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1.
《会计师》2016,(8)
本文系统分析了上市公司分拆上市的时机选择与市场反应的关系。首先,介绍分拆上市的三个经典理论:信息不对称假说、资产剥离价值假说和期权理论。随后,基于电能实力分拆港灯上市进行案例分析,同时,辅以另两个采用类似时机选择策略的往年案例加以补充说明分拆效果。最后,得出结论 :在市场高位时进行分拆会带来较为正面的市场反应。  相似文献   

2.
本文以审计师变更时机为切入点,从审计师变更时机选择的时点效应和时期效应新视角出发,研究了两种情形下产生的效应。研究发现,在时机选择的时点效应中,当变更时机发生在"峰"点,市场对变更公司的财务信息可信度增强;相反,当出现在"谷"点时,可信度降低。在时期效应下,当在上市后3年内就发生变更的早期变更现象,市场对财务信息可信度降低。最后为监管部门提出了有关政策建议及启示。  相似文献   

3.
产品的设计创新已经成为企业培养和维持核心竞争优势的关键。已有文献较少基于经济管理的视角来探讨不确定条件下企业设计创新所具有的实物期权特性,且传统的 DCF 无法对管理决策柔性做出科学的评价。为此,根据实物期权理论,构建企业设计创新的投资时机模型,并利用案例证明该模型的科学性和可行性。结果表明,企业在 DCF 分析的同时,应充分考虑企业设计创新的投资期权价值,把握最佳投资时机,实现科学决策。  相似文献   

4.
朱庆瑛 《金卡工程》2008,12(8):64-65
通过比较实物期权与金融期权的不同,特别指出实物投资机会的非独占性,非独占性的存在意味着存在对投资机会的争夺以及投资后对市场的竞争,通过一个案例分析期权博弈的应用,进一步分析了信息是否完全情况下的投资分析方法  相似文献   

5.
可再生能源电力投资决策不仅受到技术、成本、政策等不确定因素的影响,也受到同一电力市场中各种竞争关系的影响。基于可再生能源电力投资环境特征及可再生能源电力产品固有特点,本文分别构建完全垄断、双寡头技术对称、双寡头技术非对称三种情形下的可再生能源电力投资的期权博弈模型,通过对模型的经济学解释和评价,进一步指明可再生能源电力投资期权博弈模型的拓展范围和途径。  相似文献   

6.
<正>一、完全信息下旅行社选择问题博弈模型1.博弈模型的假设条件(1)旅客选择旅行社行为的部分假设:a.假定旅客对旅行社的旅游产品的认识是充分的,一旦发现旅行社说谎可以让旅行社付出很大成本;b.旅客做出选择是自愿和不受外界干扰的;c.旅客在选择旅行社时有科学和规范的程序及方法;d.旅客在评价旅行社时是公正、公平的。(2)旅客选择旅行社的双方都是外部旅  相似文献   

7.
金融监管在金融产品创新活动中有着重要影响。本文通过建立一个监管者和创新者之间的博弈模型,研究了监管时滞与金融产品创新时机选择的关系,试图说明监管时滞对创新者的决策行为确实会产生影响,其影响的好坏在于监管的直接成本和机会成本。由于现实存在的监管滞后等问题,严重制约了我国金融业创新的发展。因此,必须加强金融监管的创新,提高金融监管效率。  相似文献   

8.
高新技术企业的价值创造必须以研发活动为基石,但研发投资具有高风险性的特征,因而受到抑制.本文在分析抑制高新技术企业研发投资的关键因素的基础上,构建了研发投资价值的期权博弈模型.对于研发企业而言,研发投资改变了收益的风险与时间分布,影响其期望效用,最终陷入研发投资困境,但两阶段研发期权博弈均衡价值及其计算表明,研发投资是值得的,技术越具有不确定性,或者未来市场需求变差越大,期权价值就越高.为实现高新技术企业研发投资价值,应激励高新技术企业进行研发活动,加大高新技术企业研发投资力度,规范高新技术企业研发信息披露.  相似文献   

9.
本文首先分析了保险市场上由于信息非对称性产生的道德风险和逆向选择问题;然后根据保险合同定价的博弈与期权特征,构建了保险合同定价的期权博弈分析框架;最后利用该框架分析了非对称性信息条件下的初次保险的最优策略行为和再次分保的最优再保险策略行为。  相似文献   

10.
本文结合BS期权定价模型和完全信息下的动态博弈理论,构建出基于期权动态博弈理论的一层超额损失再保险的定价模型,该模型既考虑了保险资金的时间价值和风险价值,又结合了动态博弈模型的局中人策略行为分析过程的优势,更好地、更准确地还原了再保险合同签订时合同双方的决策考虑。同时,将这种复杂动态金融条件下的决策求解进行了较大程度的简化,帮助我们在原有的再保险定价模型的基础上发展出对跨领域的思考。  相似文献   

11.
This paper examines the effect of uncertainty on investment timing in a game theoretic real option model. We extend the settings of the related recent literature on investment timing under uncertainty by a more general assumption, i.e. the investment is also influenced by the actions of a second player. The results show that a U-shaped investment–uncertainty relationship generally sustains even for infinite-lived investment projects and proper defined cash flows. However, timing of an investment occurs inefficiently late. Moreover, we show that the influence of uncertainty on the associated first-mover advantage becomes ambiguous, too.  相似文献   

