نویسندگان

1 دانشجوی دکتری، دانشکده مهندسی صنایع و سیستم‌ها، دانشگاه تربیت مدرس، تهران، ایران

2 استاد، دانشکده مهندسی صنایع و سیستم‌ها، دانشگاه تربیت مدرس، تهران، ایران

چکیده

ارزش‌‌‌گذاری کسب‌ و کارهای نوپا در سرمایه‌گذاری خطرپذیر همواره موضوعی مهم در مذاکرات میان کارآفرینان و سرمایه‌گذاران خطرپذیر بوده است. نتایج تحقیقات انجام شده در خصوص ارزش‌گذاری کسب‌ و کار‌های نوپا بیانگر این بوده‌ که ارزش‌گذاری این پروژه‌های کارآفرینی به ویژه در مراحل ابتدایی شکل‌گیری آن‌ها به سبب وجود عدم اطمینان بالا درخصوص آینده آن‌ها و نیز چالش‌های موجود امری پیچیده و دشوار است. با بهره‌گیری از تجزیه و تحلیل اختیارات حقیقی در تحقیق پیش‌رو رویکرد جدیدی برای تعیین ارزش کسب‌ و کارهای نوپا با در نظر گرفتن عدم اطمینان‌های موجود در دور اول تأمین مالی و نیز انعطاف‌پذیری موجود برای سرمایه‌گذاران خطرپذیر در اتخاذ تصمیمات سرمایه‌گذاری آن‌ها ارائه گردید. به دلیل عدم وجود پاسخ تحلیلی برای رویکرد توسعه داده شده از روش عددی شبیه‌سازی مونت کارلو حداقل مربعات (لانگ اشتاف-شوارتر) برای حل آن استفاده شد و براساس نتایج حاصل از شبیه‌سازی درصد مالکیت کارآفرین و سرمایه‌گذار خطرپذیر تعیین شد. علاوه‌بر این با مقایسه نتایج حاصل از رویکرد پیشنهادی با نتایج حاصل از روش ارزش خالص فعلی همان گونه که در ادبیات تحقیق نیز تأکید گردیده بود، چنین نتیجه‌گیری شد که روش‌های سنتی اعتبار لازم جهت ارزش‌گذاری این گونه کسب‌ و کارهای نوپا را ندارند. در بخش پایانی نیز پیشنهادهایی برای توسعه مدل تحت شرایط رقابتی و یا توسعه آن برای سایر مراحل سرمایه‌گذاری ارائه شد.

کلیدواژه‌ها

عنوان مقاله [English]

Applying real option approach for startup valuation by venture capitalists in first round of financing

نویسندگان [English]

  • Meisam Dehghan-Eshratabad 1
  • Amir Albadvi 2

چکیده [English]

Startup valuation in venture capital investment has always been an important issue in negotiations between entrepreneurs and venture capitalists. Results of conducted researches on startup valuation have revealed difficulties and complexities in determining entrepreneurial projects value, especially in early stages of their development. It is due to the existing challenges and high degree of uncertainty about their future. Using real options analysis in this research, a new approach for determining startup companies’ value, considering uncertainties in the first round of financing and flexibility available to venture capitalists in making their investment decision was presented. Due to lack of analytical solution for the developed approach, the numerical method of Monte Carlo least squares simulation (Longstaff-Schwartz) was used to solve it, where percentage of ownership of the entrepreneur and venture capitalist was determined based on the results of the simulation. In addition, by comparing the results of the proposed approach with results of the net present value method, as it was emphasized in the literature, it was concluded that traditional methods do not have the required credit for valuing in early stage companies. Finally, there were suggestions for developing the approach under competitive interactions or developing it for other stages of investment.

