Real Option Exercise: Empirical Evidence
利用项目级投资数据，研究发现企业执行实物期权的概率与同行企业的执行行为密切相关，其重要性不亚于波动率等传统因素，且信息外部性是关键驱动机制。
Abstract We study when and why firms exercise real options. Using detailed project-level investment data, we find that the likelihood that a firm exercises a real option is strongly related to peer exercise behavior. Peer exercise decisions are as important in explaining exercise behavior as variables commonly associated with standard real option theories, such as volatility. We identify peer effects using localized exogenous variation in peer project exercise decisions and find evidence consistent with information externalities being important for exercise behavior.