异质信念下企业动态投资策略研究

Research on Dynamic Investment Strategies of Enterprises under Heterogeneous Beliefs

摘要: 从行为金融角度出发，引入企业决策者的时间偏好不一致和模糊厌恶特质，采用实物期权和最优控制方法，构建异质信念下的企业动态投资模型，探讨决策者的异质信念对企业最优破产水平与投资决策的影响。数值分析表明：时间偏好一致的企业决策者更看好企业未来发展，其最优破产水平较低。其次，当决策者存在模糊厌恶特质时，由于风险资产收益的不确定性使决策者在决策过程中更加谨慎，企业破产阈值会更高。最后，企业决策者的时间偏好不一致程度越大，他们更倾向于延时投资，通过较高的现金流来弥补投资成本和风险。并且模糊厌恶特质使决策者更倾向于规避风险，减少企业的投资水平，从而加剧了投资不足的情况。本文从一个新的视角研究金融问题，有助于提升企业投资效率和企业价值，为企业经营决策提供理论依据。

Abstract: From the perspective of behavioral finance, the inconsistent time preference and fuzzy aversion traits of corporate decision makers are introduced, and real options and optimal control methods are used to construct a dynamic investment model of corporations under heterogeneous beliefs, and to explore the impact of heterogeneous beliefs of decision makers on the optimal bankruptcy level and investment decisions of corporations. Numerical analysis shows that corporate decision makers with consistent time preference are more optimistic about the future development of the enterprise, and their optimal bankruptcy level is lower. Second, when the decision maker has a fuzzy aversion trait, the corporate bankruptcy threshold is higher due to the uncertainty of risky asset returns that makes the decision maker more cautious in the decision making process. Finally, the greater the degree of inconsistency in the time preference of the firm’s decision makers, the more they prefer delayed investment to compensate for investment costs and risks through higher cash flows. In addition, the ambiguity aversion trait exacerbates underinvestment by making decision makers more risk-averse and reducing the level of investment in the firm. This paper studies financial issues from a new perspective, which helps to enhance corporate investment efficiency and corporate value, and provides a theoretical basis for corporate business decisions.