考虑债务容量的企业最优投资决策模型

Optimal Investment Decision Making Model for Corporation with Debt Capacity

考虑了企业投资决策中的债务容量问题,把企业投资期权的价值分为债务投资期权的价值和权益投资期权的价值,研究不确定性环境下企业对投资时机、投资规模以及债务容量同时选择的问题。研究发现当企业产品价格的波动率在比较小的范围内波动时,企业债务期权的价值随着波动率的增加而增加,但是当波动率较大时企业债务投资期权的价值会随之下降。债务容量的增加推迟了企业的投资但会增加企业投资的规模,并且企业投资规模增加的幅度要大于企业投资时机增加的幅度。最后,产品价格不确定性程度的增加能够降低企业的最优债务容量。

This paper contributes to the literature by identifying the optimal timing, optimal scale and optimaldebt capacity under uncertainty. Taking the debt into consideration, this paper puts the value of investment tooption into two categories ： the value of investment to option for debt and the value of investment to option forequity. This paper finds that when the product price changes in a small range, the value of the options for thedebts growing as the volatility increases while it will decrease if the volatility changes to much. The increase indebt capacity delays investment timing and increases the scale of investment. The investment scale increase ismuch larger than the investment timing. Finally, bigger product volatility can reduce the enterprise＇ s optimallevel of debt capacity.