A Bayesian Approach to Real Options: The Case of Distinguishing between Temporary and Permanent Shocks

• 成果类型: Article
• 署名作者: Grenadier, Steven R.; Malenko, Andrey
• 署名单位: Stanford University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01599.x
• 发表日期: 2010
• 页码: 1949-1986
• 关键词: investment; experimentation; uncertainty; time

摘要

Traditional real options models demonstrate the importance of the option to wait due to uncertainty over future shocks to project cash flows. However, there is often another important source of uncertainty: uncertainty over the permanence of past shocks. Adding Bayesian uncertainty over the permanence of past shocks augments the traditional option to wait with an additional option to learn. The implied investment behavior differs significantly from that in standard models. For example, investment may occur at a time of stable or decreasing cash flows, respond sluggishly to cash flow shocks, and depend on the timing of project cash flows.