考虑状态转换的最优战略调整决策与企业价值研究

Optimal strategy adjustment decision and firm value based on regime switching

宏观经济的变化影响企业战略实施效果,本文构建以状态转换强度为影响因素的企业战略调整优化决策模型.运用随机动态最优控制方法,得到两状态下企业价值解析解,企业当前价值、增长期权和托宾Q分析解,以及相应的最优投资策略.理论研究和数值模拟表明:战略状态不影响企业最优战略调整时机,但影响最优投资支出,高战略水平时,企业生产率更高,为达到并维持企业最优资本结构,企业的投资支出增多;状态转换强度影响企业最优战略调整时机、战略调整瞬时的投资支出、托宾Q值和增长期权-企业价值比值;特别地,相对战略水平阈值是转换概率的单调递增函数,转换概率越大,相对战略水平阈值越大,企业保持当前战略的时间越长.总之,考虑状态转换能够改善未考虑状态转换时制定的战略调整决策和相应投资策略.

Considering regime switching, this paper establishes an optimal decision model of strategy adjustment based on a widely-used operating cash flow model. We provide closed-form solutions for the firm value, optimal trigger value of the relative strategy level and the corresponding investment decision by deriving and solving HJB equation. The conclusions are summed up as follows： strategy regime cannot influence the optimal timings of strategy adjustments, but have influences on the optimal investment expen- ditures; when there exist regime switching, transition probability has significant effects on optimal timings of strategy adjustment, optimal investment expenditures at the instant of strategy adjusting, Tobin＇s Q, and the ratio of the growth option to the firm value; the optimal trigger value of the relative strategy level is a monotone increasing function of transition probability, which shows that the firm maintains current strategy much longer with the bigger transition probability.