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題名 半導體行業企業價值評估方法對比 ——實質選擇權與自由現金流折現模型
Comparison between the Valuation Methods of Semiconductor Companies: Real Option and Discounted Cash Flow Models作者 汪卉 貢獻者 廖四郎
汪卉關鍵詞 半導體
價值評估
實質選擇權
自由現金流折現模型
Semiconductor
Valuation
Real Option
Discounted Cash Flow日期 2014 上傳時間 1-Jul-2015 14:46:16 (UTC+8) 摘要 企業價值評估是企業管理和企業投資的熱門問題，半導體產業又是高科技發展的關鍵。所以本文就台灣半導體產業的兩個晶圓代工企業之價值評估問題進行對比討論，分別用實質選擇權與自由現金流折現模型來對台積電和聯電進行價值評估。分析中發現實質選擇權方法在評價中比較能充分考量到企業投資決策的彈性，卻對於企業在行業中的領先地位比較難把握；而自由現金流折現模型對於財務報表的數據十分敏感，關於增長率的估計比較難把握，從而使企業價值評估的波動性較大，所以可以綜合兩個方法來進行評價，則可以減少估計誤差。本文的後半部分主要是基於半導體的產業狀況，對台積電與聯電兩家晶圓代工企業的經營策略進行分析，得出科技企業的經營收益與對技術研發的投入呈正相關，也與管理層的理念與穩定性以及上下游產業鏈穩定性密切相關。
Business Valuation is an important issue for business management or business investment. The semiconductor industry is also an important part for high-tech development. Therefore, this paper focuses on the valuation of two foundry companies in semiconductor industry in Taiwan. Respectively, this paper uses the real option and the discounted cash flow models to assess the values of TSMC and UMC. The analyses find that the real option approach can consider the flexibility of enterprise investment strategy better than the discounted cash flow approach, while it is difficult to grasp the leadership of the company in the industry. The data from the financial statements is too sensitive for the discounted cash flow approach, and the uncertainty about the growth of a company contributes the volatility of the business valuation; therefore, by considering both approaches can reduce the valuation errors. The other part of this paper is based on the semiconductor industry analysis. With the comparison of the corporate business strategies of TSMC and UMC, we find that the operating income of scientific and technological enterprises is positively correlated with business investment in R&D, meanwhile it is closely related to the concept and stability of the manager, as well as the stability of the upstream and downstream supply chain.參考文獻 [1] Baumol W., and W.G. Bowen（1966）, “Performing Arts: The Economic Dilemma.” [2] Black F., and M. Scholes（1973）, “The Pricing of Options and Corporate Liabilities,” The Journal of Political Economy, Vol.81, pp. 637-654.[3] Brennan M.J., and Schwartz E.S.（1982）, "Regulation and Corporate Investment Policy," The Journal of Finance, 1982, May, Vol. 37, No. 2, pp. 289-300.[4] Copeland, T., T. Koller, and J. Murrin（1994）, Valuation: Measuring and Managing the Value of Companies. New York: John Wiley&Sons.[5] Dixit, A., and R. S. Pindyck（1995）, “The Options Approach to Capital Investment,” Harvard Business Review, May-June: pp. 105-115.[6] Fisher I.（1906）, “The nature of capital and income.”[7] Jensen M.C.（1986）, “Agency Cost Of Free Cash Flow, Corporate Finance, and Takeovers,” American Economic Review, May, Vol. 76, No. 2.[8] Kester, C.（1984）, “Today’s Option for Tomorrow’s Growth,” Harvard and Business Review, March-April: pp. 105-115.[9] Lintner J.（1965）, “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets,” The Review of Economics and Statistics, Vol. 47, No. 1, pp. 13-37.[10] Markowitz H.（1952）, “Portfolio Selection,” The Journal of Finance, March, Vol. 7, No. 1, pp. 77-91.[11] Myers S.C.（1977）, “Determinants of corporate borrowing,” Journal of Financial Economics, vol.5, pp. 147-175.[12] Modigliani F., and M. H. Miller（1958）, “The Cost of Capital, Corporation Finance and the Theory of Investment,” The American Economic Review, Vol. 48, No. 3 June, pp. 261-297.[13] Modigliani F., and M. H. Miller（1961）, “Dividend Policy, Growth, and the Valuation of Shares,” The Journal of Business, University of Chicago Press, vol. 34, pp. 411. [14] Moore G.E.