Laboratory Evidence on How Managers Intuitively Value Real Growth Options
82位经验丰富的管理者在案例实验中评估实物期权，结果发现其估值普遍偏高且不稳定，但对期权属性变化的反应方向基本正确；石油行业管理者估值偏差最小，啤酒行业最大。
We asked 82 experienced managers to value, in effect, a set of real options, by taking decisions on invented case studies. The classic Black Scholes model should set an upper bound for rational valuations of these options (since it assumes a risk neutral discount rate, which may be optimistic). The managers valued their options erratically, and generally optimistically, though their responses to changes in moneyness, volatility and maturity tended to be in the ‘correct’ directions. Oil industry managers over‐valued least, relative to Black‐Scholes, and Brewery managers most. Questionnaires explored managers' perceptions of the real option parameters encountered in their workplaces.