Real Options, Product Market Competition, and Asset Returns

• 成果类型: Article
• 署名作者: Aguerrevere, Felipe L.
• 署名单位: University of Alberta
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01454.x
• 发表日期: 2009
• 页码: 957-983
• 关键词: EQUILIBRIUM INVESTMENT STRATEGIES; cross-section

摘要

We study how competition in the product market affects the link between firms' real investment decisions and their asset return dynamics. In our model, assets in place and growth options have different sensitivities to market wide uncertainty. The strategic behavior of market participants influences the relative importance of these components of firm value. We show that the relationship between the degree of competition and assets' expected rates of return varies with product market demand. When demand is low, firms in more competitive industries earn higher returns, whereas when demand is high firms in more concentrated industries earn higher returns.