12.
This paper applies a model in the real options framework to analyze the impacts of controlling shareholder’s share pledging on corporate investment timing and valuation. We find that the optimal investment timing shows an inverted U-shape with the pledge ratio, indicating that share pledging exacerbates firms’ over-investment and worsens firms’ under-investment. Furthermore, share pledging hurts firms’ option value unless active measures are taken to control the pledging risks. The maintenance requirement can keep controlling shareholder from irrational early investments and protect investors from severe wealth losses. In addition, our work can provide testable empirical implications.  相似文献   

13.
In this paper, the optimal timing for investing in high-speed rail projects under uncertainty in relation to the utility provided to railway users was investigated. To accomplish this, a continuous time real options analysis framework using a stochastic demand model was developed to determine the optimal time to invest. Uncertainty upon investment expenditures was also added in an extended framework. The value of the option to defer and the investment opportunity value were also assessed.  相似文献   

14.
OPTION EXERCISE GAMES: THE INTERSECTION OF REAL OPTIONS AND GAME THEORY   总被引:1,自引:0,他引:1  
While the real options approach has proven useful in providing an analytical framework for analyzing the timing of investment decisions, a notable failure of the approach has been an almost complete lack of strategic considerations. In standard real options models, invest-ment (and exercise) strategies are for-mulated in isolation, without considering the potential impact of other firms' exercise strategies. This paper illustrates how the intersection of real options and game theory provides powerful new insights into the behavior of economic agents under uncertainty.
Introducing strategic considerations into the real options framework can lead to a rethinking of standard real option analysis. For example, one of-ten cited conclusion of the real options literature is the overturning of the standard capital budgeting rule of in-vesting immediately in any project with a positive NPV. Because the fu-ture value of the asset is uncertain, there may be significant benefits to deferring the investment until condi-tions prove even more favorable. But this result clearly depends on the lack of competitive access to the project. If firms fear preemption, then the option to wait becomes less valuable. For example, while the standard real op-tions models suggest that a real estate developer should wait until the devel-opment option is considerably "in the money," competition and the fear of preemption will likely force develop-ers to build much earlier.  相似文献   

15.
This paper provides a model of investment timing by managers in a decentralized firm in the presence of agency conflicts and information asymmetries. When investment decisions are delegated to managers, contracts must be designed to provide incentives for managers to both extend effort and truthfully reveal private information. Using a real options approach, we show that an underlying option to invest can be decomposed into two components: a manager's option and an owner's option. The implied investment behavior differs significantly from that of the first-best no-agency solution. In particular, greater inertia occurs in investment, as the model predicts that the manager will have a more valuable option to wait than the owner.  相似文献   

16.
Abstract:  We apply a recent nonparametric methodology to test the market timing skills of UK equity and balanced mutual funds. The methodology has a number of advantages over the widely used regression based tests of Treynor-Mazuy (1966) and Henriksson-Merton (1981) . We find a relatively small number of funds (around 1%) demonstrate positive market timing ability at a 5% significance level while around 19% of funds exhibit negative timing and on average funds miss-time the market. However, controlling for publicly available information we find very little evidence of market timing ability based on private timing signals. In terms of investment styles, there are a small number of successful positive market timers amongst Equity Income and 'All Company' funds but not among either Small Stock funds or Balanced funds, although a few small stock funds are found to time a small stock index rather than a broad market index.  相似文献   

17.
This paper describes situations in which tax liabilities assume the form of a negative position in a call option. This structure motivates an examination of the investment decisions of taxed corporations in the presence of risk. It is shown that the structure of the tax liability creates an incentive to underinvest in more risky projects and an incentive for conglomerate merger. These effects are then evaluated in the presence of conflicts of interest between stockholders and bondholders, and under alternative assumptions about the tax code, and about the timing of investment and financing decisions.  相似文献   

18.
Recent Nobel Prizes to Akerlof, Spence, and Stiglitz motivate this review of basic concepts and empirical evidence on information asymmetry and the choice of debt vs. equity. We first review the literature that holds investment fixed. Then we review capital structure issues related to the adverse investment selection problem of Myers–Majluf. Finally, we discuss the timing hypothesis of capital structure. Empirical studies do not consistently support one theory of capital structure under information asymmetry over the others. Thus, the review suggests that additional theoretical contributions are needed to help understand and explain findings in the empirical literature.  相似文献   

19.
This paper investigates how an abandonment option influences the optimal timing of information in a sequential adverse selection capital budgeting model. While the divisional manager has imperfect private pre-contract information, headquarters can time whether the manager obtains perfect project information before (timely information) or after (delayed information) the contract is signed. In the absence of the abandonment option, headquarters favors timely (delayed) information if the investment costs are high (low). The presence of the abandonment option favors delayed information because under the timely information regime the value of the abandonment option is zero, whereas under the delayed information regime the value of the option is positive.  相似文献   

20.
We consider the irreversible investment in a project which generates a cash flow following a double exponential jump-diffusion process and its expected return is governed by a continuous-time two-state Markov chain. If the expected return is observable, we present explicit expressions for the pricing and timing of the option to invest. With partial information, i.e. if the expected return is unobservable, we provide an explicit project value and an integral-differential equation for the pricing and timing of the option. We provide a method to measure the information value, i.e. the difference between the option values under the two different cases. We present numerical solutions by finite difference methods. By numerical analysis, we find that: (i) the higher the jump intensity, the later the option to invest is exercised, but its effect on the option value is ambiguous; (ii) the option value increases with the belief in a boom economy; (iii) if investors are more uncertain about the economic environment, information is more valuable; (iv) the more likely the transition from boom to recession, the lower the value of the option; (v) the bigger the dispersion of the expected return, the higher the information value; (vi) a higher cash flow volatility induces a lower information value.  相似文献   

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