基于实物期权方法的并购中目标企业价值评估

本文利用实物期权方法研究并购中目标企业的价值评估模型，认为并购中目标企业的价值不仅包括目标企业自身的价值，还应包括由于并购的实物期权特征和协同效应产生的目标企业相对于并购企业的附加价值。目标企业自身的价值由传统的折现现金流法计算，并通过实物期权理论调整。并购附加价值分别由实物期权理论方法、由改进的折现现金流法和专家打分法计算和分配。     

基于实物期权定价的改进DCF投资项目评估模型研究

风险项目评估是风险投资公司投资运作中的一个重要环节,项目的评估结果将直接影响到风险投资公司的投资最终能否运作成功。传统的项目评价方法是现金流折现法,以净现值法最具代表性。但经验表明,传统的DCF法会低估项目投资价值,使投资人失去许多有价值的投资机会。本文试在DCF法基础上,引入实物期权溢酬,提出一种较为有效的基于实物期权定价的风险项目评估方法。     

实物期权:一种重要的创新金融工具

一、传统项目定价方法及其缺陷众 所周知 ,以往在对项目进行评估时都是采用净现值(NPV)法 ,即将项目在各个时点的现金流入与现金流出的差折现成现值 ,从而决定项目的价值。它有三个基本要素 :( 1)现金流。未来的现金流是不确定的 ,因此期望的现金流E [CF]要折现。 ( 2 )时间。将现金流与其相关的时间联系起来 ,这样才能将现金流正确地折现。 ( 3)风险。商业现金流是不确定的、有风险的 ,投资者要求高的折现率r。NPV的计算公式为 :NPV =∑ni=0E [CF] 1e-rt ( 1)如果NPV为正 ,那么就应该投资 ,否则就不投资。但近年来 ,各界对该法提出了许多严厉的批评。问题主要集中在NPV方法没有正确勾画出投资的情形 :一方面 ,折现率和现金流会随着不同的计算NPV的人而变化 ;另一方面 ,这种方法只对投资的运作定价 ,而没有对投资所带来的机会定价。Hayes和Garvin还认为NPV方法没有将管理者在项目遇到内在和外来的变化和冲击时调整计划———管理者的可变性 (Flexi bility)考虑在内。二、实物期权的基本原理近年来 ,对金融资产期权定价的发展引出了利用期权理论对实物资产定价的方法...     

实物期权理论综述及其在管理中的应用

一、引言在西方,尤其是美国,企业价值最大化已成为市场经济的最高准则。进行价值评估、以价值最大化作为企业资产重组和其他一切战略活动的抉择依据,逐渐成为企业管理的新思潮。企业价值评估的方法很多,具体来说,可以分为比较法、现金流折现法、风险资本法和实物期权法,各种方法都有其存在的理论基础和相关假设。与传统的比较法和现金流折现法     

企业价值评估中实物期权法的运用与优劣势分析

文章首先对二项式模型和Black-Scholes模型进行了简要说明,并分析了实物期权法应用于企业价值评估的基本思路.在此基础上,通过实物期权法与现金流量折现法的案例对比分析,总结了实物期权法的优点和不足.传统企业价值评估方法通常只考虑企业资产现值和未来收益现值,而忽视未来投资时机的最优选择问题;实物期权通过考虑对未来投资时机的选择所创造的价值,对传统评估方法进行有益的补充和完善.     

实物期权方法在项目投资决策中的应用

常用的投资评价理论一现金流贴现法忽略了决策中的灵活性，把决策看成是一个静止的过程。实物期权方法为投资决策提供了一个全新的视野，它把金融期权的思想运用到实物资产的评价中，充分考虑到决策过程中的管理柔性，以一种动态的方法来评价整个项目。运用Black—Scholes模型和二叉树模型来评价具体案例的投资价值，突出了实物期权方法相对于传统现金流贴现法的不同和改进，说明了实物期权定价模型的选择和应用，具有一定的现实意义。     

基于实物期权的矿产资源价值评估模型

依据实物期权理论,采用鞅定价方法,构建了矿产资源价值估计模型——GARCH资源开发投资评估模型。该模型允许资源价值具有时变的波动率,弥补了折现现金流(DCF)方法和传统实物期权方法在实际应用中的不足。利用锌、镍、铜和锡等矿产资源的现货价格数据,对本文构建的模型、DCF模型和B-S模型的资源价值估计效果进行比较分析。结果显示,本文构建的模型能灵活刻画资源开采过程中的期权价值,比其他模型更能体现资源所有者的权益。     

