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研究生:林雍然
研究生(外文):Yong-Ran Lin
論文名稱:不確定性及流動性對於企業投資權利價值之影響
論文名稱(外文):Impact of Uncertainty and Liquidity to the Value of an Investment Option of a Company
指導教授:洪茂蔚洪茂蔚引用關係
口試委員:馮詩蘋邱琦倫蔡佳芬蔡豐澤
口試日期:2015-06-17
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:國際企業學研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
語文別:中文
論文頁數:36
中文關鍵詞:動態投資決策投資權利價值流動性不確定性
外文關鍵詞:dynamic investment decisionliquidityuncertainty
相關次數:
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  • 點閱點閱:147
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  • 收藏至我的研究室書目清單書目收藏:0
在此論文中,將分析一家面對內生融資限制公司的動態投資決策。未來資金短缺的風險將會使公司投資專案的選擇權利之價值降低,並且加速投資行為,而目前資金不足也會使公司無法在想投資時任意實行投資專案。當公司的現金存量遵守幾何布朗運動過程(Geometric Brownian motion process)時,投資專案價值也會受到其不確定性影響,同時投資專案的獲利也為一布朗運動,本文將以偏微分方程的數值解來對理論上的解做映證並討論其中機制。此外,也會討論以其他方式影響投資行為的資本市場阻力,如投資對於現金流之敏感度、投資不缺定性及公司流動性分別有何關係,而這些結果指出:
1. 投資對於現金流之敏感性對於高流動性公司較高。
2. 越大的不確定性對於投資的效果有兩種不同向之效果,因此最終結果要視兩種效果之大小關係而定。

In this thesis, I will analyze the dynamic investment decision of a firm subject to an endogenous financing constraint. The threat of future funding shortfalls lowers the value of the firm’s timing options and encourages acceleration of investment beyond the first-best optimal level. As well as highlighting another way by which capital market friction can distort investment behavior, this result implies that
1. The sensitivity of investment to cash flow can be greatest for high-liquidity firms.
2. Greater uncertainty has an ambiguous effect on investment.

口試委員審定書 I
致謝 II
中文摘要 III
ABSTRACT IV
目錄 V
圖目錄 VI
表目錄 VII
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 1
第三節 研究架構 2
第二章 文獻探討 3
第三章 投資環境設定 6
第四章 最適投資策略 9
第一節 最適投資策略分析 9
第二節 最適投資策略之解 12
第五章 投資不足、投資加速及流動性 26
第六章 投資與不確定性 30
第七章 結論 32
參考文獻 34

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Weingartner, Martin H., 1977, Capital rationing: n authors in search of a plot, Journal of Finance 32, 1403-1432.
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