11th Annual International
Conference
June 6-9, 2007
Berkeley , CA ,
USA
Abstracts and Links to Papers
Thursday | Friday | Saturday
Errata, updates and missing
abstracts for material on this webpage: Please email to Gordon Sick .
We post updated versions of papers
as they are sent to us and change the file name to be the same as the older
version. For corrections to the MS Word version of the program: Please email
to Lenos Trigeorgis.
DAY 1
– THURSDAY, JUNE 7
8:00 – 8:25 Registration
8:30 – 8:45 Welcome
8:45 – 9:20 President’s Address
L. Trigeorgis (U. Cyprus, U.C. Berkeley & President, Real Options
Group)
On Growth Stock Returns
9:30 – 10:45 Venture Capitalists and Entrepreneurs
Chairperson:
N. Kulatilaka (Boston U.)
G. Siller-Pagaza and G. Otalora (ITESM, Mexico ), Moral Hazard When the Entrepreneur Seeks Outside
Capital
N. Kulatilaka
(Boston U. ),
L. Lin (Boston U. ), and J. Patel (C hoiceStream), Post-IPO
Governance: Venture Capitalists’ Role in Strategic Decisions
Y. Giat (Jerusalem C ollege
of Technology , Israel ),
S. Hackman (Georgia Institute of Technology), and A. Subramanian (Georgia State University ),
Risk,
Uncertainty and Optimism in Venture Capital Relationships
10:45 – 11:10 Morning Coffee Break
11:10 – 11:45 Special Session I: Growth Stock Valuation
Chairperson: M. Amram (Milken
Institute)
L. Martin (Soleil/Media Metrics), How Much is Google Worth?
L. Trigeorgis (ROG), How Much is Starbucks Worth?
N. Kulatilaka (Boston
U. ), How Much is C lean Energy Worth?
11:45 – 12:30 Panel Discussion I:
Growth Stock Valuation
Moderator:
M. Amram (Milken Institute)
Panelists:
Nalin
Kulatilaka (Boston
U. )
Laura
Martin (Soleil/Media Metrics)
Lenos
Trigeorgis (ROG)
12:30 – 2:00 Luncheon
2:00 – 3:15 Investment and Financing Interactions
C hairperson: T.E. C opeland
(MIT)
T.E. C opeland (MIT), Optimal
Investment and Financial Structure: The Firm as a Three-Layer C ake
M. Shackleton,
R. Wojakowski and G. Pawlina (Lancaster
U. , UK ),
Valuing a Firm's Capital
Structure using Profit Caps, Floors and Bond Default Options
R. C orreia, S. Howell, and P. Duck (U. Manchester,
UK), Agency Conflicts and Optimal
Leverage in Fixed-Life Projects
3:15 – 3:45 Afternoon Coffee Break
3:45 – 4:15 Special Session II: Supply Chain Management
Address by Blake Johnson (Stanford U. )
Creating Competitive Advantage by Aligning and Leveraging
"Operating" Options
along the Value C hain
4:15 – 5:00 Panel
Discussion II: C apitalizing on a
Huge Value Opportunity : Implementation
Strategies for Supply C hain
Management
Moderator: B. Johnson (Stanford U. )
Panelists:
Eunice Lee (Apple Inc.)
Venu Nagali (Hewlett Packard)
Scott Mathews (The Boeing C ompany)
David Metcalf (Intel)
Thomas Olvason (Hewlett Packard)
5:15 – 6:00 Panel
Discussion III
C orporate
Flexibility, Strategic Interactions and Restructurings:
Interactions Between Real and Financial Options
Moderator: M. R. Julis (Managing Partner, C anyon C apital
Advisors)
Panelists Include:
Martha Amram (Milken
Institute)
Vladimir Antikarov (Real Options Group)
Tom E. C opeland
(MIT)
Gill Eapen (Decision Options LLC )
6:15 – 7:15 Networking Reception
Sponsored by ROG and MFE/Haas School of Business ,
UC Berkeley
DAY 2 – FRIDAY, JUNE 8
8:30 – 9:00 Registration
9:00 – 10:15
I.
