研究生: |
蔡孟澤 Men-tse Tsai |
---|---|
論文名稱: |
建築投資專案價值與風險評估之研究 The Study of Project Value and Risk evaluation for Real Estate Investment |
指導教授: |
王慶煌
Ching-Huang Wang |
口試委員: |
曾慧斌
none 郭斯傑 none 楊亦東 I-Tung Yang 黃玉霖 none 鄭明淵 Min-Yuan Cheng 柴希文 none |
學位類別: |
博士 Doctor |
系所名稱: |
工程學院 - 營建工程系 Department of Civil and Construction Engineering |
論文出版年: | 2013 |
畢業學年度: | 101 |
語文別: | 中文 |
論文頁數: | 151 |
中文關鍵詞: | 建築投資 、實質選擇權 、風險值 、粒子群演算法 |
外文關鍵詞: | Real Estate, Real Option, Value at Risk, PSO |
相關次數: | 點閱:631 下載:4 |
分享至: |
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
建設公司在取得土地後,為獲得較高之投資報酬,不一定會立即進行專案開發,而常會採取延遲開發或多階段開發策略。但此兩種開發方式具有高度複雜性及不確定性,使得專案價值與開發策略之評估成為一個重要且具有實用價值的困難問題。有鑑於此,本研究將以實質選擇權及風險值的觀念,建構一個建築投資之選擇權評價與決策系統,可以合理地評估立即開發、延遲開發及多階段開發之建築投資專案的真實投資價值及風險程度,以符合實務上決策者可在延遲的任何時間點上決定開發專案或放棄專案之特性,有助於專案之開發效益與決策品質。最後,透過決策支援系統的建置,決策者可根據不同開發策略進行線上分析及比較,有助於決策者策略擬定之參考,亦可減少過度依賴個人經驗所造成的決策盲點。此外,經由案例分析結果顯示,本系統不但可以快速且有效地執行,而且能減少實務上使用實質選擇權作為建築投資之專案評價決策的進入障礙,評估結果可作為建設公司經營與決策之參考。
In order to secure a higher return on investment, real estate developers often choose to adopt a deferred or multi-stage development strategy after acquiring land. However, these strategies involve a high degree of complexity and uncertainty, thus making project valuation and development planning a very important but difficult task.
On this basis, this study develops a DSS model by real option and VaR concept. This model can assess the project value and the degree of risk in immediate, deferment, multi-stage development. At any stage in the project, the model can be used to strategically determine how to proceed by making a realistic assessment of the involved associated with each of the three strategies.
Using this DSS model, the decision maker can make an informed decision on the best strategy for proceeding with development. This model also has the advantage of taking human decision-making error out of the equation. Finally, based on our case study, the system is not only fast for decision making, but also very efficient at reducing the complexity associated with using real options for project valuation. It therefore provides a useful reference for real estate developers when making strategic decisions.
[1]Trigeorgis, Manson, “Valuing Managerial Flexibility”, Mildland Corporate Finance Journal, Vol.5, No.1,pp.14-21, (1987).
[2]張金鶚,《台北市都市更新獎勵措施與制度之研究》,台北市工務局都市計畫處委託,政治大學地政學系辦理,(1991)。
[3]Smit, Ankum, “A Real Options and Game-Theoretic Approach to Corporate Investment Strategy Under Competition,” Journal of the Financial Management Association, Vol. 22 Issue 3, p241-250, (1993).
[4]Copeland, Antikarov, “Real Options: A Practitioner’s Guide”, Texere, New York, (2001).
[5]Boer, “The Real Options Solution: Finding Total Value in a High-risk World”, United States, (2002).
[6]Klammer, “Empirical Evidence on the Adoption of Sophisticated Capital Budgeting Techniques,” Journal of Business, pp.387-397, (1972).
[7]Schall, Sunden, Geijsbeek., “Survey and Analysis of Capital Budgeting Methods,” Journal of Finance, pp.281-287, (1978).
[8]Hayes, Garvin, “Management as if Tomorrow Mattered”, Harvard
[9]Hodder, Riggs, Pitfalls in Evaluating risky Projects. Harvard Business Review, 63(1), 129-135, (1985).
