企业投资行为不确定性与实物期权的实证分析

Empirical analysis on uncertainty and real option in process of firm-level (investment decision)

以实物期权定价投资分析思路,实证分析了当投资为不可逆性时不确定性因素是如何对企业投资决策行为形成影响的机制.运用四川省、重庆市227家工业企业1998—1999年的面版数据(paneldataset),检验了不确定性条件下不可逆投资模型的预测性.基于企业投资决策者关于未来企业产出需求主观概率分布的抽样调查信息,构造了企业产出需求的期望方差,作为不确定性因素的测度.实证分析结果表明,对于命题不确定性程度越高投资临界水平值就越大,样本企业的数据信息给予了支持,但对于命题仅当企业资本边际收益产出达到投资临界水平值时企业方才投资,样本企业的数据信息却缺乏充分证据予以支持,对此现象论文给出了若干解释.

This paper focuses on how irreversibility influences the effect of uncertainty on firm-level investment decision with theory of real option pricing. In empirical study, panel data on Sichuan and Chongqing 227 firms in period of 1998-1999 is used to test predictions from models of irreversible investment under uncertainty. Survey information on the entrepreneur's subjective probability distribution over future demand for the firm's products is used to construct the expected variance of demand, which is used as a measure of uncertainty. Empirical results support higher uncertainty raises the hurdle level that triggers investment. Moreover, the results have not sufficient evidences to prove the prediction that firms wait to invest until the marginal revenue product of capital reaches a firm-specific hurdle level, and some reasons for explaining this phenomenon are given.