The derivation of R&D return indicators within a real options framework
本文在实物期权框架中引入一篮子期权，从股价隐含的风险中性密度函数中提取新型研发回报指标，并用13家美国生物制药公司数据验证，可用于分析投资者对特定企业研发成功的预期。
The purpose of this paper is to rework the building blocks of real option applications and to introduce a basket option framework. We find that the characteristic parameters of the risk neutral density function implied in observed share prices within the real option framework represent a novel category of R&D return indicators. Empirical evidence for a set of 13 US bio‐pharmaceutical companies is provided. The novel R&D return indicator can be used to analyse investor's expectations on R&D success of a particular firm. The implications of this indicator on decision making are mainly based on its information content on technological and market risk of the products under development in a particular firm. A proposal for a potential application of the stability index in innovation research is discussed as well. The study thus is at the interface between innovation research and (empirical) finance.