[10]Myers, Stewart, “Determinants of corporate borrowing,” Journal of Financial Economics, Vol.5, No.2, p147-175, (1977).
[11]McDonald, Siegel, “The Value of Waiting to Invest”, Quarterly Journal of Economics, 101, 707-727, (1986).
[12]Black, Scholes, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, Vol.81, No.3, p.14-26, (1973).
[13]Cox, Ross, Rubinstein, “Option Pricing: A Simplified Approach,” Journal of Financial Economics, Vol.7, No.3, p.32-45, (1979).
[14]Group of Thirty,” Derivatives: Pratices and Pronciples”, (1993).
[15]Jorion, “Value at Risk: The New Benchmark for Controlling Market Risk, Chiocago”, IL: Irwin, (1997).
[16]Eberhart,Kennedy, “A new optimizer using particle swarm theory.Proc.sixth international symposium on Micro Machine and Human Science,Nagoya,Japan p.39-43, (1995).
[17]Shi, Eberhart, A modified particle swarm optimizer. Proceedings of the IEEE International Conference on Evolutionary Computation pp. 69-73. IEEE Press, Piscataway, NJ , (1998a).
[18]Scot Morton, Management Decision Systems:Computer-base Support for Decision Marking,Division of Research, Harvard University ,Carbridge,MA. , (1971).
[19]Alter, "A Taxonomy of Decision Support System" Solon Management Review, vol. 19, no.1, Fall, pp. 39-56, (1997).
[20]Spragne, Carlson, Building Effective Decision Support System, Prentice-Hall, (1982).
[21]Keen, Decision Support Systems: The Next Decade, Decision Support Systems 3, 253-265, (1986).
[22]Guariso, Werthner, ” Environmental decision support systems “, (1989).
[23]梁定澎,「決策支援系統與企業智慧」,智勝文化事業, (2005)。
[24]Parker, “Discounted Cash Flow in Historical Perspective,” Journal of Accounting Research, p.55-71, (1968).
[25]Boer, The Valuation of Technology: Business and Financial Issues in R&D, New York, (1999).
[26]Arnold, Jerry, “Finding Firm Value without a Performa Analysis,” Financial Analysts Journal, Vol.56, No.2, p.77-84, ( 2000).
[27]Damodaran, Aswath, The Dark Side Valuation: Firm with no Earning, no History, no Comparables Can Amazon.com be Valued, Stem School of Business, ( 2000).
[28]Titman, “Urban Land Prices under Uncertainty,” The American Economic Review, Vol.75, No.3, p.505-514, (1985).
[29]Williams, “Real Estate Development as an Option,” Journal of Real Estate Finance and Economics, Vol. 4, No. 2, p.191-208, (1991).
[30]Trigeorgis, “Real Option and Interactions with Financial Flexibility,” Financial Management, Vol.22, No.3, p.65-77, (1993).
[31]Quigg, “Empirical Testing of Real Option-Pricing Models,” The Journal of Finance, Vol.35, No.2, p621-640, (1993).
[32]Anthony, Roger, “Value of the option to develop residential: An empirical estimate,” Real estate Review Vo34, No.4, p.60-66, (2004).
[33]Katia, Luciana, Francisco, Jose A,Jose P, Real estate and real options - a case study, Emerging markets review Vol. 8, p. 67-79,(2007).
[34]Buttimer, Clark, Ott, “Land Development: Risk, Return and Risk Management,” Journal of real estate finance and economic, Vol. 36, p81-102, (2008).
[35]Ke, Diao, Zhu, “A Real Option Model Suitable for Real Estate Project Investment Decision,” Journal of Advanced Materials Research, Vol. 225, p234-238,(2011).
[36]Mello, Parsons, “Strategic Hedging” Journal of Applied Corporate Finance, Vol.12, pp43-54, (1999).
[37]Ye,Tiong,”NPV-AT-Risk Method in infrastructure project investment evaluation”, Journal of construction engineering AND, (2000).
