Bellalah(1999)利用Merton(1987)所提出將訊息成本納入考量的資本資產評價模式CAPMi為基礎，首次將訊息成本因子納入實質選擇權模型中，並建議使用該模型評估研發活動的價值。本研究認為Bellalah模型雖然可以反映出投資行為因納入訊息成本而引起之市場價值改變，卻無法表達出因未知事件影響而引起之報酬情況改變。按研發活動的價值可能因為技術進步而折舊，亦可能因現行協定(protocol)的改變而驟然失效，由於這些問題未被Bellalah模型所考慮，本研究基此提出新的修正模型。 透過數值分析可知，訊息成本對研發活動價值的影響僅約及指數衰退（折舊）的一半，亦僅約及卜瓦松事件（突發事件）的三分之一，因此支持將折舊與突發事件二個因子納入模型的修正方式；數值分析亦顯示，為找出合宜價格政策所耗費的訊息成本，將可以提高研發活動的價值。透過統計分析可知，修正模型所評估出的研發活動價值，是系統風險係數的重要解釋變數；意味經理人可藉由本模型來瞭解所擁有的研發專案對公司價值之影響，投資者亦可對包含研發活動的投資組合有更精確的價值評估。延伸課題方面，本研究除支持研發活動資本化的觀點外，也針對訊息成本發展出一套評估方法，可以彌補過去研究的不足。 Bellalah(1999) followed the context of Merton(1987), who founded a market equilibrium model with incomplete information, firstly incorporate the information cost into an real option model (ROM) for R&D valuation. However, the Bellalah’s model though exhibited the R&D’s market value based upon information cost; it failed to catch the change of R&D’s payoff due to undefined events within project’s lifetime. More than this, it is plausible of that the R&D may depreciate while time elapses; its value could also vanish over night because of some exceptions for example the ‘protocol’ change. The aforesaid issues were not addressed by Bellalah therefore this study tried to propose a modified model for supplementation. As shown by the numerical analysis, the influence of information cost onto R&D value is roughly half of exponential decay (depreciation) and one third of Poisson event (a sudden event), which tells the new added factors outweighs the information cost as well as support our modification. We also found that the information cost affiliated with price is helpful for pursuing a more adequate price policy therefore it will boost the R&D value. As shown by the statistical analysis, the R&D value estimated by the modified ROM is an important explanatory variable to the systematic risk coefficient which means, whether managers or investors could be more prudent since they know better the risk level that an R&D investment (or a portfolio containing R&D) may have borne. For some extended topics, this study sustains the viewpoint of capitalization of R&D and, secondly, an estimation framework for the information cost was developed; which may redeem the deficiency before.
