【作者】 韩霞；

【导师】 周莉；

【作者基本信息】 北京工商大学 ， 金融学， 2010， 硕士

【摘要】 风险投资是一种新型的投融资制度,它不仅孕育了新的经济增长点,而且推动了高新科技成果的转化。近年来,中国的风险投资发展迅速,风险投资公司数量也大幅增加。大多数风险资本投资于高风险、高收益的高新技术企业。对于风险投资家来说,如何选择具有巨大增长潜力的项目,做出正确的投资决策是至关重要的。然而,在项目评价领域却缺乏行之有效的方法,传统NPV法在评价风险投资项目中显露出极大的不适应性和片面性。落后的评价方法严重阻碍了我国风险投资业的发展。传统的经济评价是基于项目的收入和成本的折现现金流(DCF)的点估计方法,净现值法(NPV)作为不确定性下的投资决策标准具有极大局限性。管理会计与公司理财理论认为,传统的折现现金流法不能够充分捕捉在投资和经营决策时对风险和不确定性进行反应的管理柔性的价值,经常导致错误的投资决定。先前的研究已经证明,传统方法忽略了项目战略中的灵活性的价值,因此造成项目价值的低估。为了弥补上述现行DCF法的缺陷,本文构建了实物期权分析框架,目的是解决不确定性问题。实物期权方法把管理柔性中的投资机会看作能带来投资收益的一系列期权,极大地突破了传统决策法的局限和障碍,很好地适应了以不确定性和风险性为特征的新的投资环境,为经营灵活性和战略适应性的评价提供了新的解决方案。在实物期权的视角下,商业投资机会类似于金融期权。换句话说,实物期权评价法将投资机会和各种管理柔性看作期权并可用期权定价模型来求解,最终判定投资项目的真实价值。实物期权是一次由被动接受向主动进行风险管理的思维变革,无论是看待战略和经营决策的思维方式还是作为量化工具都非常有效。项目管理者拥有规避向下风险、挖掘向上潜力的选择权。当投资能够提供扩张、收缩、延迟以及学习机会,管理决策就创造了价值。实物期权是不确定性环境下更好的投资决策工具。为了减少信息不对称,风险投资家经常选择分阶段进行投资,结合这一风险投资的显著特性,本文重点研究分阶段投资这一固有的复合期权。在实物投资界,一个期权的执行产生了另一个期权,一个机会的把握又带来另一个机会,形成或有可能性链,即复合实物期权。本文致力于构造一个更科学的风险投资项目评价框架,再通过将其应用于实证分析,为此方法向实务界推广尽绵帛之力,为我国风险投资的健康发展扫除障碍。更多还原

【Abstract】 Venture capital is a new pattern of financing system.which not only supplies the new economic increasing point but also promotes thansform high-tech achievement into products. Over the recent years, China’s venture capital has developed very quickly.Venture capital investment firms have also been increasing in number.Most of venture capital firms are high-tech enterprises which are typically highly risky, simutanioursly accompanied by high returns. It’s very vital for venture capitalists to choose the project with great potential profit to invest; however, there are few adequate assessment system and methods in the evaluation field. It is very difficult to assess with the traditional method which is so backward, as a result, to heavily hamper the development of our venture investment industry.Traditionally the economic value of a project is based on a discounted cash flow(DCF)analysis of point estimates of project incomes and costs.NPV has limitations as decision criterion for investments under uncertainty.Management accounting and corporate finance academics have reasoned that the conventional discounted cash flow techniques do not adequately capture the value of managerial flexibility to respond to risks and uncertainty in investment and operating decisions. And it often leads to the wrong investment decision. Previous research (e.g. Dixit and Pindyck, 1994; Trigeorgis, 1995) has demonstrated that this approach fails to capture the value of flexibility in project strategies and therefore can undervalue projects. Project value can be more accurately estimated by adding the value of flexibility.To overcome the above mentioned disadvantages of the current DCF methodologies, the objectives of this study are to develop a framework, namely the Real Option framework to address the uncertainty problems.The insight from real options is that a business investment opportunity can be conceptually compared to financial option.Within real investments, i.e., managerial flexibility "an irreversible investment opportunity is much like a financial call option" (Pindyck, 1991). In other words, real option valuation is treating investment opportunities and the different types of managerial flexibility as options and valuing them with option valuation models. Real options are useful both, as a mental model for strategic and operational decision-making, and as a valuation and numerical analysis tool. The problem of the impacts of project management quality on the value of flexible strategies is widespread because project managers commonly use many forms of flexibility that can be structured as real options. Real options techniques value managers’options to shelter investments from adverse effects and exploit upside potential. When investments provide the flexibility to expand, contract, delay and learn, management decisions can create value. A firm that uses real options thinking and models takes an active risk management view.A shift in valuation paradigms from a passive NPV to active risk management.The real option technique is a better decision tool when making decisions under uncertainty.To reduce the degree of information asymmetry,the venture capitalists usually conduct multi-stages investments.Therefore in this paper we concentrate on multi-stage investment opportunities as compound real options.Compound real options are combinations of real options, where an exercise of a real option opens another real option.In other words, Compound real options are possibilities that open new possibilities, i.e., a chain of contingent possibilitiesThis paper aims to construct a more scientific framework and by applying it to real case we introduce the new way of thinking to the venture investment decision making.更多还原