南方科技大学知识苑(SUSTech KC): Real option duopolies with quasi-hyperbolic discounting

题名	Real option duopolies with quasi-hyperbolic discounting
作者	Luo，Pengfei 1; Tian，Yuan 2; Yang，Zhaojun3
通讯作者	Yang，Zhaojun
发表日期	2020-02-01
DOI	10.1016/j.jedc.2019.103829
发表期刊	JOURNAL OF ECONOMIC DYNAMICS & CONTROL 影响因子和分区
ISSN	0165-1889
EISSN	1879-1743
卷号	111
摘要	This paper utilizes a real options and game-theoretic approach to consider the strategic real investment in a duopoly market under uncertainty with time-inconsistent preferences resulting from quasi-hyperbolic discounting. We show that the time-consistent agent becomes the leader when s/he interacts with a time-inconsistent rival. If the rival's time inconsistency is very significant, the leader will optimally behave as if competition did not exist. If the two rivals have about the same time preferences, the leader will accelerate investment and her/his investment threshold will accord with the rival's preemptive one, which is higher than that determined in the classical time-consistent model. The inefficiency of investment from preemptive competition is mitigated and even eliminated if the heterogeneity among agents is sufficiently high. Our model provides a behavioral explanation for the empirical fact that preemption occurs in some markets but is not present in others.
关键词	Duopoly competition Option game Preemptive investment Time-inconsistent preferences
相关链接	[Scopus记录]
收录类别	SSCI
语种	英语
学校署名	通讯
资助项目	JSPS KAKENHI[16K17151] ; JSPS KAKENHI[25245046]
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000512481400015
出版者	ELSEVIER
ESI学科分类	ECONOMICS BUSINESS
Scopus记录号	2-s2.0-85077645926
来源库	Scopus
引用统计	被引频次[WOS]：7
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/87214
专题	商学院_金融系
作者单位	1.School of Finance and Statistics,Hunan University,Changsha,China 2.Faculty of Economics,Ryukoku University,Kyoto,Japan 3.Department of Finance,Southern University of Science and Technology,Shenzhen,China
通讯作者单位	金融系
推荐引用方式 GB/T 7714	Luo，Pengfei,Tian，Yuan,Yang，Zhaojun. Real option duopolies with quasi-hyperbolic discounting[J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL,2020,111.
APA	Luo，Pengfei,Tian，Yuan,&Yang，Zhaojun.(2020).Real option duopolies with quasi-hyperbolic discounting.JOURNAL OF ECONOMIC DYNAMICS & CONTROL,111.
MLA	Luo，Pengfei,et al."Real option duopolies with quasi-hyperbolic discounting".JOURNAL OF ECONOMIC DYNAMICS & CONTROL 111(2020).