Real Option Exercise: Empirical Evidence

• 成果类型: Article
• 署名作者: Decaire, Paul H.; Gilje, Erik P.; Taillard, Jerome P.
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; Babson College
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz092
• 发表日期: 2020
• 页码: 3250
• 关键词: investment; exploration; uncertainty; MODEL

摘要

We study when and why firms exercise real options. Using detailed project-level investment data, we find that the likelihood that a firm exercises a real option is strongly related to peer exercise behavior. Peer exercise decisions are as important in explaining exercise behavior as variables commonly associated with standard real option theories, such as volatility. We identify peer effects using localized exogenous variation in peer project exercise decisions and find evidence consistent with information externalities being important for exercise behavior.