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The impacts of uncertainties in a real options model under incomplete information

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  • Shibata, Takashi

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  • Shibata, Takashi, 2008. "The impacts of uncertainties in a real options model under incomplete information," European Journal of Operational Research, Elsevier, vol. 187(3), pages 1368-1379, June.
    • Handle: RePEc:eee:ejores:v:187:y:2008:i:3:p:1368-1379
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    References listed on IDEAS

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    1. Thijssen, J.J.J. & van Damme, E.E.C. & Huisman, K.J.M. & Kort, P.M., 2001. "Investment Under Vanishing Uncertainty Due to Information Arriving Over Time," Discussion Paper 2001-14, Tilburg University, Center for Economic Research.
    2. Kristian R. Miltersen & Eduardo S. Schwart, 2004. "R&D Investments with Competitive Interactions," Review of Finance, European Finance Association, vol. 8(3), pages 355-401.
    3. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    4. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    5. Grenadier, Steven R. & Wang, Neng, 2005. "Investment timing, agency, and information," Journal of Financial Economics, Elsevier, vol. 75(3), pages 493-533, March.
    6. Gennotte, Gerard, 1986. "Optimal Portfolio Choice under Incomplete Information," Journal of Finance, American Finance Association, vol. 41(3), pages 733-746, July.
    7. Robert McDonald & Daniel Siegel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 101(4), pages 707-727.
    8. Helen Weeds, 2002. "Strategic Delay in a Real Options Model of R&D Competition," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 69(3), pages 729-747.
    9. 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.
    10. Kristian R. Miltersen & Eduardo S. Schwartz, 2004. "R&D Investments with Competitive Interactions," NBER Working Papers 10258, National Bureau of Economic Research, Inc.
    11. Yihong Xia, 2001. "Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation," Journal of Finance, American Finance Association, vol. 56(1), pages 205-246, February.
    12. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
    13. M. J. Brennan, 1998. "The Role of Learning in Dynamic Portfolio Decisions," Review of Finance, European Finance Association, vol. 1(3), pages 295-306.
    14. Kristian R. Miltersen & Eduardo S. Schwart, 2004. "R&D Investments with Competitive Interactions," Review of Finance, Springer, vol. 8(3), pages 355-401.
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    Cited by:

    1. Shibata, Takashi, 2009. "Investment timing, asymmetric information, and audit structure: A real options framework," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 903-921, April.
    2. Mu, Congming & Yang, Jinqiang & Zhang, Yuhua, 2020. "Investment timing with information-processing constraints," Finance Research Letters, Elsevier, vol. 32(C).
    3. Zhang, Yuhua & Mu, Congming, 2021. "Optimal ownership of entrepreneurial firms with rational inattention," Economics Letters, Elsevier, vol. 209(C).
    4. Podoynitsyna, Ksenia & Song, Michael & van der Bij, Hans & Weggeman, Mathieu, 2013. "Improving new technology venture performance under direct and indirect network externality conditions," Journal of Business Venturing, Elsevier, vol. 28(2), pages 195-210.
    5. Hart E. Posen & Michael J. Leiblein & John S. Chen, 2018. "Toward a behavioral theory of real options: Noisy signals, bias, and learning," Strategic Management Journal, Wiley Blackwell, vol. 39(4), pages 1112-1138, April.
    6. Trigeorgis, Lenos & Tsekrekos, Andrianos E., 2018. "Real Options in Operations Research: A Review," European Journal of Operational Research, Elsevier, vol. 270(1), pages 1-24.
    7. Lukas, Elmar & Reuer, Jeffrey J. & Welling, Andreas, 2012. "Earnouts in mergers and acquisitions: A game-theoretic option pricing approach," European Journal of Operational Research, Elsevier, vol. 223(1), pages 256-263.
    8. Shibata, Takashi & Nishihara, Michi, 2011. "Interactions between investment timing and management effort under asymmetric information: Costs and benefits of privatized firms," European Journal of Operational Research, Elsevier, vol. 215(3), pages 688-696, December.
    9. Delaney, Laura & Thijssen, Jacco J.J., 2015. "The impact of voluntary disclosure on a firm’s investment policy," European Journal of Operational Research, Elsevier, vol. 242(1), pages 232-242.
    10. Zormpas, Dimitrios, 2020. "Investments under vertical relations and agency conflicts: A real options approach," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 273-287.

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