时间偏好不一致企业家动态投资策略研究  

Dynamic Investment Policy with Time-inconsistent Entrepreneur

作　　者：罗鹏飞[1] 段依竺 张勇[3] LUO Peng-fei;DUAN Yi-zhu;ZHANG Yong(School of Finance and Statistics,Hunan University,Changsha 410079;Guangdong R&D Center for Technological Economy,Guangzhou 510070;School of Mathematics and Statistics,Jishou University,Jishou 416000)

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079 [2]广东省技术经济研究发展中心,广东广州510070 [3]吉首大学数学与统计学院,湖南吉首416000

出　　处：《中国管理科学》2022年第1期54-63,共10页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(72001074,72061014);湖南省自然科学基金资助项目(2021JJ40132,2021JJ30558)。

摘　　要：考虑了时间偏好不一致下企业动态投资问题。假设企业家是时间偏好不一致的,利用实物期权方法和最优控制方法,分别得到了成熟型企业家和幼稚型企业家拓展期权价值、最优投资水平及破产水平,并分析了时间偏好不一致程度对企业家经营决策的影响。结论表明:时间偏好不一致导致了投资不足问题,较成熟型企业家而言,幼稚型企业家投资不足问题更严重。此外,时间偏好不一致可以消除乐观自信企业家过度投资问题;最后,成熟型企业较幼稚型企业家更倾向于提前破产,特别地,以成熟型企业家作为基准,幼稚型企业家投资前破产水平扭曲程度受时间偏好不一致影响较大,而投资后破产水平扭曲程度受时间偏好不一致影响较小。Investment decision is the classical problem in corporate finance, which studied in the literature. Myers(1997) find that in contrast to pure equity finance, leverage finance results in underinvestment problem due to delaying investment. While, Jensen and Meckling(1976)leverage finance leads to overinvestment problem because of accelerating investment. After that, a large number of articles study the investment problem of corporate under different situations, e.g. Mauer and Sarkar(2005), Hackbarth and Mauer(2012) and Sundaresan et al.(2015) among many others. The above literature assume that the agent is time-consistent preferences, i.e. the discount rate is constant. However, in fact, the agent is time-inconsistent preferences(see Thaler and Shafrin, 1981). The factor is incorporated dynamic policies about economic and finance problem, for example, Grenadier and Wang(2007), Liu and Yang(2015), Tian(2016) and so on. There is no paper considering the impact of time-inconsistent preferences on investment decision in a growth option model. Based on this, the investment decisions under time-inconsistent preferences is explored in this paper.In this paper, it is assumed that the cash flow after tax satisfies thatdX;=μX;dt+σX;dB;,where μ denotes the growth rate of cash flow, and σ denotes the volatility of cash flow. B is a standard Brownian motion.Following Haris and Laibon(2013), the time interval is divided into the present and the future one. We exponentially discount payoffs in the present interval with a constant discount rate ρ. In the future interval, we do so but further we discount them using a factor δ, where 0<δ≤1. Specifically, we assume that the discount function is■Further, it is assumed that the firm with assets-in-place has a project in the future, which investment cost is I. Before investment, the firm’s capital structure consists of equity and debt. The firm pays coupon c to bondholders. Once investment, the investment cost is fund by pure equity, and the cash flow increase from X to aX,

关 键 词：时间偏好不一致 成熟型企业家 幼稚型企业家 动态投资 

分 类 号：F830[经济管理—金融学]