Optimal financing and investment strategies under incomplete financial market

• Project/Area Number: 17H02547
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Tokyo Metropolitan University
• Principal Investigator: Shibata Takashi 東京都立大学, 経営学研究科, 教授 (70372597)
• Co-Investigator(Kenkyū-buntansha): 木島 正明 広島大学, 情報科学部, 教授 (00186222) ; 西原 理 大阪大学, 経済学研究科, 准教授 (20456940)
• Project Period (FY): 2017-04-01 – 2021-03-31
• Project Status: Completed (Fiscal Year 2021)
• Budget Amount: ¥16,120,000 (Direct Cost: ¥12,400,000、Indirect Cost: ¥3,720,000); Fiscal Year 2020: ¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000); Fiscal Year 2019: ¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000); Fiscal Year 2018: ¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000); Fiscal Year 2017: ¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
• Keywords: ファイナンス / クレジットリスク / 資金制約 / 非対称情報 / 企業金融 / 最適資本構成 / オプション理論 / 連鎖倒産 / 負債の再交渉 / 投資タイミング戦略 / リアルオプション

Outline of Final Research Achievements

This research developed the real options model to estimate the corporate equity and debt under incomplete financial market (in particular, financial constraint and asymmetric information). We showed how financial constraint and asymmetric information affect the interaction between financing and investment strategies. We organized the research workshop twice in Tokyo to exchange new ideas in corporate finance.

Academic Significance and Societal Importance of the Research Achievements

本研究における学術的意義は，新しい数理モデルを開発した点にある．具体的には，既存の数理モデルでの仮定(条件)を再考し，もしある仮定が実務と合致しないならば，その仮定を実務に合致するように条件を変更(緩和)して新しい数理モデルを開発した．本研究における社会的意義としては，新しく開発した数理モデルを，実務へ適応しようと試みている点にある．本研究では，新しく開発した数理モデルを実務に適用できるように，さらに研究を進めている．

Research Products

• [Int'l Joint Research] Singapore Management University(シンガポール)
• [Int'l Joint Research] University of Cambridge(英国)
• [Int'l Joint Research] University of Hong Kong/University of Shenzhen(中国)
• [Int'l Joint Research] University of Cambridge(英国)
• [Int'l Joint Research] University of Hong Kong/University of Shenzhen(China)
• [Journal Article] Optimal capital structure and simultaneous bankruptcy of firms in corporate networks (2021)
  • Author(s): Nishihara, M. and Shibata, T.
  • Journal Title: Journal of Economic Dynamics and Control Volume: 133 Pages: 104264-104264
  • DOI: 10.1016/j.jedc.2021.104264
  • Peer Reviewed / Open Access
• [Journal Article] Financing and investment strategies under creditor-maximized liquidation (2021)
  • Author(s): Shibata, T. and Nishihara, M.
  • Journal Title: International Journal of Theoretical and Applied Finance Volume: 24 Issue: 03 Pages: 2150013-2150013
  • DOI: 10.1142/s0219024921500138
  • Peer Reviewed / Open Access
• [Journal Article] Preemptive competition between two firms with different discount rates (2021)
  • Author(s): Nishihara, M.
  • Journal Title: Managerial and Decision Economics Volume: 42 Issue: 3 Pages: 675-687
  • DOI: 10.1002/mde.3264
  • Peer Reviewed / Open Access
• [Journal Article] R&D competition and cooperation with asymmetric spillovers in an oligopoly market (2021)
  • Author(s): Ishikawa, N. and Shibata, T.
  • Journal Title: International Review of Economics and Finance Volume: 72 Pages: 624-642
  • DOI: 10.1016/j.iref.2020.12.016
  • Peer Reviewed / Open Access
• [Journal Article] The effects of asset liquidity on dynamic sell-out and bankruptcy decisions (2021)
  • Author(s): Nishihara Michi、Shibata Takashi
  • Journal Title: European Journal of Operational Research Volume: 288 Issue: 3 Pages: 1017-1035
  • DOI: 10.1016/j.ejor.2020.06.031
  • Peer Reviewed / Open Access
• [Journal Article] Closed-form solution to a real option problem with regime switching (2020)
  • Author(s): Nishihara Michi
  • Journal Title: Operations Research Letters Volume: 48 Issue: 6 Pages: 703-707
  • DOI: 10.1016/j.orl.2020.08.013
  • Peer Reviewed / Open Access
• [Journal Article] Market competition, R&D spillovers, and firms' cost asymmetry (2020)
  • Author(s): Ishikawa, N. and Shibata, T.
