托宾的Q投资理论与资本市场均衡机制

传统的企业投资理论一直忽略了资本市场的作用,但是托宾的Q投资理论却把企业与资本市场有机地结合起来。本文对既有文献的理论脉络进行了简单的总结,在此基础之上评述了托宾的Q投资理论,并对该理论与资本市场的关系进行了更深的挖掘与探讨。文章的最后以美国资本市场为例,阐述了托宾Q理论是如何对资本市场均衡进行评价与验证的。     

The poor are twice cursed: Wealth inequality and inefficient credit market

This paper investigates the role of unobservable wealth differences on credit market equilibrium, given there is also asymmetric information concerning effort preferences and choices. In equilibrium, poor but able entrepreneurs may subsidise the rich and incompetent or be excluded. As a result, investment may exceed or fall short of the optimal level. Low inequality may deliver conditions for perfect screening and an efficient level of investment. The equilibrium with cross subsidisation is consistent with otherwise puzzling empirical observations.     

Pairs trading

‘Pairs Trading’ is an investment strategy used by many Hedge Funds. Consider two similar stocks which trade at some spread. If the spread widens short the high stock and buy the low stock. As the spread narrows again to some equilibrium value, a profit results. This paper provides an analytical framework for such an investment strategy. We propose a mean-reverting Gaussian Markov chain model for the spread which is observed in Gaussian noise. Predictions from the calibrated model are then compared with subsequent observations of the spread to determine appropriate investment decisions. The methodology has potential applications to generating wealth from any quantities in financial markets which are observed to be out of equilibrium.     

Why the Housing Sector Leads the Whole Economy: The Importance of Collateral Constraints and News Shocks

This paper establishes a dynamic stochastic partial equilibrium model for explaining residential investment dynamics in the United States, focusing on the distinctive cyclical features of residential investment in that it leads the whole economy. This paper is different from the existing literature by adding three new features to the model: news shocks, collateral constraints and agent heterogeneity. The partial equilibrium analysis where interest rates are exogenously fixed shows that these assumptions are essential to generating the dynamic pattern in which residential investment leads consumption and GDP.     

The Allocational Effects of the Precision of Accounting Estimates

This paper studies the allocational effects associated with the precision of accounting estimates when the precision of estimates is a choice variable for firms. One part of the paper considers the effects of the observability of precision choices. We show that, generally, making precision choices private increases firms' equilibrium precision choices and also, as a by‐product, their equilibrium investment choices. We further show that, when firms' precision choices are private, there may be a “disclosure trap,” in which, unless investors conjecture the owner has chosen an estimate with the highest possible precision, the owner will respond to investors' conjecture by choosing an estimate whose precision is higher than investors' conjecture. In a multifirm version of the model with endogenous investment, we show that the equilibrium investment by the firm increases in the precision of the firm's own estimate and decreases in the precisions of other firms' estimates. Finally, we show that, in a setting where the firm's initial owner sells his stake in the firm over the course of two periods, with disclosures of estimates of the firm's value occurring prior to each sale of shares, if the precisions of the estimates are public, the equilibrium precisions of the estimates increase over time when the owner sells a sufficiently large fraction of the firm in the first period, and otherwise the equilibrium precisions of estimates remain constant over time.     

EQUITY CAPITAL, PROFIT SHARING CONTRACTS, AND INVESTMENT: THEORY AND EVIDENCE

The potential effect of financial variables on the level of investment is among the key issues in contemporary financial economics. Some researchers have claimed that there is an inherent risk in the Islamic profit-and-loss sharing scheme that replaces the western fixed-interest rate system. This paper argues that such concerns are baseless. In an Islamic framework, equity capital (i.e., strong financial position) and the profit-sharing ratio are primary determinants of investment. It is shown that both factors could enhance the firm's business reputation and its investment activities. The paper, in so doing, constructs a two-period equilibrium model of profit-sharing contracts. An optimal solution for the investment function is derived for the banking firm. Besides equity capital and the profit-sharing ratio, other relevant determinants of investment are also considered, including depreciation and expected inflation. Moreover, unlike most previous research in this area, the resultant investment (and profitsharing ratio) functions are subjected to empirical testing using data from a representative Islamic bank.     

Integrating corporate ownership and pension fund structures: A general equilibrium approach

This paper studies pension fund design in the context of investment in the debt and equity of a firm. We employ a general equilibrium framework to demonstrate that: (i) the asset location ‘puzzle’ is purely a partial equilibrium phenomenon, conceived in a risk neutral setting, that disappears with the introduction of sufficient risk aversion; (ii) the inability of policy makers to manage an economy with multiple firms yields a mixed equilibrium, where bonds are observed in both taxable and tax-deferred accounts; and (iii) the Pareto-efficient pension plan comprises of a defined benefit plan.     

