Real Option and Investment Decision

本研究考虑了经理人与投资者之间存在委托代理关系的情况。投资者与经理签订了经营公司的合同。通常存在利益冲突，称为代理问题。代理问题的原因之一是双方当事人之间的时间范围不同。它是通过实物期权问题来建模的，这使得我们能够处理管理的灵活性。例如，管理者有机会通过引入一项成本高昂的新技术来减少投资规模。分析了时间跨度的影响，并对增发股票的实证研究进行了分析。特别是报道了日本增发前后的累计超额收益和法律改革的效果。

In this research, the situation where there exists agency relationship between manager and investors is considered. Investors are contract with managers to run their company. Usually there are conflicts of interest called agency problem. One of the causes of the agency problem is a difference of the time horizon between two parties. It is modeled via the real option problem which enables us to deal with the flexibility of the management. For example the manager has an opportunity to reduce the size of investment by introducing a new technology which is costly. The effects of time horizon are analyzed.Empirical study around SEOs(Seasoned Equity Offering) are also analyzed. Especially the cumulative abnormal return around Japanese SEO and the effect of law reforms are reported.