Оцінка ефективності інвестиційних проектів
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Date
2006-02-01
Authors
Онікієнко, Сергій Володимирович
Onikiienko, Sergii
Оникиенко, Сергей Владимирович
Journal Title
Journal ISSN
Volume Title
Publisher
ДВНЗ «Київський національний економічний університет імені Вадима Гетьмана»
Abstract
Дисертація присвячена дослідженню методологічних та організаційних підходів до оцінки ефективності інвестиційних проектів, розглянуто теоретичні та практичні переваги та вади існуючих методів і методик оцінки ефективності інвестиційних проектів. У рамках запропонованого розгляду інвестиційного проекту, як системи, ідентифіковано складові цієї системи, уточнено дефініцію „інвестиційний проект”, визначено пріоритетність цілей інвестування, роль ефективності у процесі прийняття інвестиційних рішень. Розроблено концепцію оцінки економічної ефективності інвестиційного проекту, для якої запропоновано універсальний алгоритм оцінки ефективності інвестиційних проектів з урахуванням невизначеності і ризику, включаючи оцінку економічної ефективності у процесі фінансування інвестиційних проектів комерційними банками. Практична реалізація концепції відображена в розробленому програмному комплексі „Інвестиційний аналіз”. Доведена необхідність удосконалення існуючої в Україні методики оцінки інвестиційних проектів та надані конкретні рекомендації стосовно її покращення.
The work deals with the investigation of methodological and organizational approaches to the evaluation of the effectiveness of investment projects, considered theoretical and practical advantages and disadvantages if existing methods and systematic procedures of projects’ evaluation.
In the frames of the perception of an investment project as a system it was identified its composing elements: the initial cash outflow or investment costs, the net cash inflows, the lifespan of the investment the cost of capital.
The objective of the firm is to create as much wealth as possible by the effective use of its existing and future resources. In assessing capital projects, managers should follow the net present value rule, which states that a project is acceptable if the present value of anticipated cash flows exceeds the present value of anticipated cash outflows. In addition to NPV, there are four other appraisal methods which are commonly used: the Payback method and its variant, the Discounted Payback method; the Accounting Rate of Return; the Internal Rate of Return (IRR); and the Profitability Index. Of this Payback is the most commonly used with the IRR and the Profitability Index being the least popular. The Payback method and the Accounting Rate of Return method have serious flaws in that they do not take the time value of money into account and they do not look at the full economic life of the Investment Furthermore, the Accounting Rate of Return measures profitability and not cashflow and thus can be manipulated by changing accounting methods which have nothing to do with the underlying investment.
However, there is scope for using Discounted Payback at the early stages of an analysis, as a screening method, ft is also useful when technological changes make forecasting cashflows after a set number of years highly speculative. In such cases, Discounted Payback can be seen as a form of truncated NPV analysis. The IRR and the Profitability Index use the discounted cashflow approach which is also used by the Net Present Value method, They give less than perfect results when mutually exclusive projects, or investment projects of differing size and scope, are being considered. One of the potential drawbacks of the NPV method is that it favors large investments over smaller ones. For this reason, the Profitability method is the preferred method of appraisal when the company is under a budget constraint and investment projects have to be chosen which maximize the overall Net Present Value. Although the Net Present Value method is the most robust method, with the above exception, the use of phrases such as the “rate of return” and the “payback period” are good communication tools when selling an investment project to senior management.
Risk is an important element in virtually all investment decisions. Because most businessmen are risk-averse, preferring less risk to more, the identification, measurement and, where possible, reduction of risk should be a central feature in the decision-making process. The evidence, however, suggests that firms conducting risk analysis are in the minority. This does not mean that the risk dimension is totally ignored by other firms; rather, they choose to handle project risk by less objective methods such as experience, feel or intuition.
