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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 荷世平(Shih-Ping Ho) | |
dc.contributor.author | Ting-Le Wu | en |
dc.contributor.author | 吳庭樂 | zh_TW |
dc.date.accessioned | 2021-07-09T15:53:47Z | - |
dc.date.available | 2022-07-29 | |
dc.date.copyright | 2019-07-29 | |
dc.date.issued | 2019 | |
dc.date.submitted | 2019-07-18 | |
dc.identifier.citation | Bhojraj, S. and Lee, C. M. (2002), Who Is My Peer? A Valuation‐Based Approach to the Selection of Comparable Firms. Journal of Accounting Research, 40: 407-439. doi:10.1111/1475-679X.00054.
Brealey, R., Myers, S., & Allen, F. (2019). Principles of corporate finance (13th ed.). McGraw-Hill Higher Education. Bruner, R. F., Eades, K., Harris, R., & Higgins, R. (1998). Best practices in estimating the cost of capital: Survey and synthesis. Financial Practice and Education, 8(1), 13 – 28. Damodaran, A. (2012). Investment valuation (3rd ed.). Hoboken, N.J.: Wiley. Fama, E. (1976). Foundations of Finance: Portfolio Decisions and Securities Prices. Basic Books. ISBN 978-0465024995. Finnerty, J. (2013). Project financing (3rd ed.). Hoboken, N.J.: John Wiley & Sons, Inc. Kaplan, S., & Ruback, R. (1995). The Valuation of Cash Flow Forecasts: An Empirical Analysis. The Journal of Finance, 50(4), 1059. doi: 10.2307/2329344 Koller, T., Goedhart, M., & Wessels, D. (2015). Valuation (6th ed.). Hoboken, NJ: Wiley. Petitt, B., & Ferris, K. (2013). Valuation for Mergers and Acquisitions (2nd ed.). Upper Saddle River, N.J: Pearson Education, Inc. Bowman, R.G., Bush, S.R. (2006). Using comparable companies to estimate the betas of private companies. Journal of Applied Finance, 16: 71–81. Steffens, Paul & Douglas, Evan. (2007). Valuing technology investments: use real options thinking but forget real options valuation. International Journal of Techno entrepreneurship. 1. 10.2139/ssrn.1263754. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/76526 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-07-09T15:53:47Z (GMT). No. of bitstreams: 1 ntu-108-R06521708-1.pdf: 2330267 bytes, checksum: c37a370f1cdaf6ad825a88061d1b7325 (MD5) Previous issue date: 2019 | en |
dc.description.tableofcontents | Approval Page #
Acknowledgement i 摘要 ii Abstract iii Table of Contents iv List of Tables vi List of Figures vii Chapter 1 Introduction 1 1.1 Background 1 1.2 Motivation 3 1.3 Objective 4 Chapter 2 Literature Review 5 2.1 Cost of Capital 5 2.2 Valuation methods 8 2.2.1 Relative method (Comparable Company Analysis) 8 2.2.2 The problem of NPV and CCA 9 2.2.3 First Chicago (Venture Capital) Valuation Method 10 2.3 Total Beta 11 2.3.1 Estimating Market Beta 11 2.3.2 Estimating Total Beta 14 2.4 CML & Non-traded Assets Risk and Return Tradeoff 15 2.5 Summary 17 Chapter 3 Mean Estimation Risks 19 3.1 Discount Rates with uncertainty 19 3.2 True Mean Revealed 20 3.3 Value, Cost and Required Rate of Return 22 Chapter 4 Research Methodology 27 4.1 Research Process 27 4.2 Preparation 29 4.3 Evaluation Model Development 29 4.4 Illustration 29 Chapter 5 Mean Estimation Risk Evaluation Model 30 5.1 Simulation Setting 30 5.1.1 Market risk premium 30 5.1.2 NPVke, NPV(ke, βc)& NPV(ke, rf) 31 5.2 Standard MER Simulation 34 5.3 Illustration of MER Simulation 36 5.4 Project with low MER 39 Chapter 6 Case Study 44 6.1 Background 44 6.2 MER Simulation on Sewage Treatment BOT 44 6.3 Simulation Result 47 6.4 Summary 50 Chapter 7 Conclusion and Recommendations 52 7.1 Conclusion 52 7.2 Recommendations 54 Reference 55 | |
dc.language.iso | en | |
dc.title | 考量現金流量「均值估計風險」之投資計畫評估模型 | zh_TW |
dc.title | Cash Flow “Mean Estimation Risk” Adjusted Project Evaluation Model | en |
dc.type | Thesis | |
dc.date.schoolyear | 107-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 王全三(Chuan-San Wang),許耀文(Yao-Wen Hsu) | |
dc.subject.keyword | 淨現值,計劃融資,均值估計風險, | zh_TW |
dc.subject.keyword | NPV,Project Financing,Mean Estimated Risk, | en |
dc.relation.page | 55 | |
dc.identifier.doi | 10.6342/NTU201901611 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2019-07-18 | |
dc.contributor.author-college | 工學院 | zh_TW |
dc.contributor.author-dept | 土木工程學研究所 | zh_TW |
dc.date.embargo-lift | 2022-07-29 | - |
顯示於系所單位: | 土木工程學系 |
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