The Real Option Evaluation of Firm Activity and its Financial Risk

• Project/Area Number: 21530320
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Nanzan University
• Principal Investigator: TAKEZAWA Naoya 南山大学, 大学院・ビジネス研究科, 教授 (70329332)
• Project Period (FY): 2009 – 2011
• Project Status: Completed (Fiscal Year 2011)
• Budget Amount: ¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000); Fiscal Year 2011: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000); Fiscal Year 2010: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2009: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
• Keywords: リアルオプション / ファイナンス

Research Abstract

The project has analyzed the relationship between socially responsible activities with focus on socially responsible investment(SRI) and firm value measured in equity value. This allowed the indirect evaluation of the option for a firm to signal as being socially responsible. This is the major contribution this project, but I have also identified models that could potentially identify the relation between SRI and equity value as well as the preemption value to participate in highly uncertain projects.

Research Products

• [Journal Article] Expropriation is the exercise of an Option : Modelling the Sakhalin-2 Production Sharing Agreement as an American Call Option (2012)
  • Author(s): Naoya Takeawa, Katsushige Sawaki, Marc Bremer
  • Journal Title: Nanzan Management Review(南山経営研究) Volume: Vol.25 No.3 Pages: 109-120
• [Journal Article] 絵画投資と金融資産バブル (2012)
  • Author(s): 竹澤直哉、平木多賀人、伊藤彰敏
  • Journal Title: 立教ビジネスレビュー、立教経営学会 Volume: Vol.4 Pages: 2-12
• [Journal Article] expropriation is the exercise of an Option : Modelling the Sakhalin-2 Production Sharing Agreement as an American Call Option (2011)
  • Author(s): Naoya Takezawa, Katsushige Sawaki, Bremer Marc
  • Journal Title: 南山経営研究 Volume: 25/3 Pages: 109-120
  • NAID: 40018795802
• [Journal Article] Foreign Direct Investment, Real Options and Expropriation under Incomplete Information : Theory and Example (2010)
  • Author(s): Naoya Takezawa, Katsushige Sawaki, Bremer Marc
  • Journal Title: Journal of Real Options and Strategy(リアルオプション研究) Volume: Vol.3 Pages: 25-39
  • NAID: 130000263852
• [Journal Article] The Financial Crisis and the Stochastic Components of the J-REIT Market (2010)
  • Author(s): Naoya Takezawa
  • Journal Title: 南山経営研究 Vol 24 No.3 Pages: 425-440
  • NAID: 40017068096
• [Journal Article] Foreign Direct Investment, Real Options and Expropriation under Incomplete Information : Theory and Example (2010)
  • Author(s): Naoya Takezawa, Katsushige Sawaki, Marc Bremer
  • Journal Title: リアルオプション研究 Vol.3 No.1 Pages: 25-39
  • NAID: 130000263852
  • Peer Reviewed
• [Journal Article] How Did Japanese Investments Influence International Art Prices (2009)
  • Author(s): Takato Hiraki, Akitoshi Ito, Darius A. Speith, Naoya Takezawa
  • Journal Title: Journal of Financial And Quantitative Analysis Volume: 44 Pages: 1489-1514
• [Journal Article] How Did Japanese Investments Influence International Art Prices? (2009)
  • Author(s): Takato Hiraki, Akitoshi Ito, Darius A.Speith, Naoya Takezawa
  • Journal Title: Journal of Financial And Quantitative Analysis Vol.44 Pages: 1489-1514
  • Peer Reviewed
• [Journal Article] Investor Characteristics and Portfolio Value
  • Author(s): Naoya Takezawa
  • Journal Title: the Proceedings of KIER-TMU International Workshop on Financial Engineering 2010 Volume: (掲載確定 Accepted for publication)
