金融泡沫与企业投资  

Financial bubbles and firm investment

作　　者：张利兵[1,2] 吴冲锋[2] 应益荣[3] 

机构地区：[1]上海立信会计学院金融学院,上海201620 [2]上海交通大学安泰经济管理学院,上海200052 [3]上海大学国际工商与管理学院金融系,上海200444

出　　处：《管理科学学报》2010年第1期60-69,94,共11页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70701023);中国博士后基金资助项目(20060390628);上海市教育委员会科研创新资助项目(10ZS129)

摘　　要：研究了金融泡沫对企业投资策略影响的微观机理.在投资项目市场价值中引入金融泡沫因子,建立起企业的投资决策模型,研究了泡沫对投资概率的影响,并对泡沫持续期、决策者视窗和融资规模和方式与金融泡沫对投资的共同影响进行了分析.结果表明:正泡沫对投资具有推动作用,负泡沫具有抑制作用;正泡沫期间进行的投资长期具有折价趋势,负泡沫期间进行的投资价值有上升趋势;正泡沫持续期越长,投资的可能性越小;负泡沫的持续期越长,投资可能性越大;在正泡沫期,若决策者越短视,立即投资的动机越强,企业偏向于出售股权进行投资;在负泡沫期,若决策者越短视,投资将会推迟,企业偏向于以其他融资方式进行投资.This paper investigates the micro-mechanism of financial bubble effect on firm investment decision under uncertainty condition. By integrating a bubble factor into investment value, the paper constructs a firm investment model, thus analyzes the bubble effect on investment probability. Also, the effects of bubble duration, decision horizon and funding method on firm investment are investigated. Our study shows that positive bubbles can promote, while negative bubbles restrain firm investment. Positive bubble duration has negative relations with investment probability, while negative bubble duration, antithetical. While the bubble is positive, the shorter horizon the investment decision-maker has, the less the probability of investment, and the firm tends to stock funding; while the bubble is negative, antithetical.

关 键 词：投资 泡沫 马尔科夫链 美式期权 

分 类 号：F830.91[经济管理—金融学]