（1965）, “Cramming more Components onto Integrated Circuits,” Electronics, Vol. 38, No. 8.[15] Mossin, J., “Equilibrium in a Capital Asset Market,” The Econometric Society, 1966, Vol. 34, pp. 768-783.[16] Rappaport A.（1986）, “Creating Shareholder Value.”[17] Schwartz E., and M. Moon（2000）, “Rational Pricing of Internet Companies,” Financial Analysts Journal, May-June: pp. 62-75.[18] Schwartz E., and M. Moon（2001）, “Rational Pricing of Internet Companies Revisited,” University of California at Los Angeles, April.[19] Sharpe W.F.（1964）, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” The Journal of Finance, Vol. 19, No. 3, pp. 425-442.[20] 沈志祥（2007），「晶圓製程設備產業智慧資源規劃之研究」，碩士學位論文，國立政治大學智慧財產研究所.[21] 何建志，「淺談企業評價方法」，中華徵信所專題剖析財務顧問部.[22] 林家帆、陳威光、郭維裕（2002），「以實質選擇權法評估高科技產業股價」，管理評論，第二十一卷，第三期，頁97-113.[23] 陳振遠、曾永泉、簡雪芳（2005），「以實質選擇權法評價台灣電子產業上市公司」，管理與資訊學報，第十期，頁115-142.[24] 蔡政安（2004），「台灣晶圓代工產業的斷裂性創新初步研究」，碩士學位論文，國立政治大學經營管理碩士學程(EMBA).[25] Gartner http://www.gartner.com/technology/home.jsp[26] 工研院經貿中心資料 http://ieknet.iek.org.tw/[27] 台積電公司 http://www.tsmc.com/chinese/default.htm[28] 台灣經濟新報（TEJ） http://www.tej.com.tw/twsite/[30] 產業價值鏈資訊平臺 http://ic.gretai.org.tw/introduce.php?ic=D000[31] 聯電公司 http://www.umc.com/chinese/ 描述 碩士
國立政治大學
金融研究所
102352038
103資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102352038 資料類型 thesis dc.contributor.advisor 廖四郎 zh_TW dc.contributor.author (Authors) 汪卉 zh_TW dc.creator (作者) 汪卉 zh_TW dc.date (日期) 2014 en_US dc.date.accessioned 1-Jul-2015 14:46:16 (UTC+8) - dc.date.available 1-Jul-2015 14:46:16 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2015 14:46:16 (UTC+8) - dc.identifier (Other Identifiers) G0102352038 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76177 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 102352038 zh_TW dc.description (描述) 103 zh_TW dc.description.abstract (摘要) 企業價值評估是企業管理和企業投資的熱門問題，半導體產業又是高科技發展的關鍵。所以本文就台灣半導體產業的兩個晶圓代工企業之價值評估問題進行對比討論，分別用實質選擇權與自由現金流折現模型來對台積電和聯電進行價值評估。分析中發現實質選擇權方法在評價中比較能充分考量到企業投資決策的彈性，卻對於企業在行業中的領先地位比較難把握；而自由現金流折現模型對於財務報表的數據十分敏感，關於增長率的估計比較難把握，從而使企業價值評估的波動性較大，所以可以綜合兩個方法來進行評價，則可以減少估計誤差。本文的後半部分主要是基於半導體的產業狀況，對台積電與聯電兩家晶圓代工企業的經營策略進行分析，得出科技企業的經營收益與對技術研發的投入呈正相關，也與管理層的理念與穩定性以及上下游產業鏈穩定性密切相關。 zh_TW dc.description.abstract (摘要) Business Valuation is an important issue for business management or business investment. The semiconductor industry is also an important part for high-tech development. Therefore, this paper focuses on the valuation of two foundry companies in semiconductor industry in Taiwan. Respectively, this paper uses the real option and the discounted cash flow models to assess the values of TSMC and UMC. The analyses find that the real option approach can consider the flexibility of enterprise investment strategy better than the discounted cash flow approach, while it is difficult to grasp the leadership of the company in the industry. The data from the financial statements is too sensitive for the discounted cash flow approach, and the uncertainty about the growth of a company contributes the volatility of the business valuation; therefore, by considering both approaches can reduce the valuation errors. The other part of this paper is based on the semiconductor industry analysis. With the comparison of the corporate business strategies of TSMC and UMC, we find that the operating income of scientific and technological enterprises is positively correlated with business investment in R&D, meanwhile it is closely related to the concept and stability of the manager, as well as the stability of the upstream and downstream supply chain. en_US dc.description.tableofcontents 1緒論 11.1研究背景 11.2研究目的 22文獻綜述 32.1企業價值研究概況 32.2實質選擇權模型回顧 42.3自由現金流折現理論回顧 52.4半導體產業鏈的介紹 