Empirical Evidence
Chairperson: D. Friedman (U. California, Santa Cruz)
R. Oprea, D. Friedman (U. C alifornia , Santa C ruz ),
and S. Anderson (U.S. Geological Survey),
A Laboratory
Investigation of Deferral Options
C . Ramezani (C alifornia
Polytechnic U.) and L. Soenen (Tias, Netherlands ), Growth Options and Corporate
Excess Cash Holdings
G. Dikos (U.
Patras) and D. Thomakos (U. Peloponnese, Greece ), Empirical
Specification and Estimation of the Real Options Markup: The Case of Tanker
Markets
II. Valuing
Oil Investments
Chairperson: J. Casassus (U. Catolica de Chile and U. California at
Berkeley)
F. Magalhães
Jr (IBMEC ), R.M. da Silva Montezano
(IBMEC ) and L.E. Teixeira Brandao
(PUC -Rio, Brazil), Valuation of Onshore Mature Oil Fields:
The New Bidding Rounds in Brazil
F. Postali (U.
Sao Paulo , Brazil ),
Fiscal System and the Decision to Invest in
Oil and Gas Reserves in Brazil
F. Aldunate (U. C atolica
de C hile), J. C asassus (U. C atolica
de C hile and U. C alifornia at Berkeley )
and P. Collin-Dufresne (U. California at Berkeley), Oil Risk Hedging and
Consumption in Emerging Economies
10:15 – 10:45 Morning Coffee Break
10:45 – 12:00
I. C ontrol and Policy Issues
C hairperson:
P. Baecker (European Business School ,
Germany )
M. Kałdoński
and J. Mizerka (Poznan U.
of Economics , Poland ), Politicians and Private
Benefits of Control
V. Vath (U. Paris ), H. Pham (U. Paris ),
and S. Villeneuve (U. Toulouse , France ),
Interaction of Dividend Policy
with Reversible Technology Investment: A Mixed Singular/Switching Control
Approach
P. Baecker, G.
Grass, and U. Hommel (European Business School, Germany ), Regulatory Intervention and Access Pricing
under Uncertainty
II.
Electricity and Energy Investment
C hairperson:
A. Siddiqui (University C ollege London , UK )
R. Takashima,
Y. Naito, H. Kimura, and H. Madarame (U. Tokyo ,
Japan ),
Investment in Electricity Markets:
Equilibrium Price and Supply Function
A. Siddiqui
(University C ollege London, UK) and
K. Maribu (Ecole Nationale Superieure des Mines de Paris, France ), Investment and Upgrade in
Distributed Generation under Uncertainty
M. Bellalah, K. Moez, and B. Firas (U.
Cergy-Pontoise),
Optimal Exploration Investments under Price and Geological
Uncertainty with Incomplete Information
12:00 – 2:00 Luncheon Keynote Address by Mark Rubinstein
(UC Berkeley)
2:00 – 3:15
I. Environmental
Policy and Risk Management
C hairperson: M. Shackleton (Lancaster
U. , UK )
L. Abadie
(BBK, Spain )
and J. C hamorro (U. Basque C ountry), CO2
Emission Allowance Prices and Carbon Capture Investments
G. Dikos (U. Patras , Greece )
and S. Sgourides (MIT), Environmental Policy and
Regulation in the Maritime Industry: The Effects of Sunk Costs and Uncertainty
M.J. De Zen
and F. Frezatti (U. of Sao Paulo , Brazil ), Analysis of the Added Value by Risk Management
II.
Investment Games
C hairperson: D. Ruffino (Boston U. )
M. Goto (Waseda U. ),
R. Takashima (U. Tokyo ), M. Tsujimura (Ryukoku U. ),
and T. Ohno (Waseda U. , Japan ), Entry and Exit Decisions in a Duopoly under
Uncertainty
J. Imai (Tohoku U. , Japan )
and T. Watanabe (Tokyo
Metropolitan University ),
The Investment Game under Uncertainty:
An Analysis of Equilibrium Values in the Presence of First or Second Mover
Advantage
D. Ruffino and
J. Treussard (Boston
U. ), Lumps and Clusters in
Duopolistic Investment Games
3:15 – 3:45 Afternoon Coffee Break
3:45 – 5:00
I.
