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A patent race in a real options setting: Investment strategy, valuation, CAPM beta, and return volatility

  • Meng, Rujing
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    File URL: http://www.sciencedirect.com/science/article/B6V85-4RS43GB-1/2/4c277c5751317bb50ee111134cbf8571
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 32 (2008)
    Issue (Month): 10 (October)
    Pages: 3192-3217

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    Handle: RePEc:eee:dyncon:v:32:y:2008:i:10:p:3192-3217
    Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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    1. Jonathan B. Berk, 2004. "Valuation and Return Dynamics of New Ventures," Review of Financial Studies, Society for Financial Studies, vol. 17(1), pages 1-35.
    2. John V. Leahy & Toni M. Whited, 1995. "The Effect of Uncertainty on Investment: Some Stylized Facts," NBER Working Papers 4986, National Bureau of Economic Research, Inc.
    3. Harris, Christopher & Vickers, John, 1985. "Perfect Equilibrium in a Model of a Race," Review of Economic Studies, Wiley Blackwell, vol. 52(2), pages 193-209, April.
    4. Cochrane, John H., 2005. "The risk and return of venture capital," Journal of Financial Economics, Elsevier, vol. 75(1), pages 3-52, January.
    5. Loury, Glenn C, 1979. "Market Structure and Innovation," The Quarterly Journal of Economics, MIT Press, vol. 93(3), pages 395-410, August.
    6. Abel, Andrew B, 1985. "A Stochastic Model of Investment, Marginal q and the Market Value of the Firm," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 305-22, June.
    7. Grenadier, Steven R, 1999. "Information Revelation through Option Exercise," Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 95-129.
    8. Fudenberg, Drew & Gilbert, Richard & Stiglitz, Joseph & Tirole, Jean, 1983. "Preemption, leapfrogging and competition in patent races," European Economic Review, Elsevier, vol. 22(1), pages 3-31, June.
    9. McDonald, Robert & Siegel, Daniel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, MIT Press, vol. 101(4), pages 707-27, November.
    10. Lukach, R. & Kort, P.M. & Plasman, J., 2005. "Optimal R&D investment strategies under the threat of new technology entry," Other publications TiSEM a471503c-0064-4d33-be7f-9, School of Economics and Management.
    11. Lee, Tom & Wilde, Louis L, 1980. "Market Structure and Innovation: A Reformulation," The Quarterly Journal of Economics, MIT Press, vol. 94(2), pages 429-36, March.
    12. Harris, Christopher & Vickers, John, 1987. "Racing with Uncertainty," Review of Economic Studies, Wiley Blackwell, vol. 54(1), pages 1-21, January.
    13. Robert S. Pindyck, 1986. "Irreversible Investment, Capacity Choice, and the Value of the Firm," NBER Working Papers 1980, National Bureau of Economic Research, Inc.
    14. Hartman, Richard, 1972. "The effects of price and cost uncertainty on investment," Journal of Economic Theory, Elsevier, vol. 5(2), pages 258-266, October.
    15. Caballero, Ricardo J & Pindyck, Robert S, 1996. "Uncertainty, Investment, and Industry Evolution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(3), pages 641-62, August.
    16. Abel, Andrew B., 1984. "The effects of uncertainty on investment and the expected long-run capital stock," Journal of Economic Dynamics and Control, Elsevier, vol. 7(1), pages 39-53, February.
    17. Steven R. Grenadier, 2002. "Option Exercise Games: An Application to the Equilibrium Investment Strategies of Firms," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 691-721.
    18. Majd, Saman & Pindyck, Robert S., 1987. "Time to build, option value, and investment decisions," Journal of Financial Economics, Elsevier, vol. 18(1), pages 7-27, March.
    19. Abel, Andrew B, 1983. "Optimal Investment under Uncertainty," American Economic Review, American Economic Association, vol. 73(1), pages 228-33, March.
    20. Roger Craine., 1988. "Risky Business: The Allocation of Capital," Economics Working Papers 8873, University of California at Berkeley.
    21. Kenneth L. Judd, 2003. "Closed-loop equilibrium in a multi-stage innovation race," Economic Theory, Springer, vol. 21(2), pages 673-695, 03.
    22. Lihui Lin & Nalin Kulatilaka, 2007. "Strategic options and firm value," Managerial Finance, Emerald Group Publishing, vol. 33(11), pages 893-903.
    23. Craine, Roger, 1988. "Risky business : The allocation of capital," Journal of Economic Dynamics and Control, Elsevier, vol. 12(1), pages 135-135, March.
    24. Lambrecht, Bart & Perraudin, William, 2003. "Real options and preemption under incomplete information," Journal of Economic Dynamics and Control, Elsevier, vol. 27(4), pages 619-643, February.
    25. Craine, Roger, 1988. "Risky Business: The Allocation of Capital," Department of Economics, Working Paper Series qt5f50z40s, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    26. Robert S. Pindyck, 1992. "Investments of Uncertain Cost," NBER Working Papers 4175, National Bureau of Economic Research, Inc.
    27. Dixit, Avinash K, 1989. "Entry and Exit Decisions under Uncertainty," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 620-38, June.
    28. Nalin Kulatilaka & Enrico C. Perotti, 1998. "Strategic Growth Options," Management Science, INFORMS, vol. 44(8), pages 1021-1031, August.
    29. Robert Novy-Marx, 2007. "An Equilibrium Model of Investment Under Uncertainty," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1461-1502, 2007 29.
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