景氣循環與策略投資

Abstract

本篇論文結合Regime Switching Model與傳統實質選擇權模型，以雙占市場為例探討成本不對稱廠商面對景氣循環波動且考慮對手策略下，如何評估其計畫價值與最適投資決策。其次，我們探討市場均衡與成本差異對廠商價值的影響。考慮景氣循環之後的新模型可以得到與基本實質選擇權模型一致的良好結果，然而我們發現考慮景氣循環之後，不同景氣階段會造成市場均衡狀態的改變，例如：在景氣擴張時期，高成本廠商更有誘因與低成本廠商搶先投資；在景氣衰退時期，低成本廠商選擇與高成本廠商同時投資以維持穩定獲利。除此之外，考慮景氣循環之後，不同景氣階段下廠商計畫價值差距縮小，且因為市場均衡型態在不同景氣階段間不一樣而造成廠商計劃價值不斷的變動。

This paper studies the real options of asymmetric duopoly firms in Regime Switching Model. At the beginning, we introduce how to evaluate the value of a project or a firm based on rival’s strategy in Regime Switching Model. Second, we discuss the impact of interaction between firms on the market equilibrium. The result of Regime Switching Model is correspondent with the result of the basic real option model. However, we find that in different business phases, not only the market equilibrium, but the firm’s value is affected. In the extension state, the firm with high cost has more incentives to preempt the firm with low cost. In the recession state, the firm with low cost prefers simultaneous investment to have more benefits. Besides, due to the business cycle, the firm’s value in the extension state is closer to the firm’s value in the recession state, and the value of the firm varies with different business phases.