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[en] VALUE CREATION IN THE INNOVATION MARKET THROUGH THE REAL OPTIONS THEORY CONCEPTS: A QUALITATIVE FRAMEWORK FOCUSED IN START-UPS PRODUCTS AND SERVICES / [pt] CRIAÇÃO DE VALOR NO MERCADO DE INOVAÇÃO ATRAVÉS DOS CONCEITOS DA TEORIA DE OPÇÕES REAIS: UM FRAMEWORK QUALITATIVO FOCADO NA ESTRUTURAÇÃO DE PRODUTOS E SERVIÇOS DE START-UPSADELE BRAZ MAGALHAES 15 February 2019 (has links)
[pt] O constante crescimento da competitividade entre indústrias traz a necessidade de encontrar soluções para sustentar a vantagem competitiva por meio da inovação. Devido à diversidade de projetos e incerteza envolvida na inovação, a gestão dos projetos e o cálculo de valor, assim como sua gestão de risco, deve ser efetivo. Esta dissertação identifica a oportunidade do cálculo do valor de empresas Startups considerando a flexibilidade de projetos de inovação e tem como objetivo a criação de um framework conceitual para avaliar a possibilidade de geração de valor em negócios de produtos e serviços inovadores com base em análise qualitativa dos conceitos de opções reais. Durante a pesquisa e pela da análise dos métodos e processos das teorias da inovação e das opções reais, foi possível delimitar aspectos para desenvolvimento do framework: avaliação qualitativa, inovação de produtos e serviços; empresa alvo Startup, modelo do framework e opções reais a serem avaliadas (Opção de Aprendizado, Opção de Abandono, Opção de Switch e Opção de Expansão).O estudo estrutura e apresenta um framework que inclui um processo de quatro fases, permitindo assim que Startups identifiquem maior valor no seu negócio para melhorá-lo. / [en] The constant growth in competition between companies has brought the need to find solutions to sustain competitive advantage through innovation. Due to projects diversity and the uncertainty inherent to innovation, the project management and value calculation, as well as its risk management, must be effective. This dissertation identifies the opportunity to calculate the value generated by innovation the flexibility to react to the uncertainties inherent to innovation projects, and has as objective to create a conceptual framework focused on Startup Products and Services business plan. During the research and through the analysis of methods and processes of real options and innovation theories, we designed the framework development: qualitative evaluation, product and services innovation, Startups as target companies, framework model and real options to be evaluated (Abandonment Option, Learning Option, Switch Option and Expansion Option). This study structures and presents a framework that includes a four step process, hence allowing Startups to obtain higher value to improve their business.
