Open-Loop Equilibria and Perfect Competition in Option Exercise Games

被引：31

作者：

Back, Kerry ^{[1
]}

Paulsen, Dirk ^{[2
]}

机构：

[1] Texas A&M Univ, College Stn, TX 77843 USA

[2] Univ Bonn, D-5300 Bonn, Germany

来源：

REVIEW OF FINANCIAL STUDIES | 2009年 / 22卷 / 11期

关键词：

INVESTMENT; STRATEGIES;

D O I：

10.1093/rfs/hhp046

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The investment boundaries defined by Grenadier (2002) for an oligopoly investment game determine equilibria in open-loop strategies. As closed-loop strategies, they are not equilibria, because any firm by investing sooner can preempt the investments of other firms and expropriate the growth options. The perfectly competitive outcome is produced by closed-loop strategies that are mutually best responses. In this equilibrium, the option to delay investment has zero value, and the simple NPV rule is followed by all firms. (JEL C73, D43, D92, G31, L13)

引用

页码：4531 / 4552

页数：22

共 17 条

[1] Optimal investment with costly reversibility [J].