不确定条件下企业现金持有与投资经营决策模型

Modelimg Cash Holding and the Investment-operating Decision Making under Uncertainty

在不完全市场假设条件下,研究企业现金持有量对企业的投资经营决策及其投资期权价值的影响。研究发现:首先,与完全市场假设条件下的结果不同,在考虑现金持有量的不完全市场假设条件下,企业的退出临界值远低于其经营成本,并且随着企业现金持有量的增加,企业的退出临界值随之下降。其次,企业投资的临界值要严格大于其退出的临界值,随着现金流的增加,企业投资的临界值会相应的减小。另外,现金持有量的增加严格增加了企业等待阶段投资期权的价值,并且这种影响是非线性的。

To describe the relationship between cash holding and investment-operating decision of enterprise under incomplete market hypothesis, this paper studies the impacts of the cash holding on the investment-operating decision and the option value. The results show as follows. First, the critical value obtained under the incomplete market hypothesis is different from that obtained under the complete market hypothesis. The exit critical value is much lower than the operating costs of the enterprise and the enterprises exit threshold drops as corporate cash holding increases. Second, the enterprise investment threshold is strictly greater than the critical value of exiting and reduces with an increase of cash flow. In addition, the rise of cash holding increases the investment option value in waiting periods strictly and this uptrend is non-linear.