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以實質選擇權評價模式評估台灣高鐵公司BOT案之等待價值陳宥杉, Youshan Chen Unknown Date (has links)
近年來在政府財政拮据的情形下,以BOT模式進行民間機構參與公共工程計畫已成為時勢所趨,但是BOT計劃的投資風險相當大,所面臨的投資環境的不確定性相當高。此時若以傳統NPV法來評估投資計劃的價值時,無法把管理者所擁有的『管理彈性』的選擇權價值考慮進來,而造成投資計劃真正價值被低估的情形。隨著實質選擇權相關理論的興起,可以用來評估管理者所擁有的『管理彈性』的選擇權價值,加上傳統的NPV值之後,即是所謂的『Expanded NPV』。『Expanded NPV』有考量管理者所擁有的管理彈性選擇權的價值,可以顯示投資計劃的真正價值,與傳統的NPV一起提供給決策者參考的話,可使決策者作出更精確的判斷。
台灣高鐵公司標得台灣高鐵BOT案,由於所簽定的合約規定不夠詳細,以及政府應辦事項執行不利,使得台灣高鐵公司擁有遞延開發的選擇權,屬於實質選擇權中的等待選擇權,台灣高鐵公司可以等待到有利的時點才開始動工興建。本文以『Quigg實質選擇權評價模式』評估台灣高鐵公司在台灣高鐵BOT案上所擁有的等待價值,經過電腦運算後為785.29億元,加上傳統的NPV值1169.2億元,台灣高鐵BOT案的『Expanded NPV』為1954.49億元。
另外經過本文的實證研究,與台灣高鐵BOT案之等待價值正相關者為『台灣高鐵的收益』、『台灣高鐵收益之年成長率』與『台灣高鐵投入成本年成長率之波動性』;而負相關者為『台灣高鐵的投入成本』、『台灣高鐵投入成本之年成長率』、『台灣高鐵收益年成長率之波動性』、『無風險利率』、『投資人對於單位風險所要求的風險貼水』、『投資標的案在開發前因其他用途或附屬利益所帶來收益佔投資收益的百分比』與『台灣高鐵收益與投入成本共變異數』。
本文評估收益與投入成本的各項目以及各參數對於台灣高鐵BOT案之等待價值的影響程度方面,在台灣高鐵收益部分,對於台灣高鐵等待開發的選擇權價值影響程度較大者為台灣高鐵的『票價收入』部分。在台灣高鐵投入成本部分,對於台灣高鐵等待開發的選擇權價值影響程度較大者為台灣高鐵的『興建成本』部分。在參數部分,對於台灣高鐵等待開發的選擇權價值影響程度較大者為『台灣高鐵收益年成長率』、『台灣高鐵投入成本年成長率』、『台灣高鐵收益年成長率之波動性』、『台灣高鐵投入成本年成長率之波動性』與『無風險利率』。
目 錄
第一章 緒論---------------------------------------------------1
第一節 研究動機---------------------------------------------1
第二節 研究目的---------------------------------------------3
第三節 研究方法與步驟---------------------------------------4
第四節 研究範圍---------------------------------------------5
第五節 研究章節概述-----------------------------------------6
第二章 文獻探討-----------------------------------------------8
第一節 實質選擇權之相關文獻---------------------------------8
第二節 傳統淨現值分析法與實質選擇權分析法------------------19
第三節 實質選擇權的種類------------------------------------25
第四節 BOT模式介紹-----------------------------------------32
第五節 台灣高鐵個案介紹------------------------------------46
第三章 研究模型建立------------------------------------------60
第一節 研究架構--------------------------------------------60
第二節 Quigg實質選擇權評價模式推導-------------------------61
第三節 變數定義與參數估計----------------------------------69
第四節 資料來源--------------------------------------------88
第五節 研究限制--------------------------------------------89
第四章 研究結果----------------------------------------------91
第一節 結果分析--------------------------------------------91
第二節 敏感度分析------------------------------------------99
第五章 結論與建議-------------------------------------------112
第一節 研究結論-------------------------------------------112
第二節 後續研究建議---------------------------------------118
參考文獻 ---------------------------------------------------121
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新建房屋最適銷售時機--融資決策與實質選擇權的配合李克誠, Li, Philip K.C. Unknown Date (has links)