  • Journal Title: Economics of Innovation and New Technology Volume: forthcoming Issue: 8 Pages: 847-865
  • DOI: 10.1080/10438599.2019.1673564
  • Peer Reviewed
• [Journal Article] オプション価格式を用いたコーポレートファイナンス理論モデル (2020)
  • Author(s): 芝田隆志
  • Journal Title: オペレーションズ・リサーチ Volume: 65 (7) Pages: 389-395
  • Open Access
• [Journal Article] Liquidation, fire sales, and acquirers' private information (2019)
  • Author(s): Nishihara, M. and Shibata, T.
  • Journal Title: Journal of Economic Dynamics and Control Volume: 108 Pages: 103769-103769
  • DOI: 10.1016/j.jedc.2019.103769
  • Peer Reviewed
• [Journal Article] Credit spread and liquidation-based debt financing constraint (2019)
  • Author(s): Shibata, T. and Nishihara, M.
  • Journal Title: International Journal of Theoretical and Applied Finance Volume: 22 Issue: 05 Pages: 1950021-1950021
  • DOI: 10.1142/s0219024919500213
  • Peer Reviewed
• [Journal Article] Operating leverage and underinvestment (2019)
  • Author(s): Jiao, F., Nishihara, M., and Zhang, C.
  • Journal Title: Journal of Financial Research Volume: 42 Issue: 3 Pages: 553-587
  • DOI: 10.1111/jfir.12188
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] Market price of trading liquidity risk and market depth (2019)
  • Author(s): Kijima, Masaaki and Ting, Christopher
  • Journal Title: International Journal of Theoretical and Applied Finance Volume: 22 (8) Issue: 08 Pages: 1-36
  • DOI: 10.1142/s0219024919500456
  • Peer Reviewed / Open Access / Int'l Joint Research
• [Journal Article] Investment under uncertainty with variable costly reversibility (2019)
  • Author(s): Shibata, T. and Wong, K. P.
  • Journal Title: International Review of Economics and Finance Volume: 59 Pages: 14-28
  • DOI: 10.1016/j.iref.2018.08.001
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] Agency cost of debt overhang with optimal investment timing and size (2019)
  • Author(s): Zhang, C., Sarkar, S. and Nishihara, M.
  • Journal Title: Journal of Business Finance and Accounting Volume: forthcoming Issue: 5-6 Pages: 784-809
  • DOI: 10.1111/jbfa.12379
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] Random shock uncertainty and investment reversibility: Real option framework (2018)
  • Author(s): Cui, X. and Shibata, T.
  • Journal Title: Bulletin of Economic Research Volume: 70 Issue: 2 Pages: 150-164
  • DOI: 10.1111/boer.12133
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders (2018)
  • Author(s): Nishihara, M. and Shibata, T.
  • Journal Title: Journal of Economic Dynamics and Control Volume: 90 Pages: 118-137
  • DOI: 10.1016/j.jedc.2018.02.006
  • Peer Reviewed
• [Journal Article] Investment timing, reversibility, and financing constraints (2018)
  • Author(s): Shibata Takashi、Nishihara Michi
  • Journal Title: Journal of Corporate Finance Volume: 48 Pages: 771-796
  • DOI: 10.1016/j.jcorpfin.2017.12.024
  • Peer Reviewed
• [Journal Article] Valuation of R&D investment under technological, market, and rival preemption uncertainty (2017)
  • Author(s): Nishihara Michi
  • Journal Title: Managerial and Decision Economics Volume: 39 Issue: 2 Pages: 200-212
  • DOI: 10.1002/mde.2896
  • Peer Reviewed
• [Journal Article] Investment strategies, reversibility, and asymmetric information (2017)
  • Author(s): Cui, X. and Shibata, T.
  • Journal Title: European Journal of Operational Research Volume: 263 Issue: 3 Pages: 1109-1122
  • DOI: 10.1016/j.ejor.2017.06.032
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] Default and liquidation timing under asymmetric information (2017)
  • Author(s): Nishihara, M. and Shibata, T.
