基于实物期权的风险投资IPO最优退出时机决策模型

A Decision Model of the Best IPO Exit Choice in Venture Capital Based on the Real Option Theory

利用实物期权和最优停时理论,在假设风险企业利润流服从算术布朗运动条件下,建立了风险投资IPO退出时机的一般模型,分析了风险投资立即退出和继续维持时的价值,研究了风险资本利润最大的最优变现策略。得出的结论是:当风险企业利润流大于阀值时,风险投资选择立即退出,选择立即退出的可能性将随着阀值的增大而减少,阀值决定着风险投资的退出时机,而退出时机又受到利润未来不确定性、风险调整贴现率、企业价值增长、股票交易成本、开盘出售和锁定期后的股份比例等诸多因素的影响。

Based on the theories of the real options and the optimal stopping theory, a routine model is set up on IPO exiting time of venture capital when the profit flow of the venture capital projects follows an arithmetic Brownian motion. This paper analyzes the project value of exiting at the date of the IPO and at the expiration of the lock-up period, studies the optimal exit strategy which maximizes the venture capital profit. Finally, we draw a conclusion that the venture capitalist can choose to exit at the date of the IPO if the profit flow of the venture capital projects is greater than the critical value, the probability of exiting at the date of the IPO is the lower when the critical value is the higher. The critical value determines the exit choice, which is in turn determined by many factors such as the uncertainty of its profit flows, risk adjusted discount rate, the increase of enterprise value, stock trading costs, and stock proportions at the time of opening quotation selling and after the lockup period and etc.