Issue |
SHS Web Conf.
Volume 129, 2021
The 21st International Scientific Conference Globalization and its Socio-Economic Consequences 2021
|
|
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Article Number | 03032 | |
Number of page(s) | 9 | |
Section | Financial Management and Financial Markets | |
DOI | https://doi.org/10.1051/shsconf/202112903032 | |
Published online | 16 December 2021 |
Black-Scholes Flexibility of European Companies in the Digital Age
Berlin Institute of Finance, Innovation and Digitalization at the Berlin School of Economics and Law, Badensche Straße 50-51, 10825 Berlin, Germany
* Corresponding author: martin.uzik@bifid.org
Research background: “How much is flexibility worth?” This question is the title of one of almost countless contributions. In these, procedures are discussed with which existing room for manoeuvres in corporate management can be quantitatively mapped. When Myers recognized in 1977 that decision-making situations in companies have the characteristics of financial options, he laid the foundation for the theory of real options. In the following years, further articles appeared dealing with the problem of the value-based recording of flexibility.
Purpose of the article: The aim of this paper is to empirically test the explanatory variables of Black-Scholes flexibility. A period from 2000 to 2020 is analyzed, as it is assumed that the digital age had already found its way into companies’ business models at that point in time.
Methods: In the following, using the approach described above, the value of flexibility from the Black-Scholes call option is determined for the years 2000 to 2020. The sample comprises the STOXX Europe 600. The aim of the model is to test whether the flexibility determined by Black-Scholes can be explained by selected parameters. These include intangibles, sales growth, debt to equity, market to book value, and earnings in the form of profitability
Findings & Value added: The results show which variables explain the Black-Scholes flexibility as well as how the Black-Scholes flexibility has evolved over the period studied.
Key words: financial option; / Black-Scholes model; / valuation; / flexibility
© The Authors, published by EDP Sciences, 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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