Dynamic investment strategy and optimal capital structure under risk and ambiguity

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-10-10 DOI:10.1016/j.frl.2025.108643

Dandan Song, Wenwei Wang, Pengfei Luo

引用次数: 0

Abstract

This paper introduces model uncertainty and risk management into a levered firm’s decision-making model based on a real option framework, and demonstrates the implications of ambiguity aversion to the optimal project initiation investment, productivity improved investment, hedging and financing decisions. The numerical results provide several important implications. Model uncertainty leads to underinvestment and reduces the firm value, the optimal coupon and also the leverage ratio. Besides, the firm value is enhanced and investment is accelerated accordingly with hedging. Especially, the more ambiguity-averse the manager is, the more significant the impact of hedging is.

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风险与模糊性下的动态投资策略与最优资本结构

本文将模型不确定性和风险管理引入到基于实物期权框架的杠杆企业决策模型中，并论证了模糊性规避对最优项目启动投资、生产率提高投资、套期保值和融资决策的影响。数值结果提供了几个重要的启示。模型的不确定性导致投资不足，降低企业价值、最优息票和杠杆率。此外，套期保值还能提高企业价值，加快投资速度。特别是，经理越是厌恶模糊性，对冲的影响就越显著。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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