非对称信息下技术创新投资的实物期权评价

The real option valuation for the investment in technological innovation under asymmetric information

技术创新是一项复杂的系统工程,具有产品和市场的不确定性以及投资的不可逆性。作为不确定条件下的投资评价方法,实物期权在技术创新投资领域运用广泛。由于许多企业采取委托代理的技术创新投资方式,因此不可避免地产生代理人的道德风险和逆向选择等信息不对称问题。本文采用委托代理框架下的逆向选择模型,分析了技术创新的实物期权投资问题。文章首先建立了对称信息下技术创新投资的实物期权模型,得到投资的临界条件。然后在非对称信息情况下,假设技术创新的投资成本和部分投资收益可被委托人和代理人共同观测,而另一部分投资收益是代理人的私有信息。在此前提下,本文以实物期权为基础构造了委托人的效用函数,建立了代理人连续类型下的逆向选择模型,并最终确定了代理人的最优契约和委托人的投资临界条件。文章最后以应用实例的方式对非对称信息下技术创新实物期权模型的经济涵义进行了详细的阐释,同时将对称信息与非对称信息下的实物期权模型进行对比,结果发现:在非对称信息情况下,除了能力最高的代理人之外,其余类型代理人的投资临界值均比对称信息时向下扭曲;除了能力最低的代理人,所有其它类型的代理人都能获得一个严格正的信息租金。

Technological innovation is a complicated system which is characterized by the uncertain products and market as well as irreversible investment. As a method of investment valuation under the uncertainty,a real option is widely applied to the investment of technological innovation. The fact that many firms deploy the principal-agent structure when making investment in technological innovation inevitably raises the problems of information asymmetry,such as the moral hazard and adverse selection of agents. The adverse selection model of the principal-agent framework is applied to the real option valuation of technological innovation investment. First,a real option valuation model is setup under symmetric information,which gives the boundary conditions of investment. In the case of information asymmetry,it is assumed that all of investment cost and part of investment benefit are in public to the both principal and agent while the rest of the benefit is only known by the agent. Under this premise,an adverse selection model with a continuum of possible types is developed by building the profit function based on the real option valuation. Consequently,the model gives the optimal contract of the agent and the investment boundary conditions of the principal. In the end,an example is taken to demonstrate the economic implication of the real option model under asymmetric information. Also,the two models developed under symmetric and asymmetric information are compared,from which,two findings are obtained. One is that all types of agents except the one with the highest productivity have a lower boundary value for the investment under asymmetric information than they do under symmetric information. The other is that all types of agents except the one with the lowest productivity are able to harvest a strictly positive information rent.