The impact of investment lags on investment decision |
| |
| Authors: | Ki Hong Kim Seong Tae Hwang Hyung Sik Oh Deok Joo Lee |
| |
| Institution: | aSeoul National University, Industrial Engineering, San 56-1, Sillim-dong, Gwanak-gu, Seoul 151-742, Republic of Korea;bHana Financial Group Investment Bank Securities Co., Ltd., Derivatives Hedging & Trading Team, 23-3, Yoido-Dong, Youngdeungpo-ku, Seoul 150-010, Republic of Korea;cKyunghee University College of Advanced Engineering, 1, Seocheon-ri, Kihung-eup, Yongin-si, Kyunggi-do 449-701, Republic of Korea |
| |
| Abstract: | This paper suggests a valuation framework for an investment project through the concept of real options. Generally, in real asset world, decision time and its payment time are not identical. This so-called investment lag problem should be considered when valuing real assets. When investment lags exist, firms’ accommodation capacities play important roles. In this paper, the real effect of investment lag on investment value is tested upon various conditions. We show the valuation process of real assets under the risk-neutral world. The closed-form formula is also provided for valuing real assets, including R&D project. |
| |
| Keywords: | Decision analysis Real options Investment lag Risk-neutral world |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