Debt, taxes, and international equilibrium

This paper employs an extended Miller model to analyze capital structure decisions of individual firms in a two-country setting. Miller equilibria are generally not consistent with an international equilibrium if the tax subsidy of debt differs across countries. The most obvious reason for differential tax subsidies is differences between national corporate tax rates. We also identify differential tax subsidies of debt if inflation rates differ across countries. For both cases we examine the adjustment process from national equilibria to an international equilibrium without and with barriers to international investment. We derive the relationship between the equilibrium yields on debt and equity in the two countries and discuss the Fisher hypothesis that real returns do not depend upon inflation in a two-country Miller world.     

The Irrelevance of Capital Structure for the Impact of Inflation on Investment

Studies concerning the effect of inflation on firms' investment decisions suggest that the form of financing is relevant in assessing the effect of inflation on investment. This paper demonstrates that when the equilibrium relationship between market rates of return on bonds and stocks is considered, the effect of inflation on investment is independent of the capital structure. The paper also shows that when the ‘Fisher effect’ is assumed to hold, the cut-off rate of return on investment declines with anticipated inflation independently of the financing. However, if the real interest rate rises with inflation, inflation may increase the cut-off rate.     

Investment with network externality under uncertainty

The purpose of this paper is to develop a real option model with a stochastic network size to simultaneously consider firm’s investment and household’s consumption behaviors in an equilibrium framework. First, the consumer’s waiting-to-buy effect is crucial in determining trigger network size of firm’s investment. Second, increasing network externality has an ambiguous effect on trigger network size of firm’s investment. Third, using NPV rule not only underestimates trigger network size but, also possibly results in the misleading relationship between network externality and trigger network size.     

Nonconvex factor adjustments in equilibrium business cycle models: do nonlinearities matter?

Recent empirical analysis has found nonlinearities to be important in understanding aggregated investment. Using an equilibrium business cycle model, we search for aggregate nonlinearities arising from the introduction of nonconvex capital adjustment costs. We find that, while such costs lead to nontrivial nonlinearities in aggregate investment demand, equilibrium investment is effectively unchanged. Our finding, based on a model in which aggregate fluctuations arise through exogenous changes in total factor productivity, is robust to the introduction of shocks to the relative price of investment goods.     

中国信贷市场利率与经济波动:2004-2010

本文基于VAR和VEC模型对我国信贷市场利率与经济波动的关系进行实证分析。研究结果表明:(1)投资、消费对于信贷市场利率的冲击处于负的脉冲响应,投资的响应更显著。投资、消费对信贷市场利率的影响非常有限。(2)投资波动对产出波动起主要作用;产出对投资波动和消费波动的影响程度有限;(3)信贷市场利率与投资、消费、产出之间存在长期均衡关系。基于这些分析结论,文章提出若干政策建议。     

Risk-Shifting Incentives and Signalling Through Corporate Capital Structure

This paper examines optimal corporate financing arrangements under asymmetric information for different patterns of temporal resolution of uncertainty in the underlying technology. An agency problem, a signalling problem and an agency-signalling problem arise as special cases. The associated informational equilibria and the optimal financing arrangements are characterized and compared. In the agency-signalling equilibrium the private information of corporate insiders at the time of financing is signalled through capital structure choices which deviate optimally from agency-cost minimizing financing arrangements, which in turn induce risk-shifting incentives in the investment policy. In the pure signalling case the equilibrium is characterized by direct contractual precommitments to implement investment policies which are riskier than pareto-optimal levels. Empirical implications for debt covenants and the announcement effect of investment policies and leverage increasing transactions on existing stock and bond prices are explicitly derived.     

Uninsurable investment risks and capital income taxation

This paper studies the capital accumulation and welfare implications of reducing capital income taxation in a general equilibrium economy with uninsurable investment risks. It has been shown that, with uninsurable investment risks, under-accumulation of capital may result compared to the complete markets economy. We show that reducing somewhat the capital income tax rate increases the capital stock and leads to a welfare gain. The complete elimination of the capital income tax, however, is not necessarily welfare improving.     

Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets

The paper presents an incomplete market pricingmethodology generating asset pricebounds conditional on the absence of attractiveinvestment opportunities in equilibrium.The paper extends and generalises the seminal article ofCochrane and Saá-Requejowho pioneered option pricing based on the absenceof arbitrage and high Sharpe Ratios. Ourcontribution is threefold:We base the equilibrium restrictions on an arbitrary utility function, obtaining theCochrane and Saá-Requejo analysis as a special case with truncated quadratic utility. We extend the definition of Sharpe Ratio from quadratic utility to the entire family of CRRA utility functions and restate the equilibrium restrictions in terms ofGeneralised Sharpe Ratios which, unlike the standard Sharpe Ratio, provide aconsistent ranking of investment opportunities even when asset returns are highlynon-normal. Last but not least, we demonstrate that for Itô processes theCochrane and Saá-Requejo price bounds are invariant to the choice of the utilityfunction, and that in the limit they tend to a unique price determined by theminimal martingale measure.     

Voluntary Disclosures,Corporate Control,and Investment

We examine the valuation and capital allocation roles of voluntary disclosure when managers have private information regarding the firm’s investment opportunities, but an efficient market for corporate control influences their investment decisions. For managers with long‐term stakes in the firm, the equilibrium disclosure region is two‐tailed: only extreme good news and extreme bad news is disclosed in equilibrium. Moreover, the market’s stock price and investment responses to bad news disclosures are stronger than the responses to good news disclosures, which is consistent with the empirical evidence. We also find that myopic managers are more likely to withhold bad news in good economic times when markets can independently assess expected investment returns.     

The non-neutrality of debt in investment timing: a new NPV rule

Summary Limited liability debt financing of irreversible investments can affect investment timing through an entrepreneur’s option value, even after compensating a lender for expected default losses. This non-neutrality of debt arises from an entrepreneur’s unique investment opportunity, and it is shown in a standard model of irreversible investment that includes the equilibrium effect of a competitive lending sector. The analysis is partial, in that it takes as exogenously given an entrepreneur’s use of debt. Intuitively, limited liability lowers downside risk for the entrepreneur by truncating the lower tail of risks, and lowers the investment threshold. Compensating the lender for expected default losses reduces project profitability to the entrepreneur, and increases the investment threshold. The net effect is negative, because lower downside risk has an additional impact on the option value of delaying investment. The standard NPV rule in real options theory implicitly assumes debt to be neutral. With non-neutrality of debt, an investment threshold is higher than investment cost, but lower than the standard NPV rule. Comparisons with other standard investment thresholds show similar relationships.     

To Invest or not to Invest: A real options approach to FDIs and tax competition

Foreign investment decisions of firms are often characterized by investment irreversibility, uncertainty, and the ability to choose the optimal timing of foreign investments. We embed these characteristics into a real option theory framework to analyze international competition among countries to attract mobile investments when firms, after the investment is sunk, can shift profit to low tax countries by transfer pricing. We find that an increase in the uncertainty of profit income reduces the equilibrium tax rates, whilst lower investment costs or larger profits, counteracts the negative fiscal externality of tax competition leading to higher equilibrium tax rates. JEL Code H25     

Fully revealing equilibria with suboptimal investment

Myers and Majluf [Myers, S.C., Majluf, N.S., 1984. Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics 13, 187–221.] showed that mispriced securities can lead managers with private information to invest inefficiently. It seems plausible that this problem would disappear in a fully revealing equilibrium, since information asymmetries are resolved and securities are priced correctly. In fact, Constantinides and Grundy [Constantinides, G.M., Grundy, B.D., 1989. Optimal investment with stock repurchase and financing as signals. Review of Financial Studies 2, 445–465.] claim that, in their model, any fully revealing equilibrium has efficient investment. This claim is incorrect, as infinitely many inefficient equilibria exist for the very example they work out. The inefficient outcomes survive the standard signaling-game equilibrium refinements. There are also examples that have fully revealing equilibria with inefficient investment but none with efficient investment.     

Computable Markov‐perfect industry dynamics

We provide a general model of dynamic competition in an oligopolistic industry with investment, entry, and exit. To ensure that there exists a computationally tractable Markov‐perfect equilibrium, we introduce firm heterogeneity in the form of randomly drawn, privately known scrap values and setup costs into the model. Our game of incomplete information always has an equilibrium in cutoff entry/exit strategies. In contrast, the existence of an equilibrium in the Ericson and Pakes' model of industry dynamics requires admissibility of mixed entry/exit strategies, contrary to the assertion in their article, that existing algorithms cannot cope with. In addition, we provide a condition on the model's primitives that ensures that the equilibrium is in pure investment strategies. Building on this basic existence result, we first show that a symmetric equilibrium exists under appropriate assumptions on the model's primitives. Second, we show that, as the distribution of the random scrap values/setup costs becomes degenerate, equilibria in cutoff entry/exit strategies converge to equilibria in mixed entry/exit strategies of the game of complete information.