项目投资价值分析创新方法研究

【作者】 陈龙；

【导师】 余绪缨；

【作者基本信息】 厦门大学 ， 会计学， 2002， 博士

【摘要】 随着人类社会由工业经济时代迈进知识经济时代，企业所面临的环境日益复杂化，世界性经济竞争空前剧烈。其中的重要特征之一即不确定性。正所谓“计划没有变化快”，便是由于事件的发展很难事前预料，不确定因素太多，而使企业对未来市场发展方向难以准确把握，企业的管理者们常为此寝食难安，应对不暇，因而认为应该想方设法避免不确定性。这种认识，不能认为是正确的。事实上，不确定性不仅与损失相联系，同时还与获利相联系。企业往往夸大了它所带来的反面效应而忽略了其正面效应。应该看到，如果企业能够恰到好处地运用不确定性，就可以一方面规避不利效应，另一方面获得潜在机遇。 在项目投资价值分析领域，不确定性所扮演的就是一把“双刃剑”角色，而本文所进行的项目投资价值分析创新方法的研究起点也在于此，甚至是更多地着眼于其正面效应，强调不确定性将创造价值，为企业战略的实现与价值的提升奠定客观基础。 本文以传统的项目投资价值分析方法——现金流量折现法为研究基础，采用规范研究方法，并结合案例分析，综合运用归纳、演绎、推理和比较等手段，研究以下主题：投资项目价值分析方法创新的缘起与分析、价值分析框架的建构、战略实现各方面与价值分析之间的关系，得出以下论点并作了充分论证： 一、项目投资是现金流量与期权的投资组合； 二、实物期权分析理念有助于形成对项目投资价值的完全认识，期权价值不可忽略； 三、项目投资价值的实物期权分析法与传统的现金流量折现法融为一体，使之提高到一个新的水平； 四、项目投资价值的完全认识将大大增强企业实现其战略定位的能力。 文章结构安排如下： 第一章作为论文的开局，目的有二：一是论题的提出，二是论题研究范围的界定。第一节至第三节分别从环境要求创新、方法沿革与国内外相关论著观点分类，提出了本文的研究论题，即对项目投资价值分析方法的研究。第四节则是出于为使论述更加有的放矢，而不将企业整体估价、金融资产估价、代理问题可能导致的对项目投资价值分析的影响列入本文研究范围所作的简要说明。 第二章和第三章是本文的重点章节，它们从理论的层面由不同的角度论证上述的前三个论点，而第四章和第五章则是从应用的层面进行论证。 具体地看，第二章从不确定性对项目价值的影响入手，强调现金流量折现法由于忽略了项目的经营柔性与战略价值，同时在现有框架下也无法对它们进行价值计量，因而有必要对该传统方法进行反思，并力图寻找到一种更能准确反映项目价值的价值分析方法。第三章则是从项目投资的期权性质切入，得到项目投资价值的一般构成，进而得到“项目投资是现金流量与期权的投资组合”的论点。在树立了实物期权分析的理念之后，本章采用u 项目投资价值分祈创新方法研究比较方法，分别对实物期权与金融期权、实物期权价值分析法与现金流量折现法进行了较为深入的比较分析，并得到一些有益的观点。在此基础上，第五节对层次不同的三种实物期权分析框架进行分析，而后综合它们各自的精髓，结合作者自身的认识，建立了较为完全的项目投资价值的实物期权分析框架。 第四章先是对实物期权的各种估价方法进行介绍，并以二项式模型为阐述重点，进而对各种经营期权的估价、各种方法的应用进行了具体示例。第五章研究了成长期权、战略期权、投资的不可逆性对项目投资价值的影响、行权时间等，并以电信3G牌照与金矿价值估计为案例进行分析。这两章可以看为是第二章与第三章所建立的观点在应用层面上的深化。 第六章是在前面五章论述所确定下来的项目投资价值须采用实物期权分析方法的基础上，将视野扩展到企业战略实现的各个方面与项目投资价值分析之间的关系上，经过论证得到了以上的第四个论点。 总的来看，论文的第二章至第五章体现了对传统现金流量折现法的辩证认识，从深度上牢固树立了项目投资价值的实物期权分析观念；第六章作为结束在广度上从其他重要方面论证了实物期权分析法有助于形成对项目投资价值的全面认识和企业战略的实现。 本文的主要贡献是：较全面深刻地论述了在不确定环境下，项目投资价值分析方法创新演进的深层次原因；将项目投资价值组成上的变化提升、抽象为对项目投资性质的新颖理解；针对项目投资价值分析方法本身及其与战略实现诸方面关系，提出了一些独到的见解。更多还原

【Abstract】 As the world moving from the industry economies ages towards the knowledge-based economy ages, all enterprises are face to face with more complex environment and more intense competition. One of the important characteristics is namely uncertainty. So-called" plan always can not catch up with change" means that too much uncertainty and too hard to anticipate make enterprises be not able to manage future direction easily and directors have no peace of mind day and night. For this reason enterprises usually consider that uncertainty should be kept away by all means, relate uncertainty to loss directly and recognize it latently threaten the realization of business strategy and the maximum of firm value. All above reflects only one aspect of the effects of uncertainty, a double blade sword. In fact, uncertainty not only relates with loss but with gain. Enterprises usually exaggerate the passive effect brought from uncertainty and neglect its positive effect. In fact, if making full use of uncertainty, enterprises can avoid disadvantageous effects one hand, and grasp possible opportunity on the other hand.In the investment valuation realm, uncertainty play as a double blade sword role, which is the outset of this dissertation. This paper, maybe somewhat focuses on its advantageous effects, emphasizes that uncertainty creates value and establishes foundation to realize its business strategy and to maximize firm value.This paper bases on the traditional investment valuation technique, that is discounted cash flow method, adopts the normative research method, combines case example analysis, synthesizes induction, deduction, reasoning and compare means. Study topics are as below: the origin of the creative valuation analysis method, the valuation framework construction and the relationship between value analysis and all related aspects with strategy realization. The following points are approved:First, the project investment is a portfolio of the cash flow and option;Second, real option analysis principle is beneficial to the formation to the complete value recognition, option value must not be omitted;Third, both traditional discounted cash flow method and real option analysis are necessary to acquire complete project investment value, and with each other for complement; Fourth, complete cognition of investment the value will consumedly strengthen the enterprise’s ability to realize its strategy. Structure of the dissertation is arranged as below: As a beginning, The first chapter aims at a twofold goal: put forward the issue to be studied anddefine the scope of study. The first three sections bring forth the issue that is the investment valuation methods, from three different sides respectively, which include environment asking for innovation, valuation methods evolution and in-and-out related standpoints. Section 4 then defines the scope of this study and keeps from three issues from this paper, which include whole enterprise evaluation, financial asset pricing and agency matter.The next two chapters are key parts of this study and in principle demonstrate the above first three standpoints from different angles. And chapter 4 and 5 demonstrate from the applied level. Specificly, chapter 2 begins with the impact of uncertainty on project value, emphasizes that DCF method should be complemented and it’s necessary to find a renewed technique which reflects project value more exactly. Chapter 3 discusses the option character of project investment, studies the general components of project value, and elicits the following standpoints, that is project investment is a portfolio of cash flow and option. After establishing the real option analysis concept, this chapter adopts comparison means and gets some beneficial points, respectively to discuss the similarities and differences between real option and financial option, real option analysis method and discounted cash flow method. Based on all above, section 5 analyzes three different kinds of real option analysis framework, synthesizes their essence更多还原