Valuation Model of Growth Companies Based on Real Option and Its Empirical Investigation

摘要：

Discounted cash flow is the main tool for valuing projects and companies, and Real options techniques can augment valuation. We apply real option theory and capital-budgeting techniques to the problem of valuing a growth company. This paper simulates the case companys value based on a revised Schwartz and Moon valuation model, and at last analyzes key drivers of improving its value. We formulate the simplified model in continuous time, estimate its parameters, and solve the model by an empirical investigation. Perhaps more importantly, this paper offers insights into the practical implementation the model in our country. An important challenge to implementing the original model was estimating the various parameters. Here, this paper improve the procedure by setting the speed of adjustment parameters equal to one another, and by inferring the risk-adjustment parameter from the observed beta of the companys stock price.

关键词： Company valuation Empirical study Real options Uncertainty

作者: XU Shuqin

作者单位: Institute of Finance and Management,Harbin College,P.R.China,150086

会议类型: 国际会议

会议名称: 2009 International Conference on Management Science and Engineering(2009管理科学与工程国际会议)

会议地点: 北京

会议语种:英文

页码: 269-277

在线出版日期: 2009-11-01（万方平台首次上网日期，不代表论文的发表时间）