我国企业海外撤资的实物期权分析

The ROA of Chinese Enterprises Divesting from the Overseas

由于世界经济形势变化、地区政局不稳和企业对国际市场的误判,我国部分对外投资企业亏损严重,面临着从海外撤资的决择。利用实物期权法分析企业退出问题,参照贝尔曼方程,构建撤资决策的实物期权模型,分析对外投资企业撤资决策的价值。算例分析表明,对外投资企业选择的贴现率、利润的波动率和撤资成本的变化均能影响撤资的时机和方式。我国对外投资企业应根据形势变化和自身实力,不断加强自身抵抗风险的能力,灵活选择趁机抢占国外市场的进攻策略,或尽早撤出以获得放弃期权价值的防守策略。

Due to the world economic fluctuations, regional political instability and misjudgment of the international market, Chinese foreign-invested enterprises are facing the choice of divesting from the overseas. The Real Options Analy-sis (ROA) is one of the best ways to research the problem. According to Bellman Equation, this study sets up a ROA di-vestment decision-making model to analyze the value of divestments. After some numerical analysis, this study finds out that the discounted rate, profit volatility and cost of divestments play important roles on the divestments decision-making, which influences the timing and styles of divestments. China's foreign-invested enterprises should not only strengthen their own capacity to resist risks, and choose the offensive strategy to seize foreign markets, but also divest as early as pos-sible in order to obtain to the value of abandon options.