Fear of the Market or Fear of the Competitor? Ambiguity in a Real Options Game
研究了双寡头市场中管理者模糊厌恶对投资决策的影响，发现模糊性会降低先发优势带来的抢占压力，甚至可能提升企业价值。
In “Fear of the Market or Fear of the Competitor? Ambiguity in a Real Options Game”, Tobias Hellmann and Jacco Thijssen study the effects of managerial ambiguity aversion on investment decisions in a duopoly. Ambiguity is over the investment project’s expected growth rate (the “trend”). In their continuous-time model they assume that investment commands a first-mover advantage, which, in equilibrium, leads to pre-emption. They show that ambiguity reduces pre-emptive pressure. As a consequence firm value may be increasing in the degree of ambiguity. They also find that the worst-case prior (under which managers compute firm value) is not always given by the lowest trend, but can switch over time between the lowest and the highest trend. Finally, if one of the firms is not ambiguity averse, then its value is increasing in the other firm’s degree of ambiguity.