  • Peer Reviewed
• [Journal Article] 絵画投資と金融資産バブル
  • Author(s): 平木多賀人, 伊藤彰敏, 竹澤直哉
  • Journal Title: 立教ビジネスレビュー Volume: (掲載確定 Accepted for publication)
• [Presentation] Option Valuation of the value of signaling to be a Socially Responsible Corporation (2011)
  • Author(s): 竹澤直哉
  • Organizer: INFORMS Annual Meeting
  • Place of Presentation: Charlotte Carolina, U. S. A
• [Presentation] An Option Evaluation of being Socially Responsible from a Market Perspective (2011)
  • Author(s): 竹澤直哉
  • Organizer: 日本リアルオプション学会
  • Place of Presentation: 青山学院大学、相模原キャンパス
• [Presentation] Household Consumption on Luxury Goods and the Equity Premium Puzzle in Japan during the Late 1980's (2011)
  • Author(s): Naoya Takezawa, Hiraki Takato, Akitoshi Ito
  • Organizer: 2^<nd> workshop on Finance and Accouting Research in the Asian Pacific Region
  • Place of Presentation: Nagoya City University, Nagoya
• [Presentation] Option Valuation of the value of signaling to be a Socially Responsible Corporation (2011)
  • Author(s): 竹澤直哉
  • Organizer: INFORMS Annual Meeting
  • Place of Presentation: Charlotte Carolina, U.S.A.
• [Presentation] Investor Characteristics and Portfolio Value (2010)
  • Author(s): Naoya Takezawa
  • Organizer: KIER-TMU International Workshop on Financial Engineering
  • Place of Presentation: Tokyo, Japan
• [Presentation] expropriation is the exercise of an Option : Modelling the Sakhalin-2 Production Sharing Agreement as an American Call Option (2010)
  • Author(s): Naoya Takezawa, Katsushige Sawaki, Bremer Marc
  • Organizer: Academy of International Business
  • Place of Presentation: Rio de Janeiro, Brazil
• [Presentation] Investor Characteristics and Portfolio Value (2010)
  • Author(s): Naoya Takezawa
  • Organizer: KKTER-TMU International Workshop on Financial Engineering
  • Place of Presentation: Tokyo, Japan
• [Presentation] Timing of a Project Takeover Decision in a Multi-Server Queue with Uncertain Priority Service (2010)
  • Author(s): Naoya Takezawa, Hiroshi Toyoizumi
  • Organizer: INFORMS
  • Place of Presentation: Austin TX, U.S.A.
• [Presentation] Foreign Direct Investment, Real Options and Expropriation under Incomplete Information : Theory and Example (2009)
  • Author(s): Naoya Takezawa, Katsushige Sawaki, Bremer Marc
  • Organizer: JAROS2009研究発表大会
  • Place of Presentation: 信州大学(上田キャンパス)長野県上田市常田3-15-1
  • Year and Date: 2009-12-13
• [Presentation] Foreign Direct Investment, Real Options and Expropriation under Incomplete Information (2009)
  • Author(s): Naoya Takezawa, Katsushige Sawaki, Bremer Marc
  • Organizer: Theory and Example, Academy of International Business Annual Meeting
  • Place of Presentation: San Diego, CA, U. S. A
  • Year and Date: 2009-06-28
• [Presentation] Foreign Direct Investment, Real Options and Expropriation under Incomplete Information : Theory and Example (2009)
  • Author(s): Naoya Takezawa, Katsushige Sawaki, Bremer Marc
  • Organizer: Academy of International Business Annual Meeting
  • Place of Presentation: San Diego, CA, U.S.A.
  • Year and Date: 2009-06-28
• [Book] Recent Advances in financial Engineering 2010 Proceedings of the KIER-TMU International Workshop on Financial Engineering, Investor Characteristics and the Portfolio value (2011)
  • Author(s): Naoya Takezawa
• [Book] インベストメント(上、下) (2010)
  • Author(s): ツヴィー・ボディー, アレックス・ケイン, アラン・J・マーカス著 平木多賀人, 伊藤彰敏, 竹澤直哉, 山崎亮, 辻本臣哉 訳
  • Publisher: McGrawHill