實質選擇權、財務限制與先佔投資

Abstract

此二年期計畫嘗試分析在一個雙佔市場下，不對稱投資成本與財務限制對企業最適實質 選擇權投資決策之影響。我們將建立並輔以實證分析一個實質選擇權先佔賽局模型，其 中二家公司之最適投資決策與其財務能力、投資成本、公司規模大小以及在投資擇時賽 局中之角色(領先者或跟隨者)息息相關。此模型可用以探討下列議題：(1)二家公司之相 對財務能力與投資成本如何影響其在投資擇時賽局中之角色；(2)競爭對手之融資限制與 投資成本如何影響公司之最適投資決策與實質選擇權價值；(3)當存在一個競爭對手時， 著名的企業投資決策與其內部資金之非單調關係(U 型或V 型)是否仍然成立；(4)觀望實 質選擇權(亦即當面臨高度不確定性時延遲投資)是否仍然是一個正確之經驗法則。根據 本模型，此計畫將探討下述實證議題：(1)現金持有、財務限制與投資，例如Denis and Sibilkov (2009)；(2)競爭、財務限制與投資，例如Haushalter et al. (2008)；(3)現金持有、 競爭與財務限制，例如Fresard (2010)；(4)競爭、不確定性與投資，例如Bulan et al. (2009)。

This two-year project attempts to analyze the impacts of asymmetric investment costs and financial constraints on firms’ optimal real option investment decisions in a duopoly. We will develop and empirically test a real options preemption game model where the optimal investment strategies of the two firms are relevant to their financial strengths, investment costs, firm sizes and roles in the game (leader or follower). The model could be possibly employed to examine (1) how the two firms’ relative financial strengths and investment costs affect their role in an investment timing game; (2) how the rival’s financial constraints and investment costs influence the firm’s optimal investment decision and real option value; (3) whether the well-known non-monotonic (U-shaped or V-shaped) relation between a firm’s investment strategy and its internal funds still holds when there exists a potential competitor; and (4) whether the rule-of-thumb of wait-and-see real options (i.e., deferring investment when facing high uncertainty) is still correct. Based on the model, we are planning to investigate the following empirical topics: (1) cash holdings, financial constraints and investment, e.g., Denis and Sibilkov (2009); (2) competition, financial constraints and investment, e.g., Haushalter et al. (2008); (3) cash holdings, competition and financial constraints, e.g., Fresard (2010); (4) competition, uncertainty and investment, e.g., Bulan et al. (2009).