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:Valuation of Investment on a Firm with Trade Credit under Uncertainty: A Real Options Approach
學年99
學期2
出版(發表)日期2011/06/01
作品名稱Valuation of Investment on a Firm with Trade Credit under Uncertainty: A Real Options Approach
作品名稱(其他語言)
著者Chen, po-yuan; Chang, Horng-jinh; Jiang, I-ming
單位淡江大學管理科學學系
出版者Lagos: Academic Journals
著錄名稱、卷期、頁數African Journal of Business Management 5(12), pp.4916-4933
摘要This paper intends to propose a corporate valuation framework by incorporating both the stochastic product price and the stochastic interest rate in a delay payment context. By using Ito-Isometry theorem, we derived the analytical solution for corporate value, based on which sensitivity analyses and further simulations for the real option value are performed. Some critical factors were considered in the sensitivity analysis of corporate value: the drift and the volatility in the price and in the interest rate
processes, the price elasticity of demand, the cost rate, the market share, as well as the length of time period for delay payments. To valuate an opportunity of investment on a firm with trade credit under uncertainty, a real options model was employed. The simulation results for the real option value indicated that increasing demand elasticity, market share, number of time periods for delay payments, interest rate drift, price volatility, and interest rate volatility all contribute to increasing real option value, whereas the increasing cost rate and price drift lead to the decreasing real option value as expected.
關鍵字Trade credit;stochastic price;stochastic interest rate;real option.
語言英文
ISSN1993-8233
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Chen, po-yuan
審稿制度
國別奈及利亞
公開徵稿
出版型式電子版;紙本;
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