한국해양대학교

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실물옵션을 이용한 선박투자가치평가

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dc.contributor.author 김치열 -
dc.date.accessioned 2017-02-22T06:29:11Z -
dc.date.available 2017-02-22T06:29:11Z -
dc.date.issued 2008 -
dc.date.submitted 56879-03-02 -
dc.identifier.uri http://kmou.dcollection.net/jsp/common/DcLoOrgPer.jsp?sItemId=000002175412 ko_KR
dc.identifier.uri http://repository.kmou.ac.kr/handle/2014.oak/9623 -
dc.description.abstract 본 논문은 위험 자산으로 분류되는 선박에 대한 투자가치 평가시 새로운 대안을 제시하는 데에 목적을 둔다. 불확실성이 증가할수록 가치가 낮아지는 기존의 가치평가법을 대체, 실물옵션가격결정법을 제시하여 기존의 방법이 간과하고 있는 유연성의 가치를 발견 및 측정하여 좀 더 정확한 가치를 평가하기 위함이다. 선박은 전통적으로 위험 자산으로 분류된다. 시장위험, 정치적 위험, 자연적 위험 등 수많은 위험에 노출되기 때문이다. 특히 해운경기는 공급의 비탄력성으로 인해서 경기변동폭이 크기 때문에 시장위험은 선박의 투자가치에 매우 부정적인 영향을 미친다. 현재까지 투자가치평가에 가장 널리 쓰이는 방법은 현금흐름 할인법으로 순현재가치법과 내부수익률법이 대표적이다. 이러한 기존의 방법은 불확실성이 높아질수록 투자에 대한 요구수익률이 높아지므로 투자안의 현재가치를 감소시키는 상황이 발생한다. 또한 투자안의 가치가 평가 당시에 정한 요소, 예를 들어 할인율, 현금유입, 현금유출 등에 의해 결정되기 때문에 추후 상황에 따라 전략을 변경하는 경영상의 유연성을 제대로 반영하기 어렵다. 본 연구에서는 이러한 현금흐름할인법을 대체하기 위하여 새로운 투자평가기법인 실물옵션가격결정법을 이용하고자 한다. 실물옵션 가격결정법이란 금융 파생상품인 옵션의 가격결정모형을 이용하여 투자안에 내재된 유연성을 파악하고 그 가치를 평가하는 방법이다. 가치평가 대상의 특성을 고려해 볼 때, 선대투자는 포기옵션, 축소옵션, 확장옵션 등 여러 종류의 실물옵션을 내재하고 있다. -
dc.description.abstract This paper investigates a new valuation method of shipping investment. From the view of traditional valuation methods, uncertainty increases risk of investment and discounts the value of it. However, in the Real Option Analysis(ROA), the new method in this article, uncertainty means some additional value of flexibility so that the model can produce a more exact judgement. A ship, as an investment, has been regarded as a very risky asset. Before financing it, investors have to consider several risks such as market, political, and timing. Among the risks, market risk has a very negative effect, because supply inelasticity makes the economic cycle of the freight market more volatile. The most frequently used valuation technique, up to now, is the Discounted Cash Flow(DCF), such as the Net Present Value(NPV) or the Internal Rate of Return(IRR). However, the DCF has some shortcomings. For instance, it depreciates the investment as uncertainty increases, and cannot reflect the value of managerial flexibility as market conditions change. In this paper, the ROA is presented as an alternative to the DCF. Based on the pricing model of option, a financial derivative, ROA analyzes and evaluates the flexibility inherent in the investment. Reviewing the characteristics of it, fleet investment can be seen having several rights: a right to abandon, a right to contract, and a right expand the investment before maturity. In order to assess the value of option, we use the Binomial Option Pricing Model by Cox, Ross, and Rubinstein in 1979. In addition, by applying them to evaluating the same investment, both methods, the DCF and the ROA are compared. -
dc.description.tableofcontents Abstract Chapter 1. Introduction 1. Objective and Background 2. Methodology and Sturucture Chapter 2. Theoretical Background 1. Existing Valuation Methods 1) Net Present Value 2) Internal Rate of Return 3) Payback Period 2. Option Pricing Model 1) Black-Scholes Model 2) Binomial Option Pricing Model Chapter 3 Real Option Application to Investment under Uncertainty 1. Limits of the existing methods 2. Introduction of real option 1) General Concepts 2) Taxonomy of Real Options 3. Analysis of Precedent Studies Chapter 4. Empirical Study 1. Shipping Investment Overview 1) Deal Specification 2) Financing Conditions 3) Invest and Payback Plan 2. Investment Valuation by NPV 1) Cash Inflows 2) Cash Outflows (1) Cargo Handling Variable Costs (3) Operation Fixed Costs (4) Administration (5) Taxes (6) Capital Costs (7) Other Costs 3) Weighted Average Cost of Capital 4) Summary 3. Investment Valuation by Real Option Analysis 1) Four-Step Process for Valuing Real Options 2) Types of Option Calculator 3) Real Option Analysis of the Fleet Investment (1) Parameters (2) Marketed Asset Disclaimer (3) Structuring the Binomial Tree (4) Option to Abandon (5) Option to Shrink (6) Option to Expand (7) Combination Option Chapter 5. Conclusion 1. Summary and Implications of Study 2. Recommendations for Future Studies References -
dc.language eng -
dc.publisher 한국해양대학교 -
dc.title 실물옵션을 이용한 선박투자가치평가 -
dc.title.alternative Real Option Approach to Ship Investment Valuation -
dc.type Thesis -
dc.date.awarded 2008-08 -
dc.contributor.alternativeName Chi-Yeol Kim -
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해운경영학과 > Thesis
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