不確定性及流動性對於企業投資權利價值之影響

Impact of Uncertainty and Liquidity to the Value of an Investment Option of a Company

林雍然(Yong-Ran Lin)

指導教授 ： 洪茂蔚

國立臺灣大學/管理學院/國際企業學研究所/碩士(2015年)

https://doi.org/10.6342/NTU.2015.01704

摘要

在此論文中，將分析一家面對內生融資限制公司的動態投資決策。未來資金短缺的風險將會使公司投資專案的選擇權利之價值降低，並且加速投資行為，而目前資金不足也會使公司無法在想投資時任意實行投資專案。當公司的現金存量遵守幾何布朗運動過程(Geometric Brownian motion process)時，投資專案價值也會受到其不確定性影響，同時投資專案的獲利也為一布朗運動，本文將以偏微分方程的數值解來對理論上的解做映證並討論其中機制。此外，也會討論以其他方式影響投資行為的資本市場阻力，如投資對於現金流之敏感度、投資不缺定性及公司流動性分別有何關係，而這些結果指出：
1. 投資對於現金流之敏感性對於高流動性公司較高。
2. 越大的不確定性對於投資的效果有兩種不同向之效果，因此最終結果要視兩種效果之大小關係而定。

關鍵字

動態投資決策 ； 投資權利價值 ； 流動性 ； 不確定性

並列摘要

In this thesis, I will analyze the dynamic investment decision of a firm subject to an endogenous financing constraint. The threat of future funding shortfalls lowers the value of the firm’s timing options and encourages acceleration of investment beyond the first-best optimal level. As well as highlighting another way by which capital market friction can distort investment behavior, this result implies that
1. The sensitivity of investment to cash flow can be greatest for high-liquidity firms.
2. Greater uncertainty has an ambiguous effect on investment.

並列關鍵字

dynamic investment decision ； liquidity ； uncertainty

參考文獻

Almeida, Heitor, and Murillo Campellp, 2001, Financial constraints and investment-cash flow sensitivities: New research direction, Working paper, Publisher: New York University.

Alti, Aydogan, 2001, How sensitive is investment to cash glow when financing is frictionless? Working paper, Carnegie Mellon University.

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Boyle, Glenn W., and Graeme A. Guthrie, 2003, Investment, Uncertainty, and Liquidity, Journal of Finance 5, 2143-2166.

Caballero Ricardo, and Robert Pindyck, 1996, Uncertainty, investment, and industry evolution, International Economic Review 37, 641-662.