以前在台灣房地產開發市場上主要的房屋銷售模式是預售制度,這是受限於當時政治、經濟的環境條件下,所形成的特殊制度,主要的原因就是需要從市場中,獲得足夠的營運週轉資金;但是台灣的房地產市場在這幾年來逐漸轉變,已經出現為數不少的成屋銷售個案,主要著眼於當房地產市場景氣上揚時,延遲銷售能夠使專案獲得更大的報酬,而且當房地產專案融資的取得逐漸放寬,資金來源不在成為限制條件時,預售房屋可能已不再是唯一的銷售模式,且可能不再是最適銷售模式,但市場上房地產業者仍延續以前的思考模式,以融資比例的大小(有錢沒錢),作為判斷銷售時機的決策依據。本研究所想要研究的方向是最適銷售時機的選擇與融資決策是否會影響銷售時機的選擇,在各種不同市場條件下最適銷售時機與選擇權價值的變化。
本研究以實質選擇權(Real Options)模式探討新建房屋最適銷售時機,但以應用以前學者所推導的模式並不做模式的推導;首先以建立市場中專案營收的模式與建立實質選擇權決策模式,模擬房地產業者營運情境,並以隨機亂數帶入房價與融資利率模擬模式中,以模擬房地產市場中房價與融資利率,將模擬結果帶入所建立的模式中,模擬不同房地產市場條件下專案的營收,並藉由不同的決策值所模擬的專案營收,探討房地產市場中新建房屋的最適銷售時機的選擇與選擇權的價值。並且將模式中所應用的各變數予以獨立(在其他條件不變下,僅改變該變數)做敏感性分析,探討各模式中變數對於選擇最適銷售時機與實質選擇價值變化所產生的影響,以瞭解房地產市場中各外生變數,對於房地產市場新建房屋最適銷售時機與實質選擇權價值所可能造成的影響,與所應該注意的涵義。
第壹章 緒論
第壹節 研究動機與目的 1
第貳節 研究範圍與限制 5
第參節 研究架構 7
第貳章 產業分析與個案訪談
第壹節 銷售時機 11
第貳節 不動產金融 25
第參節 文獻探討與個案研究對本研究的涵意 28
第參章 文獻探討
第壹節 最適銷售時機模式 32
第貳節 文獻探討與個案研究對本研究的涵意 51
第肆章 模式建構與模式設計
第壹節 最適銷售時機 56
第貳節 研究設計 67
第伍章 實證結果分析
第壹節 融資決策與最適銷售時機 75
第貳節 實質選擇權價值敏感性分析 81
第參節 最適銷售時機選擇敏感性分析 90
第陸章 結論與建議
第壹節 研究結果涵義 104
第貳節 建議 110
參考文獻
中文部份 114
英文部份 115
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不確定市場下建商投資行為之研究陳冠華, Chen, Kuan-Hua Unknown Date (has links)
由於土地開發乃是一項典型具有「不可回復性」(irreversibility)以及「可遲延性」(deferability)的投資行為,因此Titman(1985)等人透過「實質選擇權理論」(the real option theory)的觀念重新建構未開發土地的評價模式與土地開發「時機」(timing)的「門檻價值」(hurdle value;critical value)。而相關文獻的結論也都說明了市場不確定性的增加將會增加未開發土地的價值,也將因而延後土地開發的時機。
然而,傳統文獻大多立基於「未開發土地」的觀點作為研究的主軸,並未考慮建商投資過程中取得土地成本支出對於土地開發時機選擇的影響;再者,對於台灣的建商來說,由於取得土地的成本往往佔整體投資成本支出六、七成以上,因此可以預期的是:當「土地取得」的動作納入建商的投資行為中時,則土地成本勢必將對土地開發決策的實質選擇權模型產生深遠的影響。
因此本文首先由「房價不確定性」的觀點探討建商取得土地後立即進行開發的決策標準,而藉由比較靜態分析與模擬分析的方式也發現了房價波動程度以及預期房價上漲率越高時,則未開發土地的開發時機將被延後;而必要報酬率及機會成本(如轉投資的利潤、租金率)的增加卻會減少了土地等待開發的選擇權價值,因而提前了未開發土地的開發時機。
其次,本文則進一步的透過「附合選擇權」(compound option)的概念探討建商發現:當建商取得土地成本為沈入成本時(即建商無法轉售未開發土地),則其決策標準將較單純考慮開發成本時更為嚴格;而當土地等待開發選擇權價值的增加意味著土地不適合立即進行開發時,則建商取得土地的動作也將隨延後。
其次,本文則進一步的探討建商在同時面臨房價水準以及地價水準不確定下取得土地的投資決策,而其結論說明了:在考量了地價水準的不確定性之後,市場總體不確定性的增加仍將會增加建商投資的門檻,但我們卻無法判斷房價水準以及地價水準個別的不確定性對於門檻價值的影響。其次,在其他條件不變的情況下,當房價預期上漲率增加時將會延後建商取得未開發土地的意願,但在地價上漲率增加時,則會增加建商持有未開發土地的意願。
最後,本文沿用Episcopos(1995)的概念,將影響土地開發計畫價值的「隨機衝擊」因子劃分為以「地價中位數」及「預售屋平均房價」,並分別針對象徵建商投資量的純土地買賣移轉件數以及建照面積進行實証分析。然而,由實証的結果卻發現:除了預售屋平均房價的變動與純土地交易登記件數呈現顯著的正向關係之外,市場不確定性不但未如預期的與市場投資量的變動量產生反向變動的關係,而且多呈現出不顯著的關係——這說明了在國內建商投資的過程中只重視房價水準的變化,並未考慮市場不確定性所隱含的風險,因此往往在市場稍微景氣的情況下就貿然購入土地以作為未來的開發之用,但一旦市場景氣不如預期理想時,則在面臨沈重的購地貸款壓力下又不得不以推案的方式來將低損失。而本文也認為造成實證結果不佳的原因可能是因為資料品質不佳、預售制度、建商行為以及房價變動假設偏誤的緣故。
第一章 緒論………………………………………………1
第一節 研究動機與目的………………………………………1
第二節 研究問題、方法與限制………………………………5
第三節 研究架構與流程………………………………………9
第二章 相關理論與文獻回顧……………………………11
第一節 建商投資行為…………………………………………11
第二節 實質選權理論…………………………………………13
第三節 小結……………………………………………………26
第三章 以實質選擇權理論為基礎的建商投資行為……27
第一節 實質選擇權在土地開發時機的應用與說明…………27
第二節 地價水準確定時建商取得土地的實質選擇權模型…47
第三節 地價水準不確定下建商取得土地的實質選擇權模型51
第四節 小結……………………………………………………56
本章附錄…………………………………………………………58
