风险规避与城市土地发展选择

Gang-Zhi Fan, Ming Pu, T. Sing, Xiaoyu Zhang
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摘要

本研究考察了如果开发商在行使开发期权时规避风险,对实物期权模型可能产生的影响。在我们使用新加坡国有土地首价拍卖数据的实证测试中,我们发现了开发商风险规避的证据,这支持了拍卖实验的结果。我们从拍卖数据的赢家诅咒效应中得出风险厌恶指数,并测试该指数对开发商开发决策时间的可预测性。我们的实证结果表明,开发人员通过在过程的早期执行他们的开发选项来降低风险;因此,风险中性假设被拒绝。根据我们的结果,开发人员的早期开发选择不是由先发制人的动机引起的,而是由风险厌恶态度驱动的。
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Risk-Aversion and Urban Land Development Options
This study examines the possible implications for real options models if developers are risk averse when exercising development options. In our empirical tests using data on first-price auctions of state lands in Singapore, we found evidence of risk aversion among developers, which supports the results of the auction experiments. We derive risk-aversion indices that are discernible from the winner’s curse effects with respect to the auction data and test the predictability of the indices on the developers’ time to development decisions. Our empirical results show that the developers mitigate risks by exercising their development options earlier in the process; thus, the risk neutrality assumption is rejected. According to our results, the developers’ early exercise of development options is not induced by a preemptive motive but is driven by a risk-averse attitude.
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