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We develop a model of investment timing under 歡迎登陸 Real Options Valuation 網站 uncertaintyfor a financially constrained firm. Facing external financing costs, thefirm prefers to fund its investment through internal funds, so that thefirm's optimal investment policy and value depend on both its earningsfundamentals and liquidity holdings. We show that financial constraintssignificantly alter the standard real options results, with the financialflexibility conferred by internal funds acting as a complement, and at timesas a substitute, to the real flexibility given by the optimal timing ofinvestment. We show that: 1) the investment hurdle is highly nonlinear andnon-monotonic in the firm's internal funds; 2) in contrast to predictionsimplied by standard corporate savings models, a financially constrained firmmay behave in a risk seeking sense (and thus firm value may be convex inliquidity) due to the interaction between financial and real(growth/abandonment) flexibility; 3) with multiple rounds of growth options,a value-maximizing financially constrained firm may choose to over-investvia accelerated investment timing in earlier stages in order to mitigateunder-investment problems in later stages.

【报告人】 杨金强 上海财经大学金融学院教授

【时 间】1202 上午10:00

【地 点】明德主楼0509

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杨金强,上海财经大学金融学院教授,博士生导师,证券期货系主任。国家优秀青年基金获得者,教育部“新世纪优秀人才支持计划”获得者,上海市青年拔尖人才,上海市晨光学者,上海财经大学创新团队首席专家。同时兼任全国金融系统青年联合会委员,上海市突出贡献专家协会青年英才分会副会长,上海国际金融中心研究院研究员,上海市金融信息技术研究重点实验室研究员。最近五年主要致力于动态公司金融和资产定价的理论研究。共发表18篇匿名评审学术期刊论文,其中SSCI收录9篇,包括2篇Journal of Financial Economics,1篇Review of Financial Studies, 1篇Journal of Economic Theory等;中文期刊包括3篇《经济研究》,1篇《管理科学学报》, 2篇《系统工程理论与实践》,2篇《中国管理科学》。论文连续多年入选国际顶级金融学年会(AFA、WFA、EFA)。学术成果曾获全美华人金融协会(TCFA)最佳论文奖、中国金融博物馆第三届青年金融学者奖、第十二届中国金融学年会优秀论文一等奖、湖南省优秀博士学位论文奖、第三届上海财经大学学术奖、上海财经大学第19、20、21届中振科研基金优秀论文奖。

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歡迎登陸 Real Options Valuation 網站

Investment opportunities that are deferrable over a finite period of time are finite-lived American exchange options. Although such investment opportunities can be valued using the Carr [Carr, P., 1988, The Valuation of Sequential Exchange Opportunities, Journal of Finance 43:5, 1235–1256.] model, the derivation of this model is not very accurate when correctly formulated. Furthermore, past applications (e.g., [Taudes, A. 1998, Software Growth Options, Journal of Management Information Systems 15: 1, 165–185.]) have implemented the model without correcting for 歡迎登陸 Real Options Valuation 網站 an important typo in the Carr paper. While such investment opportunities are more accurately valued using the Carr [Carr, P. 1995, The Valuation of American Exchange Options with Application to Real Options, in: L.Trigeorgis, ed, Real Options in Capital Investment: Models, Strategies and Applications (Praeger, Westport, Connecticut, London).] model, this model suffers from the problem known as “non-uniform convergence”. This paper proposes a modified approach for estimating the Carr [Carr, P., 1988, The Valuation of Sequential Exchange Opportunities, Journal of Finance 43:5, 1235–1256.] model that emits more accurate output values with a minimal addition of mathematical and computational cost. The paper then demonstrates the superiority of this modified model for three real investment opportunities.

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歡迎登陸 Real Options Valuation 網站

Abstract:One of the problems of using the financial options methodology to analyse investment decisions is that strategic considerations become extremely important. So, the theory of real option games combines two successful theories, namely real options and game theory. The investment opportunity and the value of flexibility can be valued as a real option while the competition can be analyzed with game theory. In our model we develop an interaction between two firms that invest in R&D. The firm that invests first, defined as 歡迎登陸 Real Options Valuation 網站 the Leader, acquires a first mover advantage that we assume as a higher share of market. But, several R&D investments present positive externalities and so, the 歡迎登陸 Real Options Valuation 網站 option exercise by the Leader generates an “Information-Revelation”, that benefits the Follower.

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© 2014-2018中国知网(CNKI)京公网安备11010802020460号 经营性网站备案信息 互联网出版许可证 新出网证(京)字271号 京ICP证040431号