TY - JOUR
T1 - Revisiting corporate growth options in the presence of state-dependent cashflow risk
AU - Sbuelz, Alessandro
AU - Caliari, Marco
PY - 2012
Y1 - 2012
N2 - Given a non-trivial market price of risk, we study the impact of state-dependent cashflow risk on the optimal investment policy and on the ensuing value of an unlevered firm that holds the option of scaling up cashflows from its assets in place upon incurring an irreversible cost. The firm’s investment decision and value are studied as a function of the market price of risk and of the degree of state dependence in cashflow risk.
AB - Given a non-trivial market price of risk, we study the impact of state-dependent cashflow risk on the optimal investment policy and on the ensuing value of an unlevered firm that holds the option of scaling up cashflows from its assets in place upon incurring an irreversible cost. The firm’s investment decision and value are studied as a function of the market price of risk and of the degree of state dependence in cashflow risk.
KW - Corporate growth options
KW - Market price of risk
KW - State-dependent risk
KW - Stock pricing
KW - Corporate growth options
KW - Market price of risk
KW - State-dependent risk
KW - Stock pricing
UR - http://hdl.handle.net/10807/22673
UR - http://www.sciencedirect.com/science/article/pii/s0377221711009003
U2 - 10.1016/j.ejor.2011.10.003
DO - 10.1016/j.ejor.2011.10.003
M3 - Article
SN - 0377-2217
VL - 220
SP - 286
EP - 294
JO - European Journal of Operational Research
JF - European Journal of Operational Research
ER -