【作者】 马黎；

【导师】 叶永刚；

【作者基本信息】 武汉大学 ， 金融学， 2004， 硕士

【副题名】制药甲厂A药品研发项目案例分析

【摘要】 R&D投资活动对于加快技术创新，增强企业活力，促进国民经济持续、快速、健康发展具有十分重大的意义。R&D投资活动的推动和发展不仅仅需要足够的资金投入，而且还需要有恰当的项目评价和选择方法作为保障。 本文首先比较了R&D项目投资与传统项目投资的不同，说明以净现值为代表的传统贴现现金流方法不能全面发掘R&D项目的战略价值，并针对R&D项目投资高度不确定性和多阶段的特点，指出了实物期权方法的适用性。接着引入案例——制药甲厂A药品研发项目，传统的净现值方法由于其固有的局限性使制药甲厂管理层在运用该法评价A药品研发项目时陷入了决策误区。针对净现值方法的缺陷，结合实物期权相关理论，文章提出了包括期权识别和期权价值计算在内的R&D项目实物期权评价框架，指出R&D项目价值是传统净现值方法计算的价值与项目所含期权价值之和。以此框架为比照，文章重新对A药品R&D项目进行了决策评估，指出A药品R&D项目中的期权为交换复合期权，分别选用连续时间的Margrabe交换期权、Carr交换复合期权定价公式以及离散状态的二叉树模型计算期权价值。加上期权价值后，原本在传统净现值方法中被放弃的A药品R&D项目重新得到了制药甲厂管理层的认可。 通过实物期权理论在制药甲厂A药品R&D项目投资决策中的运用，本文解决了运用传统净现值法无法决策的问题，修正了传统净现值方法的不足，对于改善和突破我国由于缺乏恰当的定量投资评价方法而抑制R&D投入进一步增长的现状具有重大的理论意义和现实意义。更多还原

【Abstract】 Research and development investment activity plays a significant role in the process of accelerating technology innovation, improving enterprises’ ability and developing nation’s economy. R&D investment activity needs not only enough funds but also adequate project valuation methods.After comparison of R&D project investment and traditional project investment, the paper explains that discounted cash flow method represented by net present value can’t seize the whole value of R&D project. Considering the high uncertainty and multi-phase characters, the paper forwards the applicability of real option methods in this field. Then, the paper introduces case of medicine A R&D project of First pharmaceutical factory and shows the failure of DCF application in the project valuation. Based on real option theory, the paper advances real option analysis framework of R&D investment and points out the value of R&D project is the sum of value calculated by DCF and the option value. According to the framework, the paper revalues medicine A project, forwarding that the option inherent in this project is exchange compound option and measuring the option value by use of Margrabe exchange option model, Can-exchange compound option model and binomial pricing model. Adding the option value, medicine A R&D project given up by NPV method is recognized by the management of First pharmaceutical factory.The application of real option method in medicine A R&D project resolves the problem which can’t be settled by traditional ways and offsets the flaws of traditional discounted cash flow methods. This paper has theoretical significance and practical value to solving the current problem of low R&D investment caused by lack of quantifying methods in our country.更多还原