62.5半導體產業研究概況與摩爾定律 83模型方法 113.1實質選擇權模型 113.2自由現金流折現模型 144公司價值評價的實證研究 184.1實質選擇權模型的結果 184.2自由現金流折現模型的結果 224.3兩種模型的結果對比 255半導體產業研究及公司管理策略分析 265.1半導體產業的現狀及發展情況 265.2半導體公司的運營管理對比 276結論 32參考文獻 33 zh_TW dc.format.extent 1054632 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102352038 en_US dc.subject (關鍵詞) 半導體 zh_TW dc.subject (關鍵詞) 價值評估 zh_TW dc.subject (關鍵詞) 實質選擇權 zh_TW dc.subject (關鍵詞) 自由現金流折現模型 zh_TW dc.subject (關鍵詞) Semiconductor en_US dc.subject (關鍵詞) Valuation en_US dc.subject (關鍵詞) Real Option en_US dc.subject (關鍵詞) Discounted Cash Flow en_US dc.title (題名) 半導體行業企業價值評估方法對比 ——實質選擇權與自由現金流折現模型 zh_TW dc.title (題名) Comparison between the Valuation Methods of Semiconductor Companies: Real Option and Discounted Cash Flow Models en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) [1] Baumol W., and W.G. Bowen（1966）, “Performing Arts: The Economic Dilemma.” [2] Black F., and M. Scholes（1973）, “The Pricing of Options and Corporate Liabilities,” The Journal of Political Economy, Vol.81, pp. 637-654.[3] Brennan M.J., and Schwartz E.S.（1982）, "Regulation and Corporate Investment Policy," The Journal of Finance, 1982, May, Vol. 37, No. 2, pp. 289-300.[4] Copeland, T., T. Koller, and J. Murrin（1994）, Valuation: Measuring and Managing the Value of Companies. New York: John Wiley&Sons.[5] Dixit, A., and R. S. Pindyck（1995）, “The Options Approach to Capital Investment,” Harvard Business Review, May-June: pp. 105-115.[6] Fisher I.（1906）, “The nature of capital and income.”[7] Jensen M.C.（1986）, “Agency Cost Of Free Cash Flow, Corporate Finance, and Takeovers,” American Economic Review, May, Vol. 76, No. 2.[8] Kester, C.（1984）, “Today’s Option for Tomorrow’s Growth,” Harvard and Business Review, March-April: pp. 105-115.[9] Lintner J.（1965）, “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets,” The Review of Economics and Statistics, Vol. 47, No. 1, pp. 13-37.[10] Markowitz H.（1952）, “Portfolio Selection,” The Journal of Finance, March, Vol. 7, No. 1, pp. 77-91.[11] Myers S.C.（1977）, “Determinants of corporate borrowing,” Journal of Financial Economics, vol.5, pp. 147-175.[12] Modigliani F., and M. H. Miller（1958）, “The Cost of Capital, Corporation Finance and the Theory of Investment,” The American Economic Review, Vol. 48, No. 3 June, pp. 261-297.[13] Modigliani F., and M. H. Miller（1961）, “Dividend Policy, Growth, and the Valuation of Shares,” The Journal of Business, University of Chicago Press, vol. 34, pp. 411. [14] Moore G.E.（1965）, “Cramming more Components onto Integrated Circuits,” Electronics, Vol. 38, No. 8.[15] Mossin, J., “Equilibrium in a Capital Asset Market,” The Econometric Society, 1966, Vol. 34, pp. 768-783.[16] Rappaport A.（1986）, “Creating Shareholder Value.”[17] Schwartz E., and M. Moon（2000）, “Rational Pricing of Internet Companies,” Financial Analysts Journal, May-June: pp. 62-75.[18] Schwartz E., and M. Moon（2001）, “Rational Pricing of Internet Companies Revisited,” University of California at Los Angeles, April.[19] Sharpe W.F.（1964）, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” The Journal of Finance, Vol. 19, No. 3, pp. 425-442.[20] 沈志祥（2007），「晶圓製程設備產業智慧資源規劃之研究」，碩士學位論文，國立政治大學智慧財產研究所.[21] 何建志，「淺談企業評價方法」，中華徵信所專題剖析財務顧問部.[22] 林家帆、陳威光、郭維裕（2002），「以實質選擇權法評估高科技產業股價」，管理評論，第二十一卷，第三期，頁97-113.[23] 陳振遠、曾永泉、簡雪芳（2005），「以實質選擇權法評價台灣電子產業上市公司」，管理與資訊學報，第十期，頁115-142.[24] 蔡政安（2004），「台灣晶圓代工產業的斷裂性創新初步研究」，碩士學位論文，國立政治大學經營管理碩士學程(EMBA).[25] Gartner http://www.gartner.com/technology/home.jsp[26] 工研院經貿中心資料 http://ieknet.iek.org.tw/[27] 台積電公司 http://www.tsmc.com/chinese/default.htm[28] 台灣經濟新報（TEJ） http://www.tej.com.tw/twsite/[30] 產業價值鏈資訊平臺 http://ic.gretai.org.tw/introduce.php?ic=D000[31] 聯電公司 http://www.umc.com/chinese/ zh_TW
