Estimation of corporate potential affairs and its extension

• Project/Area Number: 19710126
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Social systems engineering/Safety system
• Research Institution: Tokyo Metropolitan University
• Principal Investigator: SHIBATA Takashi Tokyo Metropolitan University, 大学院・社会科学研究科, 准教授 (70372597)
• Project Period (FY): 2007 – 2009
• Project Status: Completed (Fiscal Year 2009)
• Budget Amount: ¥3,800,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥600,000); Fiscal Year 2009: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000); Fiscal Year 2008: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000); Fiscal Year 2007: ¥1,200,000 (Direct Cost: ¥1,200,000)
• Keywords: ファイナンス / プロジェクト評価 / リアルオプション / リスク / エージェンシー理論 / エージェンシー問題

Research Abstract

We derive the valuation of the potential financial affairs with corporate risk and estimate it by calibrating the parameters with practical data. In particular, we valuate corporate investment project in a decentralize firm in the presence of asymmetric information between the owner and the manager.

Research Products

• [Journal Article] Strategic investment with debt financing. (2010)
  • Author(s): Nishihara, M., Shibata, T.
  • Journal Title: International Journal of Management Science and Engineering Management No.5(1) Pages: 3-14
  • Peer Reviewed
• [Journal Article] Dynamic investment and capital structure under manager-shareholder conflict. (2010)
  • Author(s): Shibata, T., Nishihara, M.
  • Journal Title: Journal of Economic Dynamics and Control No.34(2) Pages: 158-178
  • Peer Reviewed
• [Journal Article] Dynamic investment and capital structure under manager-shareholder conflict (2010)
  • Author(s): Shibata, T., Nishihara, M.
  • Journal Title: Journal of Economic Dynamics and Control 34 Pages: 158-178
  • Peer Reviewed
• [Journal Article] Strategic investment with debt financing (2010)
  • Author(s): Nishihara, M., Shibata, T.
  • Journal Title: International Journal of Management Science and Engineering Management 5 Pages: 3-14
  • Peer Reviewed
• [Journal Article] Reorganization strategies and securities valuation under asymmetric information (2010)
  • Author(s): Shibata, T., Tian, Y.
  • Journal Title: International Review of Economics and Finance (forthcoming)
  • Peer Reviewed
• [Journal Article] Investment timing, asymmetric information, and audit structure: A real options framework (2009)
  • Author(s): Shibata, T.
  • Journal Title: Journal of Economic Dynamics and Control No.33(4) Pages: 903-921
  • Peer Reviewed
• [Journal Article] Dynamic model of credit risk in relationship lending: A game-theoretic real options approach. (2009)
  • Author(s): Shibata, T., Yamada, T.
  • Journal Title: Monetary and Economic Studies No27 Pages: 195-218
  • Peer Reviewed
• [Journal Article] 西原理企業内の利害対立と最適投資タイミング (2009)
  • Author(s): 芝田隆志
  • Journal Title: オペレーションズ・リサーチ Vol.53(11)
• [Journal Article] リアルオプションと資金調達 (2009)
  • Author(s): 西原理, 芝田隆志
  • Journal Title: オペレーションズ・リサーチ Vol.53(11)
  • NAID: 110006990368
• [Journal Article] Investment timing, asymmetric information, and audit structure : A real options framework (2009)
  • Author(s): Shibata, T.
  • Journal Title: Journal of Economic Dynamics and Control 33 Pages: 903-921
  • Peer Reviewed
• [Journal Article] Dynamic model of credit risk in relationship lending : A game-theoretic real options approach (2009)
  • Author(s): Shibata, T., Yamada, T.
  • Journal Title: Monetary and Economic Studies 27 Pages: 1-46
  • Peer Reviewed
• [Journal Article] Investment timing, asymmetric information, and audit structure : A real options framework. (2009)
  • Author(s): Shibata, T.
  • Journal Title: Journal of Economic Dynamics and Control (forthcoming)
  • Peer Reviewed
• [Journal Article] The agency problem between the owner and the manager in real investment: bonus-audit relationship (2008)
  • Author(s): Nishihara, M., Shibata, T.
  • Journal Title: Operations Research Letters No.36(3) Pages: 291-296
  • Peer Reviewed
• [Journal Article] メイン寄せリスクと貸出債権価値の評価:ゲーム論的リアルオプションによるアプローチ (2008)
  • Author(s): 芝田隆志, 山田哲也
  • Journal Title: 金融研究(日本銀行金融研究所) 第27巻別冊第2号 Pages: 1-46
  • NAID: 40016354692
  • Peer Reviewed
• [Journal Article] The impacts of uncertainties in a real options model under incomplete information. (2008)
  • Author(s): Shibata, T.
  • Journal Title: European Journal of Operational Research No.187(3) Pages: 1368-