教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动
精算论坛讲座第147期- YuanTian(9月14日)
报告题目(Title)： Dynamic investment, financing andliquidity management under risk and ambiguity
报告时间(Date)：2018年9月14日（周五）上午10:00-11:30
报告人(Speaker): Yuan Tian
Faculty of Economics,Ryukoku University（日本龙谷大学经济系）
YuanTian博士现任日本龙谷大学经济系副教授(Associate Professor)，主要从事连续时间动态公司金融、行为金融以及金融市场微观结构等方面的理论研究。在Journal of Economic Dynamics andControl, International Review of Economics and Finance, Economic Modelling等期刊上发表论文多篇。长期担任Journal of Economic Dynamicsand Control，International Review ofEconomics and Finance，EconomicModelling，the Japanese Economic Review，Journal of the Operations Research Societyof Japan，International Journal of RealOptions and Strategy等国际期刊的审稿人。
摘要 (Abstract):
Weconsider a model of dynamic investment, financing, and liquidity management forfinancially constrained firms under risk and ambiguity. We examine and differentiatethe impact of risk and ambiguity on (i) firm value-capital ratio, (ii) dividendpolicy, (iii) marginal value of cash, and (iv) investment-capital ratio,respectively, in two cases: liquidation and refinancing. We find that theeffect of ambiguity is drastically different from that of traditional risk.Specifically, an increase in ambiguity first decreases and then increases thecash holdings while an increase in risk increases the cash holdingsmonotonically. Compared to the usual precautionary effect due to future risk ofliquidation or costly external financing, we clarify that ambiguity aversionbias brings an effect of “a bird in the hand” (prefer dividend payments) and anadditional precautionary effect (prefer cash hoarding). Consequently, there isa trade-off between the two counteracting effects. Our model providesbehavioral explanations for the observed corporate cash holdings puzzle (i.e.,cash holdings may decrease or increase with the degree of ambiguity aversion).
报告地点(Location)：中央财经大学学术会堂南楼506（精算院会议室）
欢迎各位老师和同学积极参加！
