標題: | Real options game over the business cycle |
作者: | Huang, Hsing-Hua Chuang, Wei-Liang 資訊管理與財務金融系 註:原資管所+財金所 Department of Information Management and Finance |
關鍵字: | Real options;Preemption game;Business cycle |
公開日期: | 1-九月-2013 |
摘要: | This paper studies the impact of business cycles on firms' strategic investment decisions by developing and solving a continuous time regime-dependent real options game in an asymmetric duopoly. The value functions, roles and optimal investment timing decisions of the two firms in the expansion and recession states are jointly determined. We show that the preemptive investment equilibrium, where the leader invests earlier than its own first-best investment timing, is pro-cyclical. Moreover, the simultaneous investment equilibrium, where the firms simultaneously invest late and enjoy waiting flexibility as a tacit collusion, is counter-cyclical. In addition, we specifically demonstrate that the values of the leader and follower in the expansion state are smaller than those in the recession state when the preemptive equilibrium prevails in the expansion state and the simultaneous equilibrium prevails in the recession state. (C) 2013 Elsevier B.V. All rights reserved. |
URI: | http://dx.doi.org/10.1016/j.econmod.2013.08.029 http://hdl.handle.net/11536/23671 |
ISSN: | 0264-9993 |
DOI: | 10.1016/j.econmod.2013.08.029 |
期刊: | ECONOMIC MODELLING |
Volume: | 35 |
Issue: | |
起始頁: | 715 |
結束頁: | 721 |
顯示於類別: | 期刊論文 |