臺商赴大陸投資實質選擇權之實證研究－－以階層線性模式分析

The Empirical Study Of Real Option For Taiwanese' Firms- Hierarchical Linear Modeling Analysis

在傳統資本預算決策下，公司對於新進市場投資時點，在傳統淨現值法(Net Present Value，NPV)認為，只要投資計畫淨值大於零，此項計畫就值得執行。但此理論卻忽略投資計畫具有未來報酬的不確定性、投資的不可回復性與可以遞延選擇投資時間等三個特色。本文之所以採用實質選擇權理論(Real Options Approach)就是修正淨現值法之缺失，將投資決策的管理彈性納入模型之中。此外，以台商創造價值為例，本文利用階層線性迴歸模式（Hierarchical Linear Modeling）將變數區分為產業因素與個別企業因素，修正O’Brien 等人加總的偏差（2003）。本文結論為產業風險愈低公司應該要更積極的尋找讓公司成長的機會，所以應該要提早進入新市場投資；另外個別公司自身面對的不確定性愈大，但是產業風險很低的情況下，會建議經理人提早進入新市場投資。

In Taiwan, many companies enter to new market in order to pursue growth opportunity. Because the timing of entering new market is important, it will influence the results of entering new market projects. Therefore this paper tries to understand companies how to choose the entrance timing and find some results. In the traditional capital budgeting decision, companies which enter to new market often used net present value (NPV) approach. If NPV is greater than zero, we accept the project and execute it. But NPV ignores three features of investment decision： uncertainty, irreversibility and ability to wait. This paper uses real options approach to correct the error and adds management flexibility to NPV. Besides, this paper adopts hierarchical linear model (HLM) to distinguish industrial factors and company factors. Therefore, this study modified O’Brien et al.,（2003） logistic regression model that puts all variables into a linear regression function to avoid fallacy of aggregation. The results of this paper had two implications. If industrial risk is low, companies should enter to new market earlier. Moreover, when individual company faces greater uncertainty and lower industry risk, manager should enter to new market earlier.