投资者情绪与企业投资决策:基于实物期权的动态模型与数值模拟研究  

Investor Sentiment and Corporate Investment Decision： The Real Option Dynamic Model and Numerical Simulation

作　　者：顾乃康[1] 周艳利[1] 邓剑兰 

机构地区：[1]中山大学管理学院 [2]深圳国信证券

出　　处：《中大管理研究》2015年第4期23-43,共21页China Management Studies

基　　金：国家自然科学基金项目(71272203)的资助

摘　　要：本文在管理者理性、投资者非理性的假定下,基于实物期权方法构建了投资者情绪对企业投资决策影响的动态模型。该动态模型内生化了投资者情绪、迎合、市场时机和管理者视野等相关参数。通过模型我们发现,投资者情绪是造成企业过度投资的重要原因,且此时管理者为了抓住市场时机而向外增发的权益比例越大,或者管理者越短视,过度投资的现象越严重。通过数值模拟我们还进一步发现,在投资者情绪一定的情形下,管理者视野越长远将越有助于改善因投资者情绪所造成的投资决策扭曲。Under the assumption of rational manager and irrational investor, this article constructs a real option dynamic model of investor sentiment to study its impact on the corporate investment decision. The model endogenizes the investor sentiment. catering, market timing and managers horizon. Through modeling, we find that the investor sentiment is the important reason to cause the corporate overinvestment, especially when the proportion of outstanding equity is greater and the managers horizon is shorter, the more overinvestmenl will be. We further find through numerical simulation, given the investor sentiment, managers longer horizon will help to alleviate the distortion of corporate investment decision due to investor sentiment

关 键 词：投资者情绪 迎合 市场时机 管理者视野 投资决策 

分 类 号：F275[经济管理—企业管理]