考量現金流量「均值估計風險」之投資計畫評估模型

Abstract

因為專案融資其獨有的特性，價值評估一直是很有挑戰性和難度不論是在學術或業界中，其中以淨現值為價值評估的主流工具，淨現值是將預估的未來現金流量以一個穩定的折現率到今天，作為一個評估的準則，若大於零，該計畫被認定為值得投資。然而，我們認為建造期與營運期的折現率應以不同為計算，因為兩者本身存在不同的風險，特別是當營運的計畫為全新的案例，市場上少有借鏡的範本時，其營運之現金流量的預估值經常面臨不準確的情況，我們將其風險定義為「均值估計風險」。當專案在做營運現金流量評估時，往往是以第一年營運作為基準，並以一個穩定的成長率預估往後的每一年，而淨現值就將包含前期的投入以及營運期的現金流量折線到今天作為衡量的標準。所以若第一年實際的現金流入只有原先預估的50%，同樣以淨現值，此計畫的價值就會減少50%。而均值估計風險就是預估與實際的差距，然而這類型的風險並不是能被市場的股票以分散風險的方式對沖，另外當前評估價值的方法並未針對均值估計風險做近一步的研究，所以本研究，希望解決這項問題，並提出當計劃存在不確定性以及資訊不完整時，一個計劃評估模型。

The estimation on the valuation of the Project Financing constantly remains a challenge in both academia and practice, due to its unique characteristics. The Net Present Value (NPV) estimates the future cash flow and present value with a constant discount rate as a measurement for investing the project. However, discounting the same rate in construction and operation creates biased on the NPV when the project involves with Mean Estimation Risks which is defined as, due to the information constraints, the lack of ability to estimate the exact amount of the operating cash flow streams. Since the projection on the operating cash flow is based on the first year operation allocating the constant growth rate, as a result, with the actual first operation cash inflow, the valuation of the project based on NPV is more precise in that year. If the actual cash flows are 50% off of the estimation, for example, according to NPV, the value on the project is 50% less. This difference of the estimation and the actual operation cash inflow is defined as the Mean Estimation Risk. The 50% difference reflects not only the impact of Mean Estimation Risk in project financing but the lack of ability in the NPV method where the uncertainty is involved. However, the market beta is unable to measure the Mean Estimation Risk in the project financing since this risk is challenging to hedge through diversification. As a result, in this study, we aim to solve this situation for project financing. In this research, we emphasize the importance of the mean estimated risk in the project financing while stating the relationship on the construction (C) and the operation (V) to simulate the expected return. Then, we proposed the adjusted project evaluation model for the project with Mean Estimation Risk.