Transport Valuation and Policy
C hairperson: L. Brandao (PUC -Rio)
L. Salahaldin
(U. Paris Dauphine , France), Decision-making in Sustainable Transport
Investment
P. Pimentel (U. Azores), J Azevedo-Pereira (U.
Tecnica de Lisboa), and G. C outo
(U. Azores, Portugal), High-Speed
Rail Transport Valuation
L. Brandao (PUC -Rio) and E. Saraiva (EPGE and National Bank for
Economic and Social Development, Brazil ), Valuing
Government Guarantees in Toll Road Projects
II.
Strategy Games
C hairperson: E. Dockner (U. Vienna , Austria )
M. C arson (U. British C olumbia,
C anada), E. Dockner (U. Vienna,
Austria), A. Fisher and R. Giammarino (U. British C olumbia,
C anada), Leaders, Followers, and
Risk Dynamics in Industry Equilibrium
A. Azevedo and
D. Paxson (Manchester Business School, UK ), The
Effect of Market, Technical and Technological Uncertainties on New Technology
Adoptions
M. Trojanowska
(U. Antwerp , Belgium )
and P. Kort (Tilburg U. , Netherlands ), Coalition Formation under Uncertainty: the
Case of First-mover Disadvantage
DAY 3 – SATURDAY, JUNE 9
9:00 – 10:15
I.
Innovation Theory
C hairperson: H. Roche (ITAM, Mexico)
N. Koussis, S. Martzoukos, and L. Trigeorgis (U. Cyprus), Product Development with Value-Enhancing
Options
H. Roche (Instituto Technologico Autonomo de Mexico), Technology Adoption under Uncertain
Technological Progress
S. Hoe and J.D. Diltz (U. Texas at Arlington ),
Real Options, Competition, and
the Valuation of Pharmaceutical Licensing Agreements
II.
Relocation, Renovation, Growth and Investment
C hairperson: D. Paxson (U. Manchester , UK )
J.
Azevedo-Pereira (Instituto Superior de Economia), G. C outo
(U. Azores), and C . Nunes
(Instituto Superior Tecnico, Portugal ),
Optimal Timing of Relocation
R. Adkins (U.
Salford) and D. Paxson (U. Manchester , UK ), Generalized Real Renovation Options
J.P. Dapena
(U. del C EMA ,
Argentina ), Investment and Abandonment
Decisions in Presence of Imperfect Aggregation of Information
H. Brasil (FDL
and IBMEC ) and J.A. Sousa Neto ( FDC and FEAD, Brazil ),
Classification of
Growth Opportunities: Application in Brazil
10:15 – 10:45 Morning Coffee Break
10:45 – 12.00
I. Investment Theory
C hairperson: M. Grasselli (McMaster U. , C anada )
M. Grasselli (McMaster U. , C anada ),
Getting Real with Real Options: A
Utility-based Method under Incomplete Markets
M. Goto (Waseda U. ),
R. Takashima (U. of Tokyo ), and M. Tsujimura (Ryukoku U. , Japan ),
Capacity Expansion and Contraction with
Fixed and Quadratic Adjustment Costs
N. Roys
(Sorbonne and University C ollege London ), Optimal Investment Policy with Fixed Adjustment
Costs and Irreversibility
II.
Valuation Theory and C omputation
C hairperson: S. Sodal (Agder U. , Norway )
R.D. Espinoza (GeoSyntec C onsultants)
and L.X. Luccioni (C herokee
Investment Partners, UK ),
Valuation of Projects with Technical
Uncertainty and Time to Build
S. Koekebakker
and S. Sodal (Agder U. , Norway), Real Options with Non-Linear
Dynamics
T.L. Friesz, T. Kim, C . Kwon, Y. Moon, and T. Yao (Pennsylvania State
U. ),
Valuation of Real Options by
Gradient Projection
12:10 – 1:00 Panel Discussion IV: Current State,
Challenges and Future Prospects
Moderator:
Dean Paxson (U. Manchester )
Panelists Include:
Mondher Bellalah (U. C ergy , France )
Marco Dias (PUC -Rio and Petrobras, Brazil)
John
Kensinger (U. North Texas )
Harve Roche (ITAM, Mexico)
Sigbjorn Sodal (Agder U., Norway)
Ajay Subramanian
(Georgia State University )
1:10 C losing Remarks
Conference Concludes