A Patent Race in a Real Options Setting: Investment Strategy, Valuation, CAPM Beta and Return Volatility

摘要：

This paper studies financial properties of venture-capital backed start-ups through a continuous-time real-options patent-race model. Numerical analysis shows that patent races, relative to a joint monopoly, cause over-investment, value-dissipation, a higher CAPM beta, a higher return volatility and more negative return correlation when firms intensively compete. A firm’s CAPM beta is a complicated non-linear function of its position relative to its competitor. The magnitude of annualized return volatilities of start-ups can be in excess of 100％. This high level of return volatility is mainly attributed to technological risks and is consistent with empirical findings by Cochrane 2004.

作者: Rujing Meng

作者单位: University of Hong Kong

会议类型: 国际会议

会议名称: 2005年中国国际金融年会

会议地点: 昆明

会议语种:英文

在线出版日期: 2005-07-05（万方平台首次上网日期，不代表论文的发表时间）