  • Journal Title: European Journal of Operational Research Volume: 263 Issue: 1 Pages: 321-336
  • DOI: 10.1016/j.ejor.2017.05.038
  • Peer Reviewed
• [Journal Article] Effects of temporary regulation of asymmetric access charges in telecommunications (2017)
  • Author(s): Shibata, T. and Nishihara, M.
  • Journal Title: Managerial and Decision Economics Volume: 38 Issue: 3 Pages: 344-364
  • DOI: 10.1002/mde.2780
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Investment timing and quantity strategies under asymmetric information (2017)
  • Author(s): Cui, X. and Shibata, T.
  • Journal Title: Theory of Probability and Its Applications Volume: 61 Issue: 1 Pages: 151-159
  • DOI: 10.1137/s0040585x97t988046
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Selling out or going public? A real options signaling approach (2017)
  • Author(s): Nishihara, M.
  • Journal Title: Finance Research Letters Volume: 印刷中 Pages: 146-152
  • DOI: 10.1016/j.frl.2017.04.003
  • Peer Reviewed
• [Journal Article] A solution to the time-scale fractional puzzle in the implied volatility (2017)
  • Author(s): Funahashi, H. and Kijima, M.
  • Journal Title: Fractal and Fractional Volume: 1 Issue: 1 Pages: 1-17
  • DOI: 10.3390/fractalfract1010014
  • Peer Reviewed
• [Journal Article] A unified approach tor the pricing of options relating to averages (2017)
  • Author(s): Funahashi, H. and Kijima, M.
  • Journal Title: Review of Derivatives Research Volume: 印刷中 Issue: 3 Pages: 203-229
  • DOI: 10.1007/s11147-017-9128-4
  • Peer Reviewed
• [Journal Article] Does the Hurst index matter for option prices under fractional volatility? (2017)
  • Author(s): Funahashi, H. and Kijima, M.
  • Journal Title: Annals of Finance Volume: 13 Issue: 1 Pages: 55-74
  • DOI: 10.1007/s10436-016-0289-1
  • Peer Reviewed
• [Journal Article] An analytical approximation for pricing VWAP options (2017)
  • Author(s): Funahashi, H. and Kijima, M.
  • Journal Title: Quantitative Finance Volume: 印刷中 Issue: 7 Pages: 1119-1133
  • DOI: 10.1080/14697688.2016.1260758
  • Peer Reviewed
• [Presentation] Investment, strategic debt service, and liquidation (2021)
  • Author(s): Shibata, T.
  • Organizer: 22nd Conference of the International Federation of Operational Research Societies
  • Int'l Joint Research
• [Presentation] Investment, strategic debt service, and liquidation (2021)
  • Author(s): Shibata, T.
  • Organizer: 31st European Conference on Operational Research
  • Int'l Joint Research
• [Presentation] Investment under an earnings-based borrowing constraint (2021)
  • Author(s): Nishihara, M.
  • Organizer: Real Options Seminar, Osaka University
  • Int'l Joint Research
• [Presentation] Investment, financing, strategic debt service, and formal bankruptcy (2021)
  • Author(s): 芝田隆志
  • Organizer: 2021年度日本OR学会関西支部シンポジウム「確率モデルの躍動」
• [Presentation] Corporate investment, financing, and exit decisions with an earnings-based borrowing constraint (2021)
  • Author(s): 西原理
  • Organizer: 日本オペレーションズ・リサーチ学会2021年秋季研究発表会
• [Presentation] Project sustainability from a real options perspective (2021)
  • Author(s): 西原理
  • Organizer: RIMS Workshop on Financial Modeling and Analysis 2021 (FMA 2021)
• [Presentation] Investment, financing, strategic debt service, and liquidation (2021)
  • Author(s): 芝田隆志
  • Organizer: RIMS Workshop on Financial Modeling and Analysis 2021 (FMA 2021)
• [Presentation] Investment, strategic debt service, and liquidation (2020)
  • Author(s): Shibata, T.
  • Organizer: Real Options Seminar, Osaka University
  • Int'l Joint Research
• [Presentation] Optimal financing strategy under asymmetric information on collateral (2020)
  • Author(s): Shibata, T.
