【本期主题】Investment under Uncertaintyand the Value of Real and Financial Flexibility

We develop a model of investment timing under uncertaintyfor a financially constrained firm. Facing external financing costs, thefirm prefers to fund its investment through internal funds, so that thefirm’s optimal investment policy and value depend on both its earningsfundamentals and liquidity holdings. We show that financial constraintssignificantly alter the standard real options results, with the financialflexibility conferred by internal funds acting as a complement, and at timesas a substitute, to the real flexibility given by the optimal timing ofinvestment. We show that: 1) the investment hurdle is highly nonlinear andnon-monotonic in the firm’s internal funds; 2) in contrast to predictionsimplied by standard corporate savings models, a financially constrained firmmay behave in a risk seeking sense (and thus firm value may be convex inliquidity) due to the interaction between financial and real(growth/abandonment) flexibility; 3) with multiple rounds of growth options,a value-maximizing financially constrained firm may choose to over-investvia accelerated investment timing in earlier stages in order to mitigateunder-investment problems in later stages.

【报告人】 杨金强 上海财经大学金融学院教授

【时 间】12月02日 上午10:00

【地 点】明德主楼0509室

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报告人简介：

杨金强，上海财经大学金融学院教授，博士生导师，证券期货系主任。教育部青年“长江学者”，国家优秀青年基金获得者，教育部“新世纪优秀人才支持计划”获得者，上海市青年拔尖人才，上海市晨光学者，上海财经大学创新团队首席专家。同时兼任全国金融系统青年联合会委员，上海市突出贡献专家协会青年英才分会副会长，上海国际金融中心研究院研究员，上海市金融信息技术研究重点实验室研究员。最近五年主要致力于动态公司金融和资产定价的理论研究。共发表18篇匿名评审学术期刊论文，其中SSCI收录9篇，包括2篇Journal of Financial Economics，1篇Review of Financial Studies, 1篇Journal of Economic Theory等；中文期刊包括3篇《经济研究》，1篇《管理科学学报》， 2篇《系统工程理论与实践》，2篇《中国管理科学》。论文连续多年入选国际顶级金融学年会(AFA、WFA、EFA)。学术成果曾获全美华人金融协会(TCFA)最佳论文奖、中国金融博物馆第三届青年金融学者奖、第十二届中国金融学年会优秀论文一等奖、湖南省优秀博士学位论文奖、第三届上海财经大学学术奖、上海财经大学第19、20、21届中振科研基金优秀论文奖。

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