کلیدواژه‌ها [English]

  • Valuation
  • Venture Capital
  • Startup
  • Real Options
  • Least Square Monte-Carlo (LSM)
[1] Wang, S. and H. Zhou (2004), Staged financing in venture capital: moral hazard and risks. Journal of Corporate Finance. 10(1): p. 131-155. [2] Fairchild, R. (2011), An entrepreneur's choice of venture capitalist or angel-financing: A behavioral game-theoretic approach. Journal of Business Venturing. 26(3): p. 359-374. [3] Davila, A., G. Foster, and M. Gupta (2003), Venture capital financing and the growth of startup firms. Journal of Business Venturing. 18(6): p. 689-708. [4] Yang, Y., V. Narayanan, and S. Zahra (2009), Developing the selection and valuation capabilities through learning: The case of corporate venture capital. Journal of Business Venturing. 24(3): p. 261-273. [5] Miloud, T., A. Aspelund, and M. Cabrol (2012), Startup valuation by venture capitalists: an empirical study. Venture Capital. 14(2-3): p. 151-174. [6] Cumming, D. and N. Dai (2011), Fund size, limited attention and valuation of venture capital backed firms. Journal of Empirical Finance. 18(1): p. 2-15. [7] Dittmann, I., E.G. Maug, and J. Kemper (2004), How fundamental are fundamental values? Valuation methods and their impact on the performance of German venture capitalists. European Financial Management. 10(4): p. 609-638. [8] Hsu, Y.W. (2010), Staging of venture capital investment: a real options analysis. Small Business Economics. 35(3): p. 265-281. [9] Vollert, A. (2012), A stochastic control framework for real options in strategic evaluation: Springer Science & Business Media. [10] Vara, W.P. (2013), Risk-based new venture valuation technique: Win-win for entrepreneur and investor. Journal of Business Valuation and Economic Loss Analysis. 8(1): p.1-26. [11] Finnerty, J.D. (2016), An option-based model for valuing the common stock of emerging-growth firms. The Journal of Derivative. 23(4): p.33-53. [12] Li, Y. and J.T. Mahoney (2011), When are venture capital projects initiated? Journal of Business Venturing. 26(2): p. 239-254. [13] Ko, C.C., T.T. Lin, and C. Yang (2011), The venture capital entry model on game options with jump-diffusion process. International Journal of Production Economics. 134(1): p. 87-94. [14] Li, Y. (2008), Duration analysis of venture capital staging: A real options perspective. Journal of Business Venturing. 23(5): p. 497-512. [15] Elitzur, R. and A. Gavious (2003), A multi-period game theoretic model of venture capitalists and entrepreneurs. European Journal of Operational Research. 144(2): p. 440-453. [16] Foroush Bastani, A., H. Hamedi Nia (2017), The Evaluation of Venture Capital as an Installment Option and Real Options. Journal of Investment Knowledge. 21(6): p.175-196. [17] Sahlman, W.A. (1990), The structure and governance of venture-capital organizations. Journal of financial economics. 27(2): p. 473-521. [18] Gladstone, D. and L. Gladstone (2002), Venture capital handbook: an entrepreneur's guide to raising venture capital: FT Press. [19] Festel, G., M. Wuermseher and G. Cattaneo (2013), Valuation of early stage high-tech start-up companies. International Journal of Business. 18(3): p.216-231. [20] Myers, S.C. (1977), Determinants of corporate borrowing. Journal of Financial Economics. 5(2): p. 147-175. [21] Chitsazan, H., M. Rezvani, R. Bafekr (2016), Identifying and grading factors affecting new ventures valuation by venture capitalists. Journal of Entrepreneurship Development. 8(4): p. 591-609. [22] Mirvahedi, S. (2018), An Investigation of Iranian Entrepreneurs’ Decision Making Logic Based On Effectuation Theory. Modern Researches in Decision Making. 2(4): p. 229-254. [23] Hoseini Ghasr, S., H.R. Zin Abadi, and M. Alizadef (2018), An Analysis of the Methodology and Findings of the Research conducted on Entrepreneurship and the Characteristics of Entrepreneurs. Management Researches in Iran. 18(4): p. 43-63. [24] Karami, H., A. Mohammadi, H.A. Ranaei Kordshouli, and A. Abbasi (2017), Investigating the Effects of Small and Medium Enterprises Creation on Investment Growth. Management Researches in Iran. 21(2): p. 89-112. [25] Longstaff, F.A. and E.S. Schwartz (2001), Valuing American options by simulation: a simple least-squares approach. The review of financial studies. 14(1): p. 113-147.