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


文件中的檔案:

  1. 000329532100087.pdf