资源科学 ›› 2016, Vol. 38 ›› Issue (5): 858-870.doi: 10.18402/resci.2016.05.06
收稿日期:
2015-11-12
修回日期:
2016-03-29
出版日期:
2016-05-25
发布日期:
2016-05-23
作者简介:
作者简介:闻德美,女,山东费县人,博士,讲师,硕士生导师,主要从事海洋经济、涉海金融研究。E-mail:
基金资助:
WEN Demei1,2(), JIANG Xuzhao3, MENG Kexue1
Received:
2015-11-12
Revised:
2016-03-29
Online:
2016-05-25
Published:
2016-05-23
摘要:
海域使用投资往往具有较强的不确定性、不可逆性和可延迟性特点,使得海域使用权具有期权时间价值;但中国当前基于贴现现金流的海域使用权定价方法,没有考虑这些特点及其产生的期权时间价值,导致使用权定价偏低。为此,文章将实物期权法应用于海域使用权定价,以期确定更加合理的海域使用权价格,实现海洋经济可持续发展。以2013年青岛市黄岛区琅琊镇围堰养殖海参项目海域使用权价格为例,实物期权法的定价为95.89万元/hm2,相同条件下,贴现现金流法的定价为87.94万元/hm2,贴现现金流法的定价低7.95万元/hm2。而且,由于没有达到实物期权法确定的投资临界值,2013年并不适合投资;此时若投资,海域使用权价格将比达到投资临界值时低99.60万元/hm2,会极大降低海域资源利用效率。此外,参数敏感性分析表明,实物期权法下,海域使用权价格对市场环境变化很敏感,而贴现现金流法不能体现市场环境变化的影响。研究成果可为制定我国海域使用权定价政策提供参考和借鉴。
闻德美, 姜旭朝, 孟科学. 基于实物期权法的海域使用权定价研究[J]. 资源科学, 2016, 38(5): 858-870.
WEN Demei,JIANG Xuzhao,MENG Kexue. Valuation of the right to use sea areas based on the real options approach[J]. Resources Science, 2016, 38(5): 858-870.
表 5
海参养殖业上市公司个股回报率"
年份 | 好当家 | 獐子岛 | 东方海洋 | 壹桥苗业 |
---|---|---|---|---|
2013 | -0.23 | -0.05 | -0.16 | -0.14 |
2012 | -0.20 | -0.35 | -0.15 | 0.48 |
2011 | -0.36 | -0.13 | -0.30 | -0.23 |
2010 | 0.47 | 1.30 | 0.37 | - |
2009 | 0.87 | 1.44 | 1.38 | - |
2008 | -0.68 | -0.67 | -0.42 | - |
2007 | 2.30 | 0.30 | 0.69 | - |
2006 | 2.13 | - | - | - |
2005 | -0.06 | - | - | - |
均值 | 0.47 | 0.26 | 0.20 | 0.04 |
标准差 | 1.09 | 0.81 | 0.65 | 0.39 |
表 8
参数敏感性分析结果"
贴现率ρ和 波动率σ | 2013年海域使用权价格 | 投资临界比 | 临界值对应的海域使用权价格 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
价值漏损率δ | 价值漏损率δ | 价值漏损率δ | ||||||||||
0.05 | 0.08 | 0.10 | 0.15 | 0.05 | 0.08 | 0.10 | 0.15 | 0.05 | 0.08 | 0.10 | 0.15 | |
ρ=0.2,σ=0.05 | 95.29 | 88.04 | 87.94 | 87.94 | 4.03 | 2.53 | 2.02 | 1.36 | 188.23 | 94.69 | 63.59 | 22.62 |
ρ=0.2,σ=0.10 | 95.81 | 88.20 | 87.94 | 87.94 | 4.13 | 2.60 | 2.10 | 1.44 | 194.36 | 99.39 | 67.99 | 27.43 |
ρ=0.2,σ=0.15 | 96.64 | 88.57 | 87.94 | 87.94 | 4.29 | 2.72 | 2.21 | 1.55 | 204.37 | 106.88 | 74.83 | 33.87 |
ρ=0.2,σ=0.20 | 97.75 | 89.22 | 87.94 | 87.94 | 4.51 | 2.88 | 2.35 | 1.67 | 218.06 | 116.84 | 83.67 | 41.37 |
ρ=0.2,σ=0.25 | 99.09 | 90.15 | 88.03 | 87.94 | 4.79 | 3.08 | 2.52 | 1.80 | 235.19 | 128.99 | 94.22 | 49.74 |
ρ=0.317,σ=0.05 | 105.57 | 95.02 | 90.72 | 87.94 | 6.37 | 3.98 | 3.19 | 2.13 | 333.22 | 185.14 | 135.79 | 70.06 |
ρ=0.317,σ=0.10 | 105.89 | 95.35 | 91.00 | 87.94 | 6.46 | 4.05 | 3.24 | 2.18 | 338.72 | 188.99 | 139.15 | 72.92 |
ρ=0.317,σ=0.15 | 106.39 | 95.89 | 91.48 | 87.94 | 6.61 | 4.15 | 3.33 | 2.25 | 347.84 | 195.49 | 144.64 | 77.47 |
ρ=0.317,σ=0.20 | 107.07 | 96.62 | 92.13 | 87.94 | 6.81 | 4.29 | 3.45 | 2.35 | 360.48 | 204.07 | 152.14 | 83.51 |
ρ=0.317,σ=0.25 | 107.91 | 97.52 | 92.96 | 87.96 | 7.07 | 4.47 | 3.60 | 2.46 | 376.56 | 215.08 | 161.51 | 90.85 |
ρ=0.4,σ=0.05 | 110.70 | 100.15 | 95.20 | 88.43 | 8.03 | 5.02 | 4.02 | 2.68 | 436.17 | 249.44 | 187.20 | 104.25 |
ρ=0.4,σ=0.10 | 110.93 | 100.41 | 95.46 | 88.56 | 8.11 | 5.08 | 4.07 | 2.72 | 441.47 | 253.06 | 190.28 | 106.70 |
ρ=0.4,σ=0.15 | 111.30 | 100.84 | 95.89 | 88.80 | 8.26 | 5.17 | 4.15 | 2.78 | 450.28 | 259.04 | 195.37 | 110.69 |
ρ=0.4,σ=0.20 | 111.81 | 101.42 | 96.48 | 89.17 | 8.45 | 5.31 | 4.26 | 2.87 | 462.55 | 267.34 | 202.39 | 116.12 |
ρ=0.4,σ=0.25 | 112.43 | 102.14 | 97.21 | 89.67 | 8.71 | 5.48 | 4.40 | 2.98 | 478.21 | 277.88 | 211.26 | 122.88 |
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