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来源类型Working Paper
规范类型报告
DOI10.3386/w30150
来源IDWorking Paper 30150
Strategic Real Option Exercising and Second-mover Advantage
Min Dai; Zhaoli Jiang; Neng Wang
发表日期2022-06-13
出版年2022
语种英语
摘要Many business opportunities feature second-mover advantages as there are often positive spillovers and externalities from early entrants to followers. We develop a tractable stochastic duopoly entry game with a second-mover advantage. We show that firms engage in a war-of-attrition game with the hope of becoming the follower, resulting in excessively delayed entry opposite to the predictions that competition causes firms to equalize rents (Fudenberg and Tirole, 1985) by exercising their entry options too soon (Grenadier, 1996). We obtain closed-form value functions and entry strategies for both mixed-strategy and pure-strategy equilibria. We develop a separation principle that a.) decomposes the duopoly game into a monopolist's problem and a generalized war-of-attrition game with stochastic payoffs; and b.) connects the mixed- strategy and pure-strategy equilibria. Quantitatively, our model predicts substantial option value erosion caused by inefficiently delayed firm entry.
主题Macroeconomics ; Consumption and Investment ; Financial Economics ; Financial Markets ; Corporate Finance
URLhttps://www.nber.org/papers/w30150
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/587822
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Min Dai,Zhaoli Jiang,Neng Wang. Strategic Real Option Exercising and Second-mover Advantage. 2022.
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