市场风险、政策不确定性与过度投资
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| Title | Market Risk, Policy Uncertainty and Overinvestment--An Analysis Based on Option Game
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| 作者 | 陈少凌 杨海生 李广众 |
| Author | Shaoling Chen ,Haisheng Yang and Guangzhong Li |
| 作者单位 | 暨南大学；中山大学 |
| Organization | Jinan University; Sun Yat-Sen University |
| 作者Email | tchensl@jnu.edu.cn；yhaish@mail.sysu.edu.cn；liguangzhong@mail.sysu.edu.cn |
| 中文关键词 | 市场风险 政策不确定性 过度投资 实物期权模型 |
| Key Words | Market Risk; Policy Uncertainty; Overinvestment; Option Game |
| 内容提要 | 不确定性下的投资是现代企业理论的重要研究课题，而宏观和微观两个层面的现实数据都表明，中国企业存在显著的过度投资倾向。那么，不确定性与企业过度投资之间有着怎样的联系呢？通过一个不完全信息的期权博弈模型，本文深入阐析了企业在异质的不确定环境下进行投资的动态决策机制，并据此提出了一个衡量企业过度投资程度的量化指标——过度投资率。我们发现：（1）市场风险抑制了企业投资，但政策不确定性在一定程度上会加速企业投资；（2）政策的持续性有助于抑制过度投资倾向；（3）总体而言，政策不确定性对企业过度投资行为的影响比市场风险更为强烈；（4）企业应对这两种不确定性的战略投资规则是相互替代的，市场风险的增大削弱了宏观调控对企业投资行为的影响。最后，利用房地产行业的月度数据，我们测算了中国房地产企业1998~2012年的过度投资率，结果表明，随着市场风险的降低以及政策的推进，企业的过度投资率都会有显著提高，且宏观调控对投资活动的影响还会随着时间而减弱。 |
| Abstract | Investment under uncertainty is one critical topic in modern firm theory. Empirical evidence from both macro- and micro-levels has shown that firms in China have an obvious inclination to overinvestment. Then, what is the relationship between uncertainty and overinvestment? Based on an incomplete information option game, we structure the dynamic investment decision-making scheme of firms under heterogeneous uncertainty, through which we also propose one quantitative measure for the degree of overinvestment—Overinvestment Rate (OIR). Our theoretical and numerical analyses suggest that: (1) market risk constrains investments, but policy uncertainty somehow accelerates investments; (2) policy persistency helps to depress overinvestment; (3) policy uncertainty has a greater impact on overinvestment than market risk; (4) a firm’s investment strategy in response to these two uncertainty are strategically substitute, implying that an increase in the market risk will constraint the impacts of macroeconomic policies on investments. Finally, we employ the monthly data to calibrate the actual investment behavior of the real estate firms in China from 1998 to 2012. We find that a real estate firm’s OIR increased significantly during periods with a lower market risk and/or during the transition of policies. Moreover, the impacts of a policy on investments would shrink over time. |
| 文章编号 | WP628 |
| 登载时间 | 2014-07-01 |
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