风险与模糊性下的动态投资策略与最优资本结构

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

{"title":"风险与模糊性下的动态投资策略与最优资本结构","authors":"Dandan Song, Wenwei Wang, Pengfei Luo","doi":"10.1016/j.frl.2025.108643","DOIUrl":null,"url":null,"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.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"139 1","pages":""},"PeriodicalIF":6.9000,"publicationDate":"2025-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Dynamic investment strategy and optimal capital structure under risk and ambiguity\",\"authors\":\"Dandan Song, Wenwei Wang, Pengfei Luo\",\"doi\":\"10.1016/j.frl.2025.108643\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":12167,\"journal\":{\"name\":\"Finance Research Letters\",\"volume\":\"139 1\",\"pages\":\"\"},\"PeriodicalIF\":6.9000,\"publicationDate\":\"2025-10-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Finance Research Letters\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1016/j.frl.2025.108643\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1016/j.frl.2025.108643","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

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。

查看原文本刊更多论文

Dynamic investment strategy and optimal capital structure under risk and ambiguity

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance