标题: | 景气循环与策略投资 Business Cycle and Strategic Investment |
作者: | 张家源 Chang, Chia-Yuan 黄星华 Huang, Hsing-Hua 财务金融研究所 |
关键字: | 双占市场;景气循环;实质选择权;策略投资;抢先均衡;Asymmetric Duopoly;Regime Switching Model;Preemption |
公开日期: | 2010 |
摘要: | 本篇论文结合Regime Switching Model与传统实质选择权模型,以双占市场为例探讨成本不对称厂商面对景气循环波动且考虑对手策略下,如何评估其计画价值与最适投资决策。其次,我们探讨市场均衡与成本差异对厂商价值的影响。考虑景气循环之后的新模型可以得到与基本实质选择权模型一致的良好结果,然而我们发现考虑景气循环之后,不同景气阶段会造成市场均衡状态的改变,例如:在景气扩张时期,高成本厂商更有诱因与低成本厂商抢先投资;在景气衰退时期,低成本厂商选择与高成本厂商同时投资以维持稳定获利。除此之外,考虑景气循环之后,不同景气阶段下厂商计画价值差距缩小,且因为市场均衡型态在不同景气阶段间不一样而造成厂商计划价值不断的变动。 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. |
URI: | http://140.113.39.130/cdrfb3/record/nctu/#GT079839517 http://hdl.handle.net/11536/48094 |
显示于类别: | Thesis |