭新的理论方法有效地克服了传统方法存在的缺陷。     

基于实物期权理论的跨流域调水工程风险管理探讨

在介绍了实物期权理论产生和发展的基础上,论证跨流域调水工程中应用实物期权理论进行风险管理的必要性和可行性;其次研究如何利用实物期权理论构建水权期权和基于Black-Scholes模型进行水权期权定价;最后,分析和展望在跨流域调水工程风险管理中运用实物期权理论时应该注意的问题。     

评价林业投资的实物期权方法

评价风险较高的林业投资,传统的净现值法(NPV)容易低估项目的价值,不能客观地对林业投资做出正确评价。林业项目的不确定性反映了林业投资具有一定的期权特性,因此本文基于实物期权的理论和方法,建立了林木采伐的实物期权决策模型,将林木收益问题当作一个实物期权问题处理,应用实物期权模型来决定林木最佳采伐时机。     

政府经营性土地储备供应决策——基于实物期权的理论模型

研究目的:探讨政府的经营性土地储备供应决策方法,以增加出让收入及抑制开发商囤地行为。研究方法:实物期权理论,案例研究法。研究结果:(1)将土地供应权视为基于房产的实物期权,推算出了最优供应时机和理论价值,研究发现市场不确定性将提高土地期权价值,并使最优供应时机延后;(2)案例比较分析发现,地块的实际出让时间越接近理论最优供应时机,出让收入越高,但实际上政府对地块并未做出准确的价值判断。研究结论:(1)依据实物期权模型做出的土地储备供应决策更能有效地把握市场形势波动的时机;(2)模型在中国的应用需要可监督的公共财政体系以及财政分成体制改革。     

Exploring sentiment-driven trading behaviour of different types of investors in the London office market

We investigates the sentiment-driven trading behaviour of the four types of investors in the London office market, i.e. UK institutional investors, UK private investors, UK listed real estate companies/Real Estate Investment Trust (REIT)s and overseas investors. In addition, we examine the relationship between investor sentiment and property performance. Related indices are calculated to examine the existence of herding behaviour of different investors. We find that UK private investors follow a contrarian strategy to UK institutional investors and listed real estate companies/REITs and enter/exit the market at different points of time. UK institutional investors tend to follow the sentiment of UK listed real estate companies/REITs and overseas investors with lags. There is no evidence that overseas investors rely upon the sentiment of UK specialised property investors in their decision-making. We find the sentiment of different investors is influenced differently by market fundamentals. Yield and rental growth rate have significant impact on trading activity of overseas investors, but not on other investors. The stock market return and securitised real estate return have significant impact on the trading activity of UK institutional investor and overseas investor, but have no significant influence on the trading behaviour of UK private investor and listed real estate company/REIT.     

无居民海岛实物期权估价模式研究

我国无居民海岛的市场进程刚刚起步,海岛价值评估方法没有统一、规范的制度或标准性规定。本文根据无居民海岛使用权价值的期权特征,应用实物期权理论,估算海岛的期权价值,以突破原有传统估价方法在海岛市场化交易初期阶段无法适用的瓶颈。研究结果显示,分别运用布莱克—舒尔斯模型和二项树模型估算的海岛价值基本一致,相比而言,二项树模型能够反映各个时间节点的参数变化,更加直观和灵活。研究结论说明实物期权估价方法适用于无居民海岛使用权估价,估价结果能够全面反映现金流时间价值、未来不确定性以及柔性决策权共同创造的海岛整体价值,为无居民海岛价值评估提供了新思路。     

Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies

The novelty of this study is the use of continuous wavelet transform analysis of wavelet coherence, as well as its partial and multiple forms, to revisit the co-movements of Asian-Pacific public real estate markets among themselves and with the US, for a time span which covers the 12 January 1995–23 June 2016 period. Earlier research does not have satisfactory results because traditional methods average different relationships in time domain only. From the wavelet analysis, investors can extract the time-scale that most interests them. We find that the co-movement relationship across the real estate markets increases during the two major crisis period, as well as becomes stronger as the scale increases. Hong Kong and Singapore have the strongest time-scale co-movement relationship. Finally, the influence of domestic macroeconomic factors on real estate return co-movement appears to be greater at the long-term horizons than at the short-term horizons.     

