Valuation and Return Dynamics of New Ventures
构建了一个多阶段投资项目的动态模型，捕捉研发项目和初创公司的特征，分析技术不确定性与系统性风险如何共同决定新创企业的价值和风险溢价。
A dynamic model of a multistage investment project that captures many features of research and development (R&D) ventures and start-up companies is developed. An important feature these problems share is that firms learn about the potential profitability of the project throughout its life, but that technical uncertainty about the R&D effort is only resolved through additional investment. Consequently the risks associated with the ultimate cash flows have a systematic component even while the purely technical risks are idiosyncratic. Our model captures these different sources of risk and allows us to study their interaction in determining the value and risk premium of the venture. Copyright 2004, Oxford University Press.