BOT 專案評價決策支援系統─ 實質選擇權之應用.doc

BOT專案評價決策支援系統─實質選擇權之應用 余尚武 邱雪娥 國立台灣科技大學資訊管理系 台北市基隆路四段43號 Tel: 02 Fax: 02E-mail: syu@cs.ntust.edu.tw 摘 要 本研究利用實質選擇權的觀念評價BOT投資案，將過去傳統投資評估方法所忽略的管理彈性加以量化，以協助正確衡量BOT計畫案的價值。另外，建立一套以實質選擇權評價BOT計畫案之決策支援系統，提升投資案評價上的效率性與正確性，並以國立海洋生物博物館為個案，加以分析其價值。 研究結論包括：(1)傳統的NPV法常會低估有管理彈性的高風險計畫，忽略了選擇權價值，此將造成計畫價值的的低估。(2)在海生館投資計畫中，利用本研究所開發之系統估算後，得到該計畫在興建期89年到94年間，擁有放棄選擇權及營運後第三年擁有擴張選擇權將能使擴張性NPV價值達到最大。 (3)在海生館個案中，以投資計畫價值、無風險利率、波動性等因素分別做敏感度分析，得到擴張性NPV隨著各因素的增加而呈現遞增的現象。(4)在BOT契約中，為防止專案公司的惡意放棄投資專案，政府簽定履約保證金或違約金的違約機制，將有助於把投資計畫風險做適當的分配。 關鍵詞：決策支援系統、實質選擇權、BOT、NPV 作者感謝財團法人中華顧問工程司於資料提供及分析上的協助。 An Application of Real Options on the BOT Project Appraisal Decision Support System Shang-Wu Yu Hsueh-E Chiu Department of Information Management National Taiwan University of Science and Technology Abstract This study uses real options approach to price the management flexibility ignored by traditional financial models and appraises the BOT projects accurately. A Decision Support System (DSS) is established to evaluate the BOT model projects. Also, a case of National Museum of Marine Biology Aquarium is applied to examine the usefulness of the DSS concerned. The results consist of: (1) The traditional NPV approach often undervalues high risks investment opportunities, because it ignores or doesn’t properly value important managerial flexibility. (2) After evaluating the case of National Museum of Marine Biology Aquarium project by using the DSS developed, the results exhibit that a combination of the option to abandon from 89 to 94 year during the building stage and the option to expand at the third year during the operating stage will maximize the total value of the expanded NPV. (3)A sensitivity analysis with respect to gross project value, riskless interest rate, and project volatility shows that the expanded NPV increases with any increase of those factors. (4) Government may usually design a guarantee system in BOT contract to prevent the private sector from abandoning the projec