第四章 實證分析…………………………………………64
第一節 建立實證模型…………………………………………64
第二節 實證結果與分析………………………………………72
第三節 小結……………………………………………………76
第五章 結論與後續研究…………………………………77
第一節 結論……………………………………………………77
第二節 後續研究………………………………………………79
參考文獻 …………………………………………………80
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以實質選擇權觀點評估收購計劃之策略價值:G公司收購W公司案 / M&A enterprise value evaluation by real option王勝弘 Unknown Date (has links)
金融海嘯提供企業以最低成本進行併購的機會,企業藉此達到外部成長的目的,但併購案之綜效價值如何轉化成有意義的數據,幫助主併公司進行併購價格的評估,是許多企業在進行併購時的疑問。
本研究的目的為運用企業評價中的現金流量折現法與實質選擇權法,來進行神基科技收購華孚科技之併購價值評估。本研究利用現金流量折現法與實質選擇權評價法相互搭配,將各項決策所創造之彈性價值納入分析,更充分涵蓋併購策略的綜效價值。
研究結果顯示,若不考量選擇權彈性價值,則神基科技收購華孚科技所付出之溢價很高,已接近華孚之未來可能價值。加入了選擇權價值之擴充性淨現值比收購價格高出很多,顯示主併公司在評估該收購案時,可能已考量策略彈性價值。 / Financial crisis leads to an opportunity for the enterprise to do mergers and acquisitions at the lower cost. The enterprise could achieve external growth by mergers and acquisitions. However, how to translate the synergy of merger into meaningful data to help companies evaluate the accurate acquisition price during M&A is important and difficult.
The objective of this study is to use the evaluation methods of enterprise value during M&A process, including discounted cash flow method (DCF) and real options method, to accurately evaluate the enterprise value of the combined one. The foundation will be based on the evaluation on the two existing companies. Then the assumption of the running situation after merging, and the judgment of the dimension of coordination effects will be the key points.
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以實質選擇權方法評估併購價值:以G公司併購N公司為例 / Mergers and acquisitions value ecaluation by real option王雲台 Unknown Date (has links)
金融海嘯提供企業以最低成本進行併購的機會,企業藉此達到外部成長的目的,但併購案之綜效價值如何轉化成有意義的數值以幫助主併公司進行併購價格的評估是許多企業在進行併購時的疑問。
本研究的目的為運用企業評價中的EVA經濟附加價值法與實質選擇權法,來進行G公司收購N公司之併購價值評估。本研究利用EVA經濟附加價值法與實質選擇權評價法相互搭配,將各項決策所創造之彈性價值納入分析,更充分涵蓋併購策略的綜效價值。
研究結果顯示,若不考量選擇權彈性價值,則G公司收購N公司所付出之價格略高於EVA計算出之企業實際價值。加入了選擇權價值之擴充性,淨現值比收購價格高出很多,顯示主併公司在評估該收購案時,可能已考量策略彈性價值。 / Financial crisis leads to an opportunity for the enterprise to do mergers and acquisitions at the lower cost. The enterprise could achieve external growth by mergers and acquisitions. However, how to translate the synergy of merger into meaningful data to help acquiring companies evaluate the accurate acquisition price is a question for many enterprises during M&A.
The objective of this study is to use the economic value added (EVA) method and real options method of enterprise evaluation methods to evaluate the acquisition cost of Company G’s acquisition of Company N. This study takes both economic value added (EVA) and real options method, including the analysis the flexibility value and further exploring the synergy of the M&A decision.
