随机波动率与投资中的q理论

Stochastic Volatility and the q Theory of Investment

本文将随机波动率引入托宾q模型，讨论生产率冲击的波动率大小对公司价值与投资决策的影响．研究发现，公司托宾q值会受到生产率冲击波动率的显著影响，波动率的增大会降低托宾q值，且该影响会随着波动率的增大而加剧．此外，波动率对托宾q值的影响也会传导到公司的投资决策上来，托宾q降低会使得投资额减小，该影响同样会随波动率的增大而加剧．本文还考虑了波动率对公司在用资产与成长机会价值的影响，更为合理地刻画了公司生产过程中生产率冲击的波动率为随机的假设现实情况，所得结论对公司估值及投资决策均有一定的参考价值．

We introduce stochastic volatility to Tobin＇s q theory, in order to find how volatility of productivity shock affects a firm＇s value and its investment decision. We show that volatility of productivity shock has significant effect on firm＇s Tobin＇s q, which decreases as volatility rises and the effect gets more obvious as volatility gets bigger. On the other hand, this effect can also affect firm＇s investment decision because the decrease of Tobin^s q can reduce firm＇s investment, and the effect gets larger when volatility rises too. We also illustrate the effect of volatility upon firm＇s assets in place and growth opportunities. Our assumption that volatility of productivity shock is stochastic is more realistic than existing literature, so our conclusion is able to provide a reference for firm＇s valuation and investment decision.