The Contingent‐Claims Approach to Investment Decisions*
提出一种或有债权方法，用于评估资本支出分阶段进行的项目，该方法考虑了企业可根据新信息选择继续或放弃项目的灵活性，而传统资本预算方法因忽略这种期权性质会低估项目价值。
ABSTRACT This paper presents a contingent‐claims approach to project valuation when capital expenditures are made sequentially over time. It focuses on an important facet of sequential investment projects that the firm can undertake—or pass up projects—as more information becomes available. The contingent‐claims approach takes account of this important feature of firms' investment decision process, whereas the traditional capital budgeting procedure does not. Since the traditional method does not reflect the options nature of investment opportunities, it underestimates the value of sequential investment projects. As a result, a naive implementation of the traditional capital budgeting procedure could result in rejecting profitable projects. The extent of undervaluation associated with the traditional capital budgeting procedure is greater when the correlation between the random component of the future asset value and that of the required capital expenditure is smaller and/or when the growth rate of the required capital expenditure is higher.