This study includes that if the flexibility value of options is not considered, the premium paid by Company G acquiring Company N is slightly higher than the real enterprise value by EVA. However, if to include the flexibility of options value, the net present value is much higher than the acquisition cost, which may indicate that the acquiring company has taken flexibility value in to consideration when evaluating such M&A.
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外資金融機構佈局中國大陸金融市場之決策研究 / Analysis of strategic participation in China banking sector by foreign financial institutions張惠龍, Chang, Hui Lung Unknown Date (has links)
鑑於近年來中國大陸經濟高度成長,當地金融市場在其內需市場強勁,以及均富水準普遍提升下,更顯得朝氣蓬勃,本論文係以分析過去外資金融機構在中國大陸相關佈局模式及進行相關實證研究,並續以剖析臺灣銀行業未來佈局中國大陸市場策略,以作為現階段國內高度競爭金融環境下,拓展另片藍海空間之策略與方向。
本論文首先說明外資金融機構於近年來在高度發展中國大陸金融市場所扮演的角色與目標,並應用Cox比例強度存活模型,分析採行參股策略方式進入中國大陸銀行之動機與機率強度,並以主成份分析進行資料萃取及最大概似法估計模型參數。再者,藉由此參股機率估計值進而求得外資金融機構最適參股機率強度門檻,可作為日後金融機構(含臺灣銀行業)參股動機之衡量指標。實證研究顯示,過去外資金融機構採行參股策略之目的主要在於創造被參股對象市場價值,以增加其參股投資報酬。對於獲利能力及資產品質較佳之外資金融機構,以及資產品質較佳之中國大陸銀行,則往往具有較高的參股與被參股潛在動機。
再者,為進一步探討外資金融機構採行參股策略後之風險與報酬關係,本論文係以或有求償權之模式,同時納入參股外資金融機構與被參股中國大陸銀行之個別資產價值,以及匯率波動等三項動態因子,在股東權益價值極大化為目標,及因應風險性資產所導向之資本管制,據以剖析外資金融機構經參股後之資產價值風險及其影響因素,並以靜態分析所對應之最適參股比例變化情形。其數值分析研究發現:當參股外資金融機構資產價值遞增、負債比率降低,以及所面臨法定風險權數增加時,對於其參股後之整體資產組合風險將有所降低。同時,對於具有高資產品質、獲利佳及多元化幣別資產組合之外資金融機構,以及面臨資產品質佳且著重本土金融開發之被參股中國大陸銀行,將有助於提高外資金融機構之最適參股比例。
針對臺灣銀行業參股模式方面,以投資中國大陸股份制商業銀行之動機強度為最高,其中泛公股銀行相對民營銀行更具有條件優勢,並以具備綠色通道優惠之大西部地區為佳。研究亦顯示,在外資金融機構已著墨中國大陸金融市場些許時日下,對於身為追隨性金融機構的臺灣銀行業而言,在當地金融服務未臻飽和、初始投資成本降低,以及台商業務平均需求成長趨勢下,將有助於降低其進入門檻。同時,研究中也採行模型論證,對於現階段臺灣銀行業實務上多以先行成立代表人辦事處後升格分行,並儘速於合規範內取得人民幣業務承做資格方式,以深根當地金融市場之經營方向,同時研究亦指出臺灣銀行業應具備創新化業務與利基性策略,方能提高採行成立獨資子銀行或參股之進入動機。 / In recent years China has experienced rapid economic growth that enables the advancement of the local financial industry, which benefited from the strong domestic consumption as well as improvement in average income per capita. The purpose of this paper is to point out an alternative direction for Taiwanese banks by mapping out the future China market expansion strategy, as the Taiwanese banks are facing prolong highly competitive domestic market.
This paper applies Cox’s proportional-hazard survival model to analyze the strategic decisions of foreign financial institutions about acquiring equity stakes in Chinese banks. Based on principal component analysis, we extract significant independent variables from Cox’s model and employ a maximum likelihood method to estimate parameters. With the probability of equity stake acquisition, we obtain the optimal probability hazard threshold and treat it as a criterion for the foreign financial institutions to conduct equity stakes acquisition. Our empirical results confirm that the decisions of foreign financial institutions about equity stake acquisitions are to increase the profitability and market values of the target Chinese banks. In general, financial institutions with higher earning ability and better asset quality have stronger motives to take part in the acquisition or disposal of equity stakes.
