竞争条件下企业战略投资时机的实物期权分析  

Real option analysis on the strategic investment opportunity of competing firms

作　　者：张运生[1] 曾德明[1] 张利飞[1] 

机构地区：[1]湖南大学工商管理学院,长沙410082

出　　处：《管理科学学报》2008年第4期30-37,共8页Journal of Management Sciences in China

基　　金：教育部高校博士点基金资助项目(20040532001)

摘　　要：在企业战略投资机会可共享可延迟情况下,引入投资成本、未来投资收益率及其波动率、投资延迟损失率、竞争企业之间的相关度等比较容易估算的假设变量,构建实物期权分析框架,量化分析企业战略投资的相对收益率区间、投资时间、投资的两阶段博弈概率.通过模型推导与数值分析,检验各假设变量的变化对投资时机的影响.最后,运用我国二家上市公司战略投资决策的实例验证了模型的实用性与有效性.By introducing investment cost, future operating profitability and its volatility, investment delay loss rate and the correlation coefficient of competing firms when the strategic investment opportunities of competing firms can be shared and delayed, this paper develops a real option analytical frame and analyzes the relative investment profitability interval, investment time and two-stage game probability based on Shackleton-Tsekre. kos-Wojakowski model. Moreover, the supposed variables＇ impacts on the model are examined numerically. In an application of the model to the strategic investment decisions of two competing listed companies in the su- per magnificent large hotel industry in Changsha Hunan, this paper finds that AIR Hotel＇ s optimal response to FILM＆TV＇ s launch of the super magnificent garden large hotel is to accommodate entry and supplement its current service line, as opposed to the riskier alternative of committing to the development of a corresponding super magnificent large hotel. The empirical research has proved that results of the model are actual and credible.

关 键 词：投资时机 战略投资 S-T—W模型 实物期权 

分 类 号：F830[经济管理—金融学]