投资项目未来价值预测方法探讨

对投资项目未来价值进行预测是项目投资过程中需要重点考虑的因素,本文对未来价值预测提出了现金流贴现法及其运用中的缺陷,分析金融期权理论,提出实物期权定价法,运用定量分析模型与风险中性定价理论进行分析,研究单个实物期权、复合实物期权定价方式,对投资项目提出了科学的分析决策依据。     

新兴技术管理的“评-研-商”模型及其风险评估

本文将新兴技术管理分为技术评估、技术研发和技术产品商业化三个阶段,建立了"评-研-商"阶段模型,并从企业内部研发和外部市场两方面对各阶段可能存在的风险因素进行了分析。针对传统的现金流折现法在评估新兴技术研发推广项目风险方面的不足,本文引用了实物期权方法中的盖斯克模型对新兴技术项目管理进行风险评估。     

投资期权与最佳投资准则

本文从项目投资的不可逆性和可延迟性出发,指出不可逆的投资机会相当于永恒的投资看涨期权,项目投资决策相当于用估价金融期权的方法估价投资期权,并确定使投资者取得的项目价值最大化的投资期权执行时间;根据项目价值随机变化的特征,按金融期权定价的方法,导出了投资期权价值遵循的微分方程及相应的边界条件,并着重对求解获得的结果进行了讨论,为修正现金流折现分析法提供了依据。文中采用的分析方法可广泛应用于各种不可逆     

实物期权方法在BOT公路投资项目中的应用

投资项目具有多种期权特性,传统的DCF评价方法无法评估多个不确定性对投资项目的影响。实物期权方法为决策者提供了一个有效管理不确定性因素的工具。国内外学者就BOT公路投资项目中的增长期权、延迟期权、投资扩张、政府保证、特许权期限调整、通行费率调整、投资成本和车流量不确定性等多个问题进行了大量的讨论。本文首先对实物期权理论在BOT公路投资项目方面的应用研究进行文献回顾,然后详细的分析了国内BOT公路投资项目收益的不确定性、项目投资的可延迟性、项目的可扩建性、政府的保证以及项目特有的土地开发及广告收益等多个特点具有的期权价值。并对这些期权的定价模型进行了简要的介绍。文章最后对运用实物期权理论应用过程中的难点进行了分析,并在此基础上总结实物期权理论在BOT公路投资项目中应用的研究方向。     

Past Experiences,Personality Traits,and Risk Aversion: Evidence from Individual Risk Attitudes during the COVID-19 Pandemic

Individuals’ risk attitudes play an important role in economic decision making and policy evaluation, particularly in the midst of unprecedented uncertainty caused by the COVID-19 pandemic. We adopt a multiple-price-list elicitation method with real money incentives to measure precisely individuals’ risk attitudes at different stake levels and the extent to which they are affected by personal and social shocks following the COVID-19 outbreak in China. We find that subjects who had previously experienced negative personal shocks are more risk-averse at medium and large stakes but more risk loving at very small stakes. For our sample, COVID-19 has no significant impact on risk attitudes, as it is more likely to be regarded as a social shock. The result indicates that the impact of COVID-19 on individual risk attitudes is not as influential as expected, unless the individual’s personal life is affected directly.     

Economic Policy Uncertainty and Investor Sentiment: linear and nonlinear causality analysis

In this paper, we study the relationship between economic policy uncertainty and investor sentiment. US data were analysed based on linear and non-linear Granger causality analysis. We reveal the obvious impact that economic policy uncertainty has on the investor sentiment, which can be explained by the real option and financial constraint theory.     

China’s house price: Affected by economic fundamentals or real estate policy?