The contingent claim model is applied in this paper to examine the risk and return of foreign financial institutions after acquiring equity stakes of a Chinese bank. The model considers dynamic factors such as individual asset value and exchange rates to achieve the goal of maximizing shareholder value. In addition to analyzing the asset value and factors associated with risk after participation, this paper evaluates the optimal acquiring equity stakes proportion with numerical analyses under capital control. For China banking sector, we discover the overall portfolio risk of foreign financial institution will decrease after acquiring equity stakes when the asset value increases, the debt ratio decreases, and the required risk-weighted asset increases. Overall, these foreign financial institutions have well-diversified currency portfolio and enjoy a better asset quality and surplus earning; therefore, they will likely increase their optimal acquiring equity stakes proportion if the invested Chinese banks are with good assets quality and focused on local business.
For the analysis of equity stake acquisition in China banks by Taiwanese banks, invested in the joint-stock commercial banks exists the higher intensity than others, and pan-government-owned Taiwanese bank also stands on the better vantage point than private banks. Under the possession of policy advantage for its green channels, the Western China Region is the best district in China for Taiwanese banks. This paper also examines the appropriate time and method to enter the market in China by applying the real options model. Being the market follower, Taiwan banking industry would need to find the right timing when ready entering China sine the market is pretty much laid out by many other foreign financial institutions. Therefore, the paper discovered some salubrious circumstances for Taiwan banking industry to enter the market, for example, the local financial service has not saturated, and initial investment cost is lower or Taiwan businessman demands more service gradually. The paper also confirms the current practice, which is to establish a representative office first and then promote it to a branch, seems to be practical for Taiwanese banks enter the market. Once meet the standard requests and acquire the license to operate RMB business, Taiwanese banks can establish wholly-owned subsidiary bank or take ownership stakes by having the innovation and business strategy in the local financial market.
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Analytical and empirical analyses on fixed asset write-offsSiggelkow, Lena 05 July 2013 (has links) (PDF)
The objective of the International Financial Reporting Standards (IFRS) is to provide useful information to the users of financial statements to assist in making economic decisions. To be useful, information has to be relevant and reliable, but the reliability of information suffers when the guidelines for the reporting of specific issues are not clear and managerial discretion arises. Write-offs are one of those accounting issues that are regularly related to earnings management. By now it is seen as common knowledge that write-offs, especially those on goodwill, do not reflect declines in asset value; rather, they are used as a device to manipulate financial reports. However, there is a striking lack of grounded theoretical research that can confirm this assessment. The aim of this dissertation is to provide valuable analytical and empirical insights on fixed asset write-offs under IFRS. In a first step, the practical implementation of IAS 36 in Europe has to be analyzed, which is best done empirically. Based on the findings from these empirical surveys, the most substantial questions remaining are subject to an in-depth analytical discussion. Since IAS 36 entails different measurement issues that have their origins in finance theory, this dissertation also aims to introduce some basic techniques from theoretical finance to accounting research. Lastly, as the analyses presented in this dissertation do not cover all open questions on fixed asset write-offs, the author hopes to encourage further research on this important topic.
