增长期权的执行、创造与资产风险溢价——企业生命周期的视角

The Exercise and Creation of Growth Options and Risk Premium: From the Perspective of Firm Lifecycle

增长期权的执行和创造共同推动着企业的生命周期进程,二者对资产相对构成的影响力量对比决定了资产风险溢价随企业生命周期的变化特征。本文在连续时间框架下利用实物期权方法和定价核技术,理论上揭示并比较增长期权执行和创造对资产风险溢价的影响,以及二者共同作用下资产风险溢价随企业生命周期的变化规律。结果表明：增长期权的执行和创造分别会降低和提升风险溢价,且二者分别对年轻和成熟阶段资产风险溢价的影响更大;进一步,增长期权的不断执行使得资产风险溢价随企业生命周期进程呈现下降趋势,增长期权的持续创造则可使成熟企业“再焕新生”而进入新的生命周期。

The activities of the exercising and creating of growth options jointly drive the evolution of firm lifecycle, and the relative power of the dynamic effects of two activities finally determines the change trend of the risk premium of total assets along with firm lifecycle. Different from the existing literature separate- ly focusing on the roles of the exercising and the creating of growth options, the purpose of this paper is to theoretically demonstrate the combined roles of exercising and creating of growth options in determining the change of risk premium. Two main contributions are made in this paper. First, a unified explanation is provided for the roles of investments including capital expenditure, R＆D or M＆A in predicting asset re- turns. Second, an insightfully theoretical implication is shown that the dynamics of growth options can de- termine the development path of a firm over its lifecycle, and an explanation is given for the existing find- ing about U--shaped pattern of risk premium over firm lifecycle. A real option model is firstly developed to evaluate a representative firm that will grow into maturity as the exercising of its endowed growth options and can simultaneously create new growth options in both young and mature stages of its lifecycle. Secondly, using the technique of pricing kernel, the dynamic effects of the exercising and creating of growth options on the risk premium for young and mature firms are demonstrated and compared, respectively. Finally, how the combined roles of the gradual exercising of en- dowed growth options and the continuous creating of new growth options determine the change trend of risk premium over firm lifecycle is analyzed. Consistent with empirical evidence on the relation between investment and expected stock return, it is found that the exercising of growth options decreases risk premium, while the creating of growth options increases risk premium. A further finding is that the negative effect of the exercising of growth options on risk premium is more pronounced for young firms, while the positive effect of the creating of growth op- tions is more pronounced for mature firms. By combining the effects of two activities, the numerical illus- tration indicates that the gradual exercising of growth options leads to a downward trend of risk premium,but there may exist a U--shaped change of risk premium for firms being able to create continuously new growth options in the mature stage of their lifecycle.