【作者】 潘强；

【导师】 曹国华；

【作者基本信息】 重庆大学 ， 金融学， 2006， 硕士

【摘要】 技术创新是企业核心竞争力的主要来源,是国家经济增长的根本动力。它的成功与否关乎企业能否在激烈的市场竞争中占有优势地位。技术创新包括技术采纳和技术提供(研发)两个相互作用的方面,两方面的投资决策均涉及大量的不确定因素,这些不确定性赋予企业诸多动态的决策灵活性。经典的投资决策方法如NPV方法由于未能考虑技术创新投资所具有的一系列决策灵活性的价值,不能对技术创新投资做出科学的分析和估价。实物期权方法考虑了企业决策灵活性的价值,但是却没有考虑到竞争对手的反映,企业面临竞争对手的威胁时,可能以损失自己投资价值来改变投资策略,因此实物期权方法也不能完整评估技术创新投资决策。实物期权博弈分析方法将实物期权定价理论和博弈论很好地结合起来,既考虑投资决策的灵活性,又考虑了竞争对手的反应,从而为企业技术创新投资决策提供更为科学的投资决策分析方法和估价模型。本文在对技术创新投资研究综述的基础上,首先对技术创新投资决策方法进行了比较分析,然后在不确定性条件下的企业投资期权博弈模型的基础上,引入技术创新项目建设期变量,建立了建设期的企业技术创新投资期权博弈模型,并在此基础上得到了抢先、共谋和同时投资策略均衡,进一步,本文采用计算机仿真手段,分了投资策略影响因素。分析表明,与投资成本一样,随着技术创新项目建设期和投资成本的增加,企业的技术创新投资临界值也相应增加,但是对投资策略均衡却没有影响。技术创新产品市场需求的不确定性使技术创新投资企业具有等待的决策灵活性投资价值,从而提高了企业投资的临界。但是在不完全竞争环境下,企业要根据竞争对手的反应,从而抢先投资或者等待追随投资。本文研究表明,与经济直观相反,技术创新建设期和投资成本对技术创新重复投资倾向没有影响。技术创新产品市场需求的不确定性波动加剧了企业提前执行投资期权的行为,是引起企业技术创新重复投资的主要因素。模型预测了产品需求波动提高了重复研发投资的可能性,暗示了更具需求波动性的产品地域和产品类型市场更倾向于引发重复集中投资,表明了经济多样性的产业比单一经济性的产业更不易引发重复投资。更多还原

【Abstract】 Firms’core competition capacity mainly derives from their technological innovation, which is motivity of growth of national economy. Whether technological innovation succeeds or not determines the advantageous status of a firm in furious market competition. Technological innovations are composed of adopting and providing(R&D) technologies,which are two interactive aspects. There always exist a lot of uncertain factors in the investment decisions of two aspects. These uncertainties entitle firms a lot of dynamic managerial flexibility. Because a series of value of managerial flexibility of technological innovation investment are not considered by the classical investment evaluating approaches(NPV method),these traditional approaches can’t make scientific appraisal of the investments of technological innovations. On the other hand,the real option method considers the value of the decision flexibility,but ignores reactions of competitors. When confronting rivals, firms are inclined to losing their investment value in order to change their strategies. Therefore real option method also can’t evaluate investment decision of technological innovation fully. By comparison, real option game approach can make good combination of real option pricing theory and game theory. It can not only take the managerial flexibility of investment into consideration, but also pay attention to reactions of rivals. Thus,it can offer more scientific analytical approach and evaluation model for technological innovation investment of firms.On the base of survey of research on the investment strategy of technological innovation of firms option, this article makes a compare analysis of investment decision method, then models real option-game model of firms’technological innovation investment based time-to-build, obtains preemption, collusion and simultaneous investment strategy equilibriums, and analyses the factors which have an effect on the investment strategy. As the time-to-build and cost increasing, the value of firm’s decrease and investment thresholds increase, because of the effect of market demand volatility, firms have flexibility value of investment to wait and increase threshold to invest. But in duopoly competition, firms invest to preempt or invest to follow.Unlike economic intuition, time-to-build and investment cost of technology innovation have no effect on investment cascades, market demand volatility quicken to invest ahead, and heighten the likelihood of investment cascades. The research implies更多还原