In this work we have defined what is meant by risk and examined a variety of ways of measuring it. The probability distribution, giving the probability of occurrence of each possible outcome following an investment decision, is the concept underlying most of the methods discussed. Measures of risk, such as the standard deviation and coefficient of variation, indicate the extent to which actual outcomes are likely to vary from the expected value. The semivariance is another useful measure of risk which may better emulate the decision maker's perceptions since it weights negative variations more heavily than positive variations. Other viable techniques for risk analysis include Monte Carlo simulation and sensitivity analyses. Finally, the certainty equivalent and risk-adjusted rate of return approaches were discussed as ways by which the net present value formula may be adjusted to account for risk.
The NPV’s approach was also exposed to the evaluation of economic effectiveness of investment projects’ financing by commercial banks though the modernization of its formula with loan’s interest created cashflows and usage of bank’s WACC as discount rate.
This work has provided an overview and analysis of a highly complex area which contains many still unresolved difficulties. The main points covered were as follows:
• As far as foreign project appraisal is concerned, there are two equivalent approaches: the project's overseas currency cash flows can be converted to hrivna cash flows and a hrivna discount rate applied; alternatively, the project’s overseas currency cashflows can be discounted at the overseas currency discount rate to produce an NPV. This can then be converted at spot into a hrivna NPV.
• A major difference between domestic and foreign project evaluation arises when the latter suffers from cash flow remittance restrictions. In such circumstances the project must be evaluated from the viewpoint of the cash flows that are available to be remitted back to the parent. In particular, this means including in the project's cash flows any foreign currency financing cash flows.
• Once taxation is brought into consideration, then an APV analysis becomes appropriate. However, such an approach can be complex and a simplified approach can be utilized by modifying APV.
It was worked out the conception of the evaluation of investment project’s economic effectiveness realized through the universal algorithm of the evaluation of the effectiveness of investment projects taking to the consideration the risk and uncertainty. This approach can also be exposed to the evaluation of economic effectiveness of investment projects’ financing by commercial banks. The practical realization of this conception reflected at programs’ complex “Investment analysis”. It was proved the necessity of the modernization of the existing in Ukraine methodology of effectiveness of investment projects’ evaluation and worked out the recommendations for its improvement.
Диссертация посвящена исследованию методологических и организационных подходов к оценке эффективности инвестиционных проектов, рассмотрены теоретические и практические преимущества и недостатки существующих методов и методик оценки эффективности инвестиционных проектов. В рамах предложенного рассмотрения инвестиционного проекта как системы, идентифицированы составляющие этой системы, уточнена дефиниция «инвестиционный проект», определена приоритетность целей инвестирования, роль эффективности в процессе принятия инвестиционных решений. Разработана концепция оценки экономической эффективности инвестиционного проекта, для которой предложен универсальный алгоритм оценки эффективности инвестиционных проектов с учетом неопределенности и риска, включающую оценку экономической эффективности в процессе финансирования инвестиционных проектов коммерческими банками. Практическая реализация концепции отражена в разработанном программном комплексе «Инвестиционный анализ». Доказана необходимость усовершенствования существующей в Украине методики оценки инвестиционных проектов и предоставлены конкретные рекомендации относительно её улучшения.
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Keywords
інвестиційний проект, ефективність інвестування, економічна ефективність, методи оцінки ефективності, інвестиційні ризики, кількісна оцінка, ефективність кредитування, зарубіжні інвестиції, економіко-математична модель, investment project, effectiveness of investment, economic effectiveness, methods of investment evaluation, investment risks, quantitative evaluation, effectiveness of crediting, foreign investments, economical-mathematic model, инвестиционный проект, эффективность инвестирования, экономическая эффективность, методы оценки эффективности, инвестиционные риски, количественная оценка, эффективность кредитования, зарубежные инвестиции, экономико-математическая модель
Citation
Онікієнко С. В.Оцінка ефективності інвестиційних проектів : автореф. дис. ... канд. екон. наук : 08.04.01 / Онікієнко Сергій Володимирович ; ДВНЗ «Київ. нац. екон. ун-т ім. В. Гетьмана». – Київ, 2006. – 24 с.