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[en] REAL OPTIONS MODELING WITH GAME THEORY IN CONTINUOUS TIME: AN APPLICATION IN THE REAL ESTATE MARKET OF RIO DE JANEIRO / [pt] MODELAGEM DE OPÇÕES REAIS COM TEORIA DOS JOGOS EM TEMPO CONTÍNUO: UMA APLICAÇÃO NO MERCADO IMOBILIÁRIO DO RIO DE JANEIROGLAUDIANE LILIAN DE ALMEIDA 21 March 2018 (has links)
[pt] A habilidade de determinar o momento ótimo para investir proporciona uma vantagem estratégica para as empresas em um ambiente competitivo. Se por um lado as incertezas exógenas podem ser fontes inibidoras do investimento, sob pressão dos competidores, essas empresas podem auferir uma vantagem competitiva caso invistam primeiro. Esta tese sintetiza os conceitos aplicados às metodologias de Opções Reais e da Teoria dos Jogos para propor uma metodologia de avaliação que contribui para a análise financeira de investimentos no mercado imobiliário. O primeiro modelo da tese é um modelo econométrico que considera as inter-relações na formação dos preços que compõem a dinâmica do mercado imobiliário do Rio de Janeiro, através de um modelo de autorregressão vetorial (VAR) identificado por grafos acíclicos direcionados. O objetivo deste trabalho é o de determinar a estratégia ótima de exercício da opção de investimento no equilíbrio de Nash considerando a incerteza na demanda por imóveis em uma região do Rio de Janeiro. Para tanto, o segundo modelo da tese adota uma versão modificada da metodologia de Grenadier (2002) com uma especificação mais adequada e robusta das incertezas para a função de demanda estocástica, em que foi inserida uma elasticidade do fator estocástico. Os parâmetros do modelo foram estimados com ferramentas econométricas a partir de dados reais do mercado imobiliário carioca. Foram realizadas simulações de Monte Carlo da demanda de forma a comparar os oligopólios em termos de níveis de investimento e quantidade produzida. Os resultados obtidos nos modelos de Jogos de Opções Reais desenvolvidos são intuitivos no sentido de que quanto maior a quantidade de concorrentes, menor o nível de demanda (gatilho) exigido para o investimento em novas unidades e quanto maior a volatilidade da demanda, maior o nível de demanda para ser ótimo o investimento. / [en] The ability to determine the optimal investment timing provides a strategic advantage for companies working in a competitive environment. While on the one hand, exogenous uncertainties may inhibit investment, under pressure from competitors, these firms can gain a competitive advantage if they are first movers. This thesis summarizes the concepts applied to Real Options and Game Theory methodologies to propose an evaluation methodology that contributes to the financial analysis of investments in the real estate market. The first model of the thesis is an econometric model that considers the interrelationships in the formation of prices that compose the real estate market dynamics of Rio de Janeiro, through a vector autoregression (VAR) model identified by directed acyclic graphs. The objective of this work is to determine the optimal strategy to exercise the investment option in the Nash equilibrium considering the uncertainty in the real estate demand in a region of Rio de Janeiro. To this end, the second model of the thesis adopted a modified version of the Grenadier (2002) methodology with a more adequate and robust specification of the uncertainties for the stochastic demand function, in which a stochastic factor elasticity was inserted. The parameters of the model were estimated using econometric tools based on real data from the real estate market in Rio de Janeiro. Monte Carlo simulations of demand were performed to compare the oligopolies in terms of levels of investment and quantity produced. The quantitative results obtained are intuitive in the sense that the larger the number of competitors, the lower the level of demand (threshold) required for investment in new units, whereas the greater the volatility of demand, the greater the demand threshold for the investment to be optimal.
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[en] PRECIFICATION OF MANAGERIAL FLEXIBILITY IN GTL PLANTS USING THE METHODOLOGY OF REAL OPTIONS / [pt] PRECIFICAÇÃO DE FLEXIBILIDADES GERENCIAIS EM PLANTAS GTL UTILIZANDO A METODOLOGIA DE OPÇÕES REAISSILVIO FRANKLIN MONCAO DO VALE 30 June 2008 (has links)
[pt] O objetivo da presente dissertação é capturar o valor da
opção de parada temporária que uma planta GTL oferece em
cenários econômicos desfavoráveis para mantê-la operando.
Desta forma, o autor considera que a metodologia das
opções reais é a mais indicada para avaliar tal
flexibilidade, sendo assim, o objetivo principal deste
estudo é a análise da opção de parar temporariamente
através da utilização do processo estocástico (Movimento
geométrico Browniano)e a correlação de Cholesky entre cada
input e os outputs da planta. O autor acredita que os
resultados desta dissertação podem auxiliar os gestores que
enxergam flexibilidades em seus projetos a antecipar
prejuízos prolongados em cenários desfavoráveis para manter
uma planta funcionando. / [en] The objective of this dissertation is to capture the value
of the option to temporarily stop that a GTL plant offers in
unfavorable economic scenarios to keep it operating. Thus
the author believes that the methodology of real options is
the best placed to assess such flexibility, and thus the
main objective of this study is the analysis of the option
to temporarily stop using the stochastic process
(geometric Brownian Motion) and the correlation Cholesky
between each input and outputs of the plant. The author
believes that the results of this dissertion can
assist the managers who see flexibilities in its projects to
anticipate damages drawn out in favorable scenes to keep a
plant functioning.
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