Many theory and empirical literature conclude that house price can reflect economic fundamentals in the long-term. However, by using China’s panel data of 35 main cities stretching from 1998 to 2007, we find that there is no stable relationship between house price and economic fundamentals. House price has deviated upward from the economic fundamentals since government started macro-control of the real estate market. We consider that the mechanism between the house price and economic fundamentals is distorted by China’s real estate policy, especially its land policy. Meanwhile the policy itself is an important factor in explaining the changes of China’s house price. Then we estimate the dynamic panel data model on house price and the variables which are controlled by real estate policy. The result shows: land supply has negative effects on house price; financial mortgages for real estate have positive effects on house price; and the area of housing sold and the area of vacant housing, which reflects the supply and demand of the housing market, has negative effects on house price. We also find some differences in house price influence factor between eastern and mid-western cities. Finally, we propose policy suggestions according to the empirical results.     

EQUIVALENT OPTION PRICE WITH SUPPLY UNCERTAINTY

This paper compares two ex ante measures of the benefits of a project with supply uncertainty: compensating option price, the willingness to pay for a project, and equivalent option price, the willingness to accept to forego a project. The paper shows that compensating option price does not generally rank three or more projects correctly, even when the projects only impose a change in a single good. Equivalent option price, like equivalent variation with certain outcomes, always ranks three or more projects correctly. This paper also presents a method to empirically estimate equivalent option price using estimates of the benefits of certain changes. This approach is practically important so that the same study results can be used to estimate equivalent option price even as new projects are developed or as changes occur in the scientific information regarding the probabilities of various project outcomes. An application of the empirical method estimates the benefits of a policy to improve air and water quality when there is uncertainty about the effectiveness of the policy.     

Real wage rigidities and optimal monetary policy in a small open economy

The main objective of the study is to provide a theoretical analysis of optimal monetary policy in a small open economy where households set real wage in a staggered fashion. The introduction of real wage rigidities plays a important role to resolve main shortcomings of the standard new Keynesian small open economy model. The main findings regarding the issue of monetary policy design can be summarized as three fold. First, the optimal policy is to seek to minimize variance of domestic price inflation, real wage inflation, and the output gap if both domestic price and real wage are sticky. Second, controlling CPI inflation directly or indirectly induces relatively large volatility in output gap and other inflations. Therefore, both CPI inflation-based Taylor rule and nominal wage-inflation based Taylor rule are suboptimal. Last, a policy that responds to a real wage inflation is most desirable.     

Testing the Option Value Theory of Irreversible Investment

This article statistically tests the option theory of irreversible investment. Using contingent claims valuation, we derive the value of options to invest in capacity, where the projects are endogenous to the economic circumstances prevailing at the investment date. We then test whether decisions made by Canadian copper mines are compatible with the trigger price implied by the theory. Our model explains investment size and timing satisfactorily from a statistical and an economic point of view; simulations with a mean-reverting process suggest that the results do not depend crucially on the assumption that price follows a geometric Brownian motion.     

Rigid wage-setting and the effect of a supply shock,fiscal and monetary policies on Chinese economy by a CGE analysis

The purpose of this paper is to present a computable general equilibrium (CGE) model of the Chinese economy which includes rigid wage-setting and integration of real and financial sectors, and to apply it to a quantitative evaluation of the oil price changes and the fiscal and monetary policies. The policy simulation shows whether the wage rate is flexible or rigid is crucial for the evaluation of various policy measures. Furthermore, the fields of application of the model are extended from the industry-related problems to the macroscopic ones such as inflation, stabilization policies and so on.     

Impact of asset price fluctuation on China’s monetary policy: An empirical analysis based on quarterly data, 1994–2006

The strenuous fluctuation in global asset price in recent years has had a profound impact on the economic and social development of every country. An empirical analysis indicates that asset prices (the stock price index and real estate prices) are important endogenous variables affecting the interest rate reaction function of central bank monetary policy. With expected inflation as a given, each one percentage point rise in output gap will cause a 0.79 percentage point reduction in interest rates by the central bank and each one percentage point rise in real estate price will result in a 2.2 percentage point rise in interest rates. The stock price index does have an influence on the trends in monetary policy, but it is less salient than the impact of housing prices. We also show that monetary policy that employs asset price as an endogenous variable increases the central bank’s control in seeking to attain its objectives. Therefore we suggest that the central bank should make asset price fluctuation an endogenous variable and incorporate it into its forward-looking interest rate rule, in order to facilitate the healthy development of China’s markets for real estate, stocks and derivatives, energy and bulk commodities and maintain rapid, smooth, sustainable and harmonious economic development.