| 基于连续型实物期权与专利竞赛模型的创业投资策略研究 |
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| 引用本文： | 房四海,范为,曾勇,谭人友. 基于连续型实物期权与专利竞赛模型的创业投资策略研究[J]. 管理学报, 2011, 8(6): 929-937 |
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| 作者姓名： | 房四海 范为 曾勇 谭人友 |
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| 作者单位： | 电子科技大学经济与管理学院 |
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| 基金项目： | 国家自然科学基金资助项目(70673008) |
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| 摘 要： | 使用连续型实物期权方法建立了一个双头专利竞赛模型,研究了创业资本控制的创业企业的金融性质。数值分析表明,相对于联合垄断,专利竞赛会促使竞争企业更主动地投资,从而导致价值耗散、更高的CAPMβ系数和收益波动率,以及当竞争激烈时竞争者之间更大的收益负相关性。创业企业的年收益波动率超过100%,其原因主要归结于技术风险,这也与以往的实证结果相吻合,从而为从产业组织视角构建创业投资组合提供理论基础。
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| 关 键 词： | 战略实物期权 专利竞赛 创业投资组合 投资策略 |
VC Investment Strategy Based on the Continuous-Time Real-Options Methodology and Patent-Race Model |
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| FANG Sihai,FAN Wei,ZENG Yong,TAN Renyou. VC Investment Strategy Based on the Continuous-Time Real-Options Methodology and Patent-Race Model[J]. Chinese JOurnal of Management, 2011, 8(6): 929-937 |
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| Authors: | FANG Sihai FAN Wei ZENG Yong TAN Renyou |
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| Affiliation: | FANG Sihai FAN Wei ZENG Yong TAN Renyou(University of Electronic Science and Technology of China,Chengdu,China) |
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| Abstract: | This paper uses a continuous-time real-options methodology to develop duopoly patent-race model to study financial properties of venture-capital backed start-ups.Numerical analysis shows that patent races,compared with a joint monopoly,drive a firm to invest more aggressively,which thus causes value dissipation,a higher CAPM beta,a higher return volatility and more negative return correlation when firms intensively compete with others.This high level of return volatility is attributed largely to technologic... |
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| Keywords: | strategic real options patent race venture capital portfolio investment strategy |
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