教師資料查詢 | 類別: 期刊論文 | 教師: 張紘炬 Horng-jinh Chang (瀏覽個人網頁)

標題:Decision support for foreign investment strategy under hybrid uncertainty
學年100
學期2
出版(發表)日期2012/03/01
作品名稱Decision support for foreign investment strategy under hybrid uncertainty
作品名稱(其他語言)
著者Chen, Po-yuan; Chang, Horng-jinh
單位淡江大學管理科學學系
出版者Kidlington: Pergamon
著錄名稱、卷期、頁數Expert Systems with Applications 39(4), pp.4582–4589
摘要Empirical evidences show that Japan-based companies moved their major operations to the USA due to the currency appreciation of Japanese Yen in 1980s. However, the multinational firms moving their operations abroad still face both the risk of foreign price and the risk of foreign exchange rate. According to the purchasing power parity (PPP) and interest rate parity (IRP), the foreign exchange rate has associations with the relative price and the relative interest rate between two countries. Therefore, when the price and the interest rate evolve stochastically as proposed by many scholars, we can anticipate the randomness of the foreign exchange rate. By integrating these three sources of risks as a hybrid uncertainty, we propose a framework for corporate valuation and investment strategy. We analytically derive corporate value for those multinationals in question and then numerically obtain the real option value by Monte Carlo simulations, based on which we investigate the optimal entry strategy. The sensitivity for corporate value, optimal entry time, and real option value are analyzed. The results suggest a decision support process for foreign investment timing strategy under the hybrid uncertainty. The managerial implication of this work is that the optimal investment strategy for the multinational firms with foreign operations depends on some market and risk factors, as well as correlations among them.
關鍵字Decision support; Foreign investment; Hybrid uncertainty
語言英文
ISSN0957-4174
期刊性質國外
收錄於SSCI;
產學合作
通訊作者
審稿制度
國別英國
公開徵稿
出版型式紙本;
相關連結
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