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1.
The optimal bond-stock mix is examined in light of an apparentinconsistency between the Tobin Separation Theorem and the adviceof popular investment advisors which has been pointed out byCanner et al. (1997).It is shown that the apparent inconsistencyis largely explicable in terms of the hedging demands of optimisinglong-term investors in an environment in which the investmentopportunity set is subject to stochastic shocks. The analysispoints to the importance of considering investors' time horizonsin analyzing optimal portfolio policies.  相似文献   

2.
We extend the standard finance model of the firm's dividend/investment/financing decisions by allowing the firm's managers to know more than outside investors about the true state of the firm's current earnings. The extension endogenizes the dividend (and financing) announcement effects amply documented in recent research. But once trading of shares is admitted to the model along with asymmetric information, the familiar Fisherian criterion for optimal investment becomes time inconsistent: the market's belief that the firm is following the Fisher rule creates incentives to violate the rule. We show that an informationally consistent signalling equilibrium exists under asymmetric information and the trading of shares that restores the time consistency of investment policy, but leads in general to lower levels of investment than the optimum achievable under full information and/or no trading. Contractual provisions that change the information asymmetry or the possibility of profiting from it could eliminate both the time inconsistency and the inefficiency in investment policies, but these contractual provisions too are likely to involve dead-weight costs. Establishing which route or combination of routes serves in practice to maintain consistency remains for future research.  相似文献   

3.
This study analyzes the interaction between the optimal level of investment and debt financing. For this purpose, a model is structured in which a firm, facing an uncertain price, has to decide on its optimal level of investment and debt. The amount of investment sets a limit on output whose optimal level is determined after price is realized. The debt involved is risky (there exists a possibility of bankruptcy). The analysis proves that investment and its optimal financing have to be simultaneously determined and that a negative relationship exists between operating and financial leverage. We also demonstrate that as the tax rate increases, optimal capacity decreases and optimal leverage increases. An analysis of the impact of changes in the expected price shows that under some conditions, an increase in expected price would lead to an increase in optimal investment (firm size) and a decrease in optimal debt.  相似文献   

4.
In this paper, we analyse the restructuring of debt in the presence of debt overhang. The firm starts out with a debt liability and an investment opportunity. Then with unrestructured debt, the firm maintains the current borrowing payments until default or investment. If the creditors allow the parties to restructure the debt with exchange offers, then the borrowing payments change as well as the default and investment points. We find that there is a unique optimal restructuring path which maintains debt at positive levels but defers default indefinitely. This path is optimal regardless of whether the debt holders or the firm control the process through superior bargaining power. Moreover, a debt-for-equity exchange to remove all existing debt takes place just before investment that is followed by the issue of an optimal amount of new debt as part of the funding for the investment cost. The optimal investment trigger is higher along the optimal restructuring path than it is for an unlevered firm. We discuss the findings in the light of existing empirical evidence.  相似文献   

5.
Our research expands on the private equity (PE) valuation theory by incorporating the limited partner’s (LP) time-inconsistent preferences. Our findings show that time inconsistency has a detrimental impact on the LP’s certainty-equivalent valuation, which is dependent on the duration of investment and the value of PE asset. Through a comparative static analysis of the risk-attitude parameter and the future self arrival intensity, we have determined that the negative effects of time inconsistency can be mitigated by a more conservative attitude on the part of LP, while a higher future self arrival intensity exacerbates the impact of LP’s time inconsistency on their certainty-equivalent valuation.  相似文献   

6.
G. H. BURROWS 《Abacus》1994,30(1):50-64
The extent to which allocated common costs should influence business decisions remains controversial in management accounting. In the finance and investment literature this issue is generally ignored or dismissed by appeals to the'incremental' principle. This article presents an historical analysis of allocations in long-run investing and pricing decisions. It is demonstrated that seminal figures in the development of both investment and price theory were conscious of the need for firms to cover common costs and generally favoured some form of allocation. The anti-allocationist position is shown to be of relatively recent origin and to have caused an inconsistency in the management accounting literature in the treatment of common costs. European costing theory is shown to have been consistently allocationist. Evidence of a return in the recent U.S. literature to the older Anglo-American, and continuing European, allocations tradition is presented.  相似文献   

7.
We study the relationship between firm value and investment to test the underinvestment and overinvestment hypotheses. The results obtained, using panel data methodology as the estimation method, indicate that the abovementioned relation is quadratic, which implies that there exists an optimal level of investment. As a consequence, firms that invest less than the optimal level suffer from an underinvestment problem, while those investing more than the optimum suffer from overinvestment. The quadratic relation is maintained when firms are classified depending on their investment opportunities, the optimum being in accordance with the quality of investment opportunities.  相似文献   

8.
企业持有现金是企业内部融资的一个重要手段,与投资行为密切相关。上市公司应持有多大规模的现金,才能使得现金持有成本和丧失投资机会的成本之和最低,这是企业管理层必须考虑的一个问题。该文旨在通过实证方法研究不同现金持有水平的公司在投资行为方面存在的差异以及投资效率的高低,并提出相应的建议对策,以期能够对公司的现金持有管理有所贡献。  相似文献   

9.
当技术创新的市场收益率随着参与技术创新企业数量的增加而最终递减时,存在一个可以导致技术创新企业创新收益最大化的最优市场结构即最优技术创新企业的数量。如果企业技术创新存在边际收益递减现象,则存在一个导致技术创新投入最大化的最优市场结构,这一最优市场结构将因技术创新风险的提高而降低。技术创新收益最大化的市场结构与技术创新投入最大化的市场结构之间构成了能够有效促进技术创新的最优市场结构区间。  相似文献   

10.
This paper integrates a time-inconsistent preference into the mortgage design problem and studies the corresponding effects on the optimal contract. By assuming exogenous time inconsistency in borrower's preference, we find that the time-inconsistent preference increases the loss in the lender's value and the compensation boundary. We implement the optimal contract using standard securities and option adjustable-rate mortgages (ARMs). The findings show that the time-inconsistent preference increases the default rate, and relative to standard securities, option ARMs increase the total debt capacity, but the borrower's time inconsistency can lead to sudden jumps in the total debt capacity. We also consider the endogenous time inconsistency in the borrower's preference and derive the corresponding mortgage contract; we find that a lender can perfectly offset the effect of a borrower's time inconsistency on the value function and compensation strategy. The liquidation boundary at the low interest rate varies with the degree of time inconsistency, explaining the heterogeneity in mortgage default behaviors observed in practice.  相似文献   

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