Using managerial revenue and cost estimates to value early stage real option investments
作者: Sebastian JaimungalYuri Lawryshyn
作者单位: 1University of Toronto
刊名: Annals of Operations Research, 2017, Vol.259 (1-2), pp.173-190
来源数据库: Springer Journal
DOI: 10.1007/s10479-016-2344-8
关键词: Investment analysisReal optionsRisk-neutral valuationCash-flow analysisProject valuation
英文摘要: Real options analysis is widely recognized as a superior method for valuing projects with managerial flexibilities. Yet, its adoption remains limited due to varied difficulties in its implementation. In this work, a real options approach that utilizes managerial cash-flow estimates to value early stage project investments is proposed. Our model is based on the assumption that managers can provide pessimistic, likely and optimistic sales and gross margin percent estimates. A market sector indicator is introduced, which is assumed to be correlated to a tradeable market index, which drives the project’s sales estimates. Another indicator, assumed partially correlated to the sales indicator drives the gross margin percent estimates. In this way a cash-flow process can be modelled that is...
原始语种摘要: Real options analysis is widely recognized as a superior method for valuing projects with managerial flexibilities. Yet, its adoption remains limited due to varied difficulties in its implementation. In this work, a real options approach that utilizes managerial cash-flow estimates to value early stage project investments is proposed. Our model is based on the assumption that managers can provide pessimistic, likely and optimistic sales and gross margin percent estimates. A market sector indicator is introduced, which is assumed to be correlated to a tradeable market index, which drives the project’s sales estimates. Another indicator, assumed partially correlated to the sales indicator drives the gross margin percent estimates. In this way a cash-flow process can be modelled that is...
全文获取路径: Springer  (合作)
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影响因子:1.029 (2012)

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关键词翻译
关键词翻译
  • managerial 经理的
  • option 选择
  • revenue 收入
  • estimates 估值
  • valuation 评价
  • indicator 指示剂
  • market 市场
  • percent 百分率
  • implement 执行
  • sales 销货