Risk Premia and Preemption in R&D Ventures
分析竞争如何影响多阶段专利竞赛中研发项目的风险溢价，发现竞争会侵蚀项目暂停的期权价值、缩短研发完成时间、降低失败率，并导致更高且更波动的风险溢价。
Abstract I analyze the impact of competition on the risk premia of R&D ventures engaged in a multiple-stage patent race with technical and market uncertainty. After solving in closed form for the case of a two-stage race in continuous time, I show that a firm's risk premium decreases as a consequence of technical progress and increases when a rival pulls ahead. Compared to the case where firms collude, R&D competition erodes the option value to mothball a project, reduces the completion time and the failure rate of R&D, and causes higher and more volatile risk premia. Numerical simulations reveal that competition can generate risk premia up to 500 annual basis points higher and up to three times more volatility than in a collusive industry.