[[alternative]]Venture Capital Valuation with Real Options

計畫編號：NSC89-2416-H032-026研究期間：200008~200107研究經費：264,000[[abstract]]台灣半導體製造公司在世界高科技業佔有重要地位，高科技公司的投資常半隨著高風險及高獲利機會，Lin and Lee (2000)指出傳統淨現值法不能評估高科技業之投資價值，改提出序列性、多階段的實質選擇權模式評估之。在參數估計方面，本研究將投資個案視為非交易性的金融產品，以估計Lin and Lee模型中的參數。並藉由推導有財務槓桿與無財務槓桿資本資產定價模式間之關係，及貝他係數在半導體產業與公司間之轉換來求出標的公司之期望報酬；藉由對非交易資產評價機制的修正推導出孿生證券的期望報酬，再進而推導出類似股利率(dividend-like yield)及其他參數，當投資標的公司的預期成長率低於市場的均衡報酬時，投資人會有諸多投資標的的選擇，為了誘使投資人持有該投資案，而有此參數出現，因而降低投資案的價值。本研究選台灣三家DRAM製造公司為個案來分析之。 The study, developed chiefly around the framework of a Real Option solution model developed by Lin and Lee (2000), aims to further explore a variety of variables to the forecast model to supplant certain deficiencies arisen from hypothesized variables adopted in the investment case studies, and to instill more value in terms of adopting the entire model framework in actual implementation. With this, forecasting the formula's variables remains a crucial process to how the model's solution mode manifests, showcased through three high-tech start-up case studies of DRAM concluded by the study show that there is positive significance for choosing tangible options model as a dependable tool for evaluation high-tech industry investment for the study regards a start-up investment project as a compound options, which not only covers market demand and uncertainty arisen from management variations, but also helps to evaluate potential investment opportunities and value associated with an investment project. With which, start-up firms could have more to go by in stead of turning to less desirable investment decision-making by underestimating the potential yield of a start-up venture.[[sponsorship]]行政院國家科學委員會[[notice]]補正完