当前国际上海外耕地投资状况及其评析

研究目的:梳理当前国际上海外耕地投资的基本状况,为中国粮食安全与耕地保护战略提供参考。研究方法:文献资料法。研究结果:海外耕地投资的主要驱动因素是保障粮食安全及获得丰厚利润;政府是海外耕地投资的主要推动者;通过政府与政府、私有部门与政府或私有部门与私有部门的模式参与直接投资;投资者以购买、租赁或优惠经营的方式获取耕地。研究结论:当前的海外耕地投资存在投资项目缺乏透明度、土地产权存在争议及合同履行难以保障等问题。     

The 4% rule: Does real estate make a difference?

This paper examines the wealth maximisation and preservation effects of including commercial real estate in retirement-phase portfolio management. Prior research addresses the role of real estate during the wealth-accumulation phase of the investor lifecycle; however, little is known about the contribution of real estate during the invest-and-spend, or decumulation, phase. To address this issue, we estimate short-fall risk based on the widely known 4% Rule. We use pricing data for multiple asset classes and simulation techniques, combined with a robust correlation structure, to examine: short-fall risk sensitivity to alternative spending rules; the impact of public vs. private real estate allocations; wealth preservation as an investment objective; and the effect of real estate on upside, or wealth maximisation, potential. We find short-fall risk in a decumulation portfolio decreases with substantial allocations to real estate. This result holds for a portfolio including either public or private real estate. Additionally, and under most conditions, the best performing decumulation-phase portfolios include a real estate allocation with both public and private real estate exposure. These results have significant implications for investors, whether they be retirees, plan administrators or endowments, as well as financial economists studying the lifecycle of investment decisions.     

A Real Options Approach for the Investment Decisions of a Farm‐Based Anaerobic Digester

The profitability of anaerobic digesters (ADs) for Ontario dairy farmers are examined using real options under current and proposed government pricing policies and investment uncertainty. In the case of a renewable energy initiative such as an AD with large sunk costs and volatile returns, the value of deferring investment may be significant enough to offset the returns suggested by the net present value (NPV) approach. For a 150 cow herd, net revenues should be approximately $1.1 million before the AD is installed using the real options approach as compared to $0.5 million with the NPV approach. An AD is close to generating a positive NPV for a 600 cow herd if for either a 1% increase in the electrical price or decrease in the cost. However, farmers need not invest today and there is a value to delaying this decision from potential improvements in the technology that increase the efficiency and/or decrease operating costs of the AD. The real options analysis indicates that this option to delay investment has a value of approximately $300,000 for a typical Ontario dairy farm. Thus, either significant grant funding or higher feed‐in‐tariff rates are required to induce the increased adoption of AD technology in Ontario today even for the largest of dairy farms. Considering the probability of government support potentially ending, increases the value of investing today but a significant option value to defer still exists.     

Financiers in the forests on Vancouver Island,British Columbia: On fixes and colonial enclosures

Starting in the mid 2000s, a financial asset management company and institutional investors began to invest in timberlands in British Columbia, Canada's most western province. In a period of political economic crisis, investors looked to real assets—“dirt and trees” in the words of one research participant—as a means of accumulating capital through securing access to huge parcels of the most productive and valuable forestland in North America. This article analyses these investments as a socioecological fix for finance capital suggesting that investments in land represent a means for capital and the state to negotiate moments of crisis. The article complicates existing accounts of fixes by demonstrating how the survival of capital in a settler context is fully dependent on an ongoing settler‐colonial project of separating Indigenous people from their land base. The article focuses on the explicitly “private” nature of the land under examination and how this is central to the strategies of investors, the state's deregulation of forest policies, and the marginalization of First Nations' claims to land. The article demonstrates that in settler contexts, discussions of fixes need to be much more attentive to the historic and enduring colonial threads woven through investments in land.     

Introduction to a Symposium on Global Finance and the Agri‐food Sector: Risk and Regulation

This symposium introduction brings together two debates; the debate on global food prices and speculation, and the debate on so‐called global ‘land investment’ or ‘land grabbing’. Both debates are examining two sides of the same phenomenon – the growing role of private financial investors in the global agri‐food value chains and the myriad consequences of it. The symposium moves beyond the identification of finance as an exogenous factor to the trends in the sector. It examines real‐life incarnations of finance in the sector by looking at investment arrangements, including connections with the state, and its (regional) variations. The symposium addresses three main themes. First, it explores the interplay of the state and private finance. It shows that the effect of regulation is limited in the face of increasingly mobile and complex investment flows. Second, it addresses the shifts and transfigurations of risk in the agri‐food sector due to financialization. Third, the symposium discusses to what extent, and how, the origins and identity of farmland investors still matters within an increasingly globalized financial sector. The paper concludes by identifying some related areas for further research.