قراردادهای اختیار واقعی، سرمایه گذاری غیر قابل برگشت و عدم قطعیت شرکت: مدارک جدید از شرکت های ایالات متحده آمریکا

This paper investigates real options behavior in capital budgeting decisions using a firm-level panel data set of U.S. companies in the manufacturing sector. Specifically, this paper looks at the relationship between the firm's investment to capital ratio and total firm uncertainty, measured as the volatility of the firm's equity returns. Total firm uncertainty is decomposed into its market, industry and firm-specific components. Given that the irreversibility of capital is derived from asset-specificity at the industry level, increased industry uncertainty displays a pronounced negative effect on firm investment consistent with real options behavior. Increased firm-specific uncertainty is also found to depress firm investment—a result that can be attributed to real options behavior and not just managerial risk aversion. The results are robust to various specifications that control for the firm's investment opportunities that are captured by Tobin's q, cash flow, marginal profitability of capital and firm leverage.

What is it about real options that has made it a buzz word on the Street? Why is it that real options theory has caught the attention of academics and practitioners alike? In a survey of corporate finance practices in the U.S., Graham and Harvey (2001) find that more than 70% of the CFOs surveyed rely on discounted cash flows and the Capital Asset Pricing Model (CAPM) for their capital budgeting decisions. Despite the popularity of Net Present Value (NPV), it has long been acknowledged that it fails to capture an important feature of the investment decision—that of managerial flexibility in a dynamic and uncertain environment. Among the various methods that have been devised to address this shortcoming of the NPV model, the use of option-pricing techniques holds the most promise. In contrast to the static NPV invest-now-or-never rule, real option methods maximize the value of the investment opportunity, i.e. maximize the value of a call option.1 The ability to delay investment decisions is valuable when the investment is irreversible and the future is uncertain. The irreversibility of investment expenditures stems from capital specificity at the industry level and/or at the firm level.2 If managers can wait for the resolution of uncertainty before deciding to pursue the irreversible investment, they can avoid potentially large losses by foregoing the investment altogether when the outcome is unfavorable. Hence, a familiar result from option-pricing applies to irreversible investments: the greater the uncertainty in an investment's expected future cash flows, the more valuable is this option to delay the investment. This in turn reduces the incentive for exercising the option today. This paper investigates real options behavior in capital budgeting decisions of U.S. companies in the manufacturing sector. In particular, this paper tests whether real options models can explain the relationship between firm investment and uncertainty. Although a majority of firms may not actually be employing real options techniques yet, McDonald (2000) points out that arbitrary methods such as hurdle rates and profitability indexes can actually approximate the optimal decision under real options, i.e. the same factors that increase the value of the option to delay investment also increase firm hurdle rates and profitability requirements. By improving on the empirical methods of prior studies, this paper provides substantial evidence at the firm-level and makes two significant contributions towards finding support for real options behavior of firm managers. First, the approach taken in this paper is to use an “asset-pricing” model to decompose the total uncertainty faced by an individual firm into its systematic and firm-specific components and then relate these measures to the firm's investment behavior. The traditional view asserts that it is only systematic risk (e.g. market uncertainty under the CAPM), as it affects the firm's cost of capital, that should matter for firm investment. Real options models predict the contrary, that it is total risk or total firm uncertainty that should matter for firm investment. By decomposing risk in this manner, we can identify whether firm-specific risk adds value through the firm's investment (or growth) options and hence, identify whether it influences investment decisions. Second, in addition to a market component, total firm uncertainty is decomposed further to account for the effect of industry-wide variations. Distinguishing between industry uncertainty and firm-specific uncertainty is important for irreversible investments. Dixit and Pindyck (1994) argue that the irreversibility of capital is more pronounced at the industry level because capital is industry-specific.3 In this case, the predictions of real options theory have greater relevance for uncertainty that is industry-wide. This paper provides empirical support for the prediction of real options models that higher uncertainty reduces incentives for investing. The decomposition of total uncertainty into its market, industry and firm-specific components reveals that periods of higher industry and firm-specific uncertainty are related to lower investment by firms. A one standard deviation increase in industry uncertainty reduces a firm's investment-to-capital ratio by 6.4%. A one standard deviation increase in firm-specific uncertainty decreases firm investment by 19.3%. In contrast, a one standard deviation increase in Tobin's q increases investment by only 5%.4 The findings point to the importance of industry uncertainty as a determinant of firm investment when capital is industry specific. In addition, this paper revisits the effect of competition on investment behavior.5 Competition has a differential effect on the investment–uncertainty relationship. This finding provides further evidence for real options behavior and precludes managerial risk aversion as an alternative interpretation of the results. The remainder of the paper is organized as follows. Section 2 reviews related empirical studies. Section 3 presents the empirical model used in the estimation and provides a description of the data. Section 4 gives the empirical results and Section 5 concludes.

This paper finds substantial evidence in favor of real options models not previously documented at the firm level. The main finding is that greater uncertainty in a firm's environment significantly reduces investment and that effect is present even after controlling for investment opportunities captured by Tobin's q, MPK and cash flow. Greater firm-specific uncertainty is found to depress firm investment because of the option to delay. In addition, firms reduce their investments when industry uncertainty is high and their investments are irreversible due to capital specificity at the industry level. Increased competition is also found to diminish the value of the option to delay investment during periods of higher industry uncertainty. An extension of this paper would be to derive an empirically testable relationship between investment and uncertainty from a structural model of investment where profits are a function of market, industry and firm-specific shocks. Differentiating between these types of shocks should allow one to model directly the impact of industry uncertainty on the irreversibility of new investments because of capital specificity. Furthermore, a structural model will be able to distinguish between the uncertainty that affects investment through the cost of capital and the uncertainty that affects the option to delay investment. This would clarify the role of systematic risk as it affects investment through the cost of capital and through investment opportunities. Analyzing the role of financial factors in a real options model of investment is another area of research that is open to new contributions. A formal model that can incorporate financing constraints into the irreversible investment framework is desirable. Most of the existing real options models have not taken into account the role of financing constraints, whereas the investment literature has widely investigated this issue in empirical studies and has provided significant evidence in favor of the effect of financial factors on the investment decisions of firms.