Investor valuation of the abandonment option

• 成果类型: Article
• 署名作者: Berger, PG; Ofek, E; Swary, I
• 署名单位: New York University; University of Pennsylvania; Tel Aviv University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(96)00877-X
• 发表日期: 1996
• 页码: 257-287
• 关键词: abandonment option; EXIT; valuation; asset structure; EARNINGS FORECASTS

摘要

We investigate whether investors price the option to abandon a firm at its exit value. Theory prices this real option as an American put with both a stochastic strike price (exit value) and a stochastic value of the underlying security (the value of cash flows). The empirical implications are that firm value increases in exit value, after controlling for expected going-concern cash flows, and that more generalizable assets produce more abandonment option value. Using discounted earnings forecasts to proxy for expected cash flows and prior literature to categorize asset generalizability, we find strong support for the predictions of abandonment option theory.