创新技术引入后产业化的投资时机——基于绿色建筑行业  

A Real Option to Restore Value to the Project and the Investment Decision——The Case of Green Building Industry in China

作　　者：易翔[1,2] 顾乃康[1] 刘诗晓 杨艾琳[2] 

机构地区：[1]中山大学管理学院,广州510275 [2]中山大学深圳研究院,广东深圳518052 [3]南方科技大学环境科学与工程学院,广东深圳518055

出　　处：《软科学》2016年第3期21-25,40,共6页Soft Science

基　　金：国家自然科学基金项目(71272203);中国博士后科学基金项目(2014M560674)

摘　　要：构建了适用于绿色环保创新技术的多因素不确定条件下不可逆投资决策的实物期权模型,并以国内2009-2013年的439个住宅性建筑样本数据为基础,借助数值模拟与静态比较等分析方法分析了创新技术引导产业化的投资时机,结果发现不确定冲击性事件的发生将导致公司预期资本收益率下降,项目投资机会价值随之减少。此外投资阈值下降,公司会选择提前投资,从而造成过度投资。而无风险利率的提高虽使得突发事件对投资阈值的影响弱化,但也降低了执行期权的机会成本,可能引起公司的过度投资。对于一星绿建项目,投资阈值对突发事件的敏感性相对较弱,而二星项目投资阈值的敏感度超过了平均增量成本更高的三星项目。因此在实施投资之前,公司要求的回报率要高于三星项目。This paper developed an explicit model of the non-reversible investment project with uncertain multi-factors by the option pricing method. According to the data from the 439 residential building samples from 2009 to 2013,it explored the optimal investment decision rules for green building project on the stage of industrialization after the introduction of innovative technology,by applied the numerical simulation and the static comparison analysis. Result showed that the occurrence of non-market events would lead to the expected capital return fall. Decreasing in the threshold of the investment decision and the option value of the project would be clearly noticed. It also forced the company to enhance the amount of investment. The impact from the non-market event was not such strong for a higher free interest rate（ γ）,which may cause an excessive investment due to the fall of opportunity cost when exercise the option. Beside these,for the one-star green building project,the investment threshold sensitivity to unexpected events was relatively weak. However,for the two-star project,the sensitivity was greater than the three-star project which with a higher incremental cost,and hence,it led a higher expected rate of return before the implementation of investment.

关 键 词：技术创新 绿色建筑 投资决策 实物期权 

分 类 号：F272[经济管理—企业管理] F275.6[经济管理—国民经济]