[38]Lu, Wu, Chen, Lin,“BOT Projects in Taiwan:Financial Modeling Risk, Term. Structure of Net Cash Flow, and Project at Risk Analysis” Journal of Project Finance, pp.53-63, (2000).
[39]Sanders, Manfredo, “USDA Livestock Price Forecasts: A Comprehensive Evaluation.” Journal of Agricultural and Resource Economics. 316-334. 28, (2002).
[40]Cabedo, Moya, “Estimating oil price value at risk using the historical simulation approach”, Energy Econ., 25:239-253, (2003).
[41]林振榮,「資本預算中現金流量折現模式之比較研究」,中原大學企業管理研究所碩士論文,(1986)。
[42]施鴻志、蘇玉守、陳冠位,「國營事業土地開發財務評估案例分析」,台灣土地金融季刊,第36卷第3期,頁117-139,(1999)。
[43]汪玉玫,「DCF法與ROA在投資決策功能上之比較研究」,管理會計,第68期,頁65-91,(2004)。
[44]林彥良,「實質選擇權在土地開發投資計畫之評估應用」,國立台灣科技大學營建工程系碩士論文,(2008)。
[45]蔡進國,「實質選擇權在土地評價上之應用-傳統評估方法與實質選擇權法之分析比較」,台灣大學財務金融研究所碩士論文,(1997)。
[46]徐守德,「投資計畫評估-選擇權評價理論之應用」,管理評論,第17卷,第3期,頁1-25,(1998)。
[47]沈勁利,「彈性決策評估模式之研究-以營建管理相關課題為例」,國立台灣大學土木工程研究所博士論文,(1999)。
[48]陳奉瑤,「可更新土地開發價值之研究台灣土地研究」,第6卷,第1期,頁1-16,(2002)。
[49]章定煊、張金鶚,「上市櫃建設公司土地開發時機與市場風險關聯性之研究」,中華民國住宅學會第12屆論文集,頁279-287,(2003)。
[50]余尚武、邱雪娥,「BOT專案評價決策支援系統-實質選擇權之應用」,中華管理學報,第4卷,第3期,頁1-22,(2003)。
[51]梁仁旭,「土地選擇權時間價值比之研究」,都市與計畫,第32卷,第4期,頁371-286,(2005)。
[52]梁仁旭、陳奉瑤,「以選擇權觀點探討土地開發分析法之運用」,土地經濟年刊,第15期,頁1-13,(2007)。
[53]蔡明恩,「衡量 BOT 專案融資財務風險之研究:運用蒙地卡羅模擬法分析」,銘傳大學金融研究所碩士論文,(2000)。
[54]黃凰綺,「應用風險值於休閒產業投資風險評估之研究-以開發休閒旅館為例」,朝陽科技大學建築與都市設計研究所 碩士論文,(2003)。
[55]黃瓊蓉,「高雄捷運營運其風險值之探討」,國立中山大學財務管理研究所碩士論文,(2003)。
[56]黃瓊瑩,林秋瑾,「購屋者住宅投資風險衡量之研究」,中華民國住宅學會論文集,(2004)。
[57]潘姿吟,「BOT計畫風險值研究—超越門檻值法之應用」,國立屏東科技大學財務金融研究所碩士論文,(2006)。
[58]Luehrman, “Investment Opportunities as Real Options: Getting Started with the Numbers,” Harvard Business Review, Vol. 76, Iss.4, Jul/ Aug, pp.55-67, (1998).
[59]Said, Dickey, Testing for unit roots in autoregressive-moving average of unknown order, Biometrika 71, 599-607, (1984).
[60]Box, Jenkins, Times series analysis: forecasting and control (Holden-Day,Oakland) , (1976).
[61]Bollerslev, “Genernalized Autoregressive Conditional Heteroscedasticity”, Journal of econometrics, Vol. 31, pp.07-327, (1986).
[62]Engle, “Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation”, Econometrica, 50, pp.987-1008, (1982).
[63]Hull, Suo, A methodology for assessing model risk and its application to theimplied volatility function model, Journal of Financial and Quantitative Analysis, (2002) .