  • Organizer: 令和2年 (2020) 日本オペレーションズ・リサーチ学会 春季大会
• [Presentation] Financing, investment, liquidation, and costly reversibility (2020)
  • Author(s): Shibata, T.
  • Organizer: 令和元年 (2019) 日本オペレーションズ・リサーチ学会 秋季大会
• [Presentation] Capital structure and contagious bankruptcy (2020)
  • Author(s): Nishihara, M.
  • Organizer: 16th RSEP International Economics and Social Sciences Conference
  • Int'l Joint Research
• [Presentation] Financing, investment, liquidation, and costly reversibility (2019)
  • Author(s): Shibata, T.
  • Organizer: Operations Research 2019
  • Int'l Joint Research
• [Presentation] Interaction of investment and financing decisions with costly reversibility in liquidation (2019)
  • Author(s): Shibata, T.
  • Organizer: 23rd International Conference on Real Options 2019
  • Int'l Joint Research
• [Presentation] Financing, investment, liquidation, and costly reversibility (2019)
  • Author(s): Shibata, T.
  • Organizer: 29th European Conference on Operational Research
  • Int'l Joint Research
• [Presentation] Financing, investment, liquidity, and asymmetric information (2019)
  • Author(s): Shibata, T.
  • Organizer: 第47回青山ファイナンス研究会
• [Presentation] クレジットリスクを考慮した企業の投資行動と資金調達についての最適戦略 (2019)
  • Author(s): Shibata, T.
  • Organizer: 日本リアルオプション学会 (JAROS) 「イノベーション創出のための機動的マネジメント」研究部会
• [Presentation] The effects of asset liquidity on bankruptcy decisions (2019)
  • Author(s): Nishihara, M.
  • Organizer: World Finance and Banking Symposium
  • Int'l Joint Research
• [Presentation] Preemptive competition between two firms with different time discounts (2019)
  • Author(s): Nishihara, M.
  • Organizer: Operations Research 2019
  • Int'l Joint Research
• [Presentation] Preemptive competition between two firms with different time discounts and investment costs (2019)
  • Author(s): Nishihara, M.
  • Organizer: INFORMS ALIO International Conference
  • Int'l Joint Research
• [Presentation] Liquidation, fire sales, and acquirers' private information (2019)
  • Author(s): Nishihara, M.
  • Organizer: Forum for Economists International 11th Global Conference
  • Int'l Joint Research
• [Presentation] The effects of asset liquidity on dynamic bankruptcy decisions (2019)
  • Author(s): Nishihara, M.
  • Organizer: 27th EBES Conference
  • Int'l Joint Research
• [Presentation] The effects of asset liquidity on dynamic bankruptcy decisions (2019)
  • Author(s): 西原理
  • Organizer: 日本オペレーションズ・リサーチ学会2019年春季研究発表会
• [Presentation] Financing and investment strategies under endogenous liquidation value (2018)
  • Author(s): Shibata, T.
  • Organizer: Workshop on Dynamic Models of Strategic Investment under Uncertainty
  • Int'l Joint Research / Invited
• [Presentation] Financing and investment strategies under asymmetric information about liquidation value (2018)
  • Author(s): Shibata, T.
  • Organizer: Cambridge Finance Lunch Seminar
  • Int'l Joint Research
• [Presentation] Optimal financing and investment strategies under asymmetric information about collateral value (2018)
  • Author(s): Shibata, T.
  • Organizer: Advanced Methods of Mathematical Finance 2018
  • Int'l Joint Research / Invited
• [Presentation] Financing and investment strategies under information asymmetry (2018)
  • Author(s): Shibata, T.
  • Organizer: 29th European Conference on Operational Research
  • Int'l Joint Research
• [Presentation] Financing and investment strategies under information asymmetry (2018)
  • Author(s): Shibata, T.
  • Organizer: 24th International Conference on Computing in Economics and Finance
  • Int'l Joint Research
• [Presentation] The effects of asset liquidity on dynamic bankruptcy decisions (2018)
  • Author(s): Nishihara, M.
