Investor valuation of the abandonment option
检验投资者是否将企业资产的清算价值作为放弃期权进行定价，发现清算价值越高、资产通用性越强，企业价值越大。
We investigate whether investors price the option to abandon the firm for its liquidation value. Theory prices this real option as an American put with both a stochastic strike price (liquidation value) and a stochastic value of the underlying security (the value of cash flows). The major empirical implications are that firm value increases in liquidation value, after controlling for expected going-concern cash flows, and that more generalizable assets produce more abandonment option value. Using discounted earnings forecasts to proxy for expected cash flows, and relying on prior literature to categorize asset generalizability, we find strong support for abandonment option theory's predictions. 1. Introduction We investigate whether investors use information about the liquidation prices of the firm's assets to value their option to abandon the continuing business in exchange for the assets' liquidation value. As uncertainty about future cash flows is resolved, investors may wish to e...