Valuing real options with endogenous payoff
研究了当投资回报具有规模依赖性时，企业的不可逆投资决策，发现规模依赖性导致投机性风险管理策略，且不确定性对投资时机的影响取决于经济条件。
This study investigates irreversible investment decisions when the exercise payoff is scale-dependent; thus, it is endogenously determined by the firm's risk management. We find that the scale-dependency gives rise to a speculative risk management strategy: a positive relationship between the firm's derivatives position and unhedged cash flow. Moreover, investment can be hastened or delayed as the underlying uncertainty increases depending on the economic conditions due to the speculative strategy. The main force driving these results, different from those known in the existing literature, is that the firm's risk management is designed to optimize the risk-return trade-off of the endogenous payoff.