  • Organizer: 9th Global Business Research Conference
  • Int'l Joint Research
• [Presentation] Bankruptcy, liquidation, and fire sales under asymmetric information (2018)
  • Author(s): Nishihara, M.
  • Organizer: 29th European Conference on Operational Research
  • Int'l Joint Research
• [Presentation] Bankruptcy, liquidation, and fire sales under asymmetric information (2018)
  • Author(s): Nishihara, M.
  • Organizer: 9th International Research Meeting in Business and Management
  • Int'l Joint Research
• [Presentation] Investment timing when investment opportunities arrive in a random sequence (2018)
  • Author(s): Nishihara, M.
  • Organizer: 5th Stochastic Modeling Techniques and Data Analysis International Conference
  • Int'l Joint Research
• [Presentation] The effects of asset liquidity on dynamic bankruptcy decisions (2018)
  • Author(s): 西原理
  • Organizer: ファイナンスの数理解析とその応用
• [Presentation] Operating leverage and underinvestment (2018)
  • Author(s): 西原理
  • Organizer: 日本オペレーションズ・リサーチ学会2018年秋季研究発表会
• [Presentation] Liquidity, investment timing, and value of waiting (2018)
  • Author(s): 西原理
  • Organizer: 日本オペレーションズ・リサーチ学会「数理的発想とその実践」研究グループ
• [Presentation] Investment timing when investment opportunities arrive in a random sequence (2018)
  • Author(s): Nishihara, M.
  • Organizer: ISERD 335th International Conference on Accounting and Finance
  • Int'l Joint Research
• [Presentation] Investment timing when investment opportunities arrive in a random sequence (2018)
  • Author(s): 西原理
  • Organizer: 日本オペレーションズ・リサーチ学会2018年春季研究発表会
• [Presentation] Financing and investment strategies under information asymmetry (2017)
  • Author(s): Shibata, T.
  • Organizer: Mathematics of Risk 2017
  • Int'l Joint Research
• [Presentation] Investment timing, collateral, and financing constraints (2017)
  • Author(s): Shibata, T.
  • Organizer: 23rd International Conference on Computing in Economics and Finance (CEF 2017)
  • Int'l Joint Research
• [Presentation] Financing and investment strategies under information asymmetry (2017)
  • Author(s): 芝田隆志
  • Organizer: 京都大学数理解析研究所研究集会「ファイナンスの数理解析とその応用」
• [Presentation] Bankruptcy, liquidation, and fire sales under asymmetric information (2017)
  • Author(s): Nishihara, M.
  • Organizer: Dynamic Corporate Finance Workshop
  • Int'l Joint Research
• [Presentation] Bankruptcy, liquidation, and fire sales under asymmetric information (2017)
  • Author(s): Nishihara, M.
  • Organizer: 23rd EBES Conference
  • Int'l Joint Research
• [Presentation] Bankruptcy decision under asymmetric information (2017)
  • Author(s): Nishihara, M.
  • Organizer: 5th Asian Quantitative Finance Conference
  • Int'l Joint Research
• [Presentation] Bankruptcy, liquidation, and fire sales under asymmetric information (2017)
  • Author(s): 西原理
  • Organizer: 京都大学数理解析研究所研究集会「ファイナンスの数理解析とその応用」
• [Presentation] Bankruptcy decision under asymmetric information (2017)
  • Author(s): 西原理
  • Organizer: 日本ファイナンス学会 2017年度大会
• [Presentation] Default and liquidation decisions under asymmetric information between insiders and outsiders (2017)
  • Author(s): 西原理
  • Organizer: 首都大学東京第19回丸の内QFセミナー
• [Presentation] A model of price impact function (2017)
  • Author(s): Kijima, M.
  • Organizer: Quantitative Methods in Finance 2017
  • Int'l Joint Research / Invited
• [Book] リーマンショック後の金融工学 (2019)
  • Author(s): 木島正明，藤原哉
  • Total Pages: 191
  • Publisher: https://www.credit-pricing.com/2019/12/21/2082/
• [Remarks] TMU Workshop on Finance 2019
  • URL: https://www.biz.tmu.ac.jp/quantitative-finance/workshop/tmu2019/
• [Funded Workshop] TMU Workshop on Finance 2019 (2019)
• [Funded Workshop] TMU Workshop on Finance 2017 (2017)