Real options and preemption under incomplete information

被引：158

作者：

Lambrecht, B

Perraudin, W

机构：

[1] Univ London, Birkbeck Coll, Dept Econ, London W1P 2LL, England

[2] Univ Cambridge, Judge Inst Management Studies, Cambridge CB2 1AG, England

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2003年 / 27卷 / 04期

基金：

英国经济与社会研究理事会;

关键词：

real options; preemption; incomplete information;

D O I：

10.1016/S0165-1889(01)00064-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper introduces incomplete information and preemption into an equilibrium model of firms facing real investment decisions. The optimal investment strategy may lie anywhere between the zero-NPV trigger level and the optimal strategy of a monopolist, depending on the distribution of competitors' costs and the implied fear of preemption. Our model implies that the equity returns of firms which hold real options and are subject to preemption will contain jumps,and positive skewness. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：619 / 643

页数：25

共 35 条

[11]

Ghemawat P., 1986, WAL MART STORES DISC

[12] The strategic exercise of options: Development cascades and overbuilding in real estate markets [J].