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Staging of venture capital investment: a real options analysis

机译：风险投资阶段：实物期权分析

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This paper uses contingent claims analysis to investigate the staging decision of venture capitalist (VC) in a principal-agent framework. Venture capital investment opportunities are modeled as real options with multiple volatilities, and the entrepreneur’s incentive is assumed to maximize the probability of getting funded in the next financing round. Two celebrated formulae in the option pricing literature are generalized to evaluate these real options. We find that staging not only gives the VC a waiting option but also mitigates the agency problem of the entrepreneur undertaking too conservative activities. Moreover, we find that the VC tends to stage her investment when the expected growth rate of the venture’s market value is lower. However, the risk-free interest rate is not an important factor in the staging decision. Our model also provides a good explanation for existing empirical evidence on the staging of venture capital investment.
机译：本文采用或有债权分析法研究委托代理框架下风险资本家的阶段决策。风险资本投资机会被建模为具有多种波动性的实物期权，并且假设企业家的动机是要在下一轮融资中最大程度地获得资金。总结了期权定价文献中两个著名的公式来评估这些实物期权。我们发现，分期付款不仅给风险投资人一个等待的选择，而且减轻了企业家从事过于保守的活动的代理问题。此外，我们发现，风险投资公司倾向于在合资企业市值的预期增长率较低时分期进行投资。但是，无风险利率并不是分期决策的重要因素。我们的模型还为风险投资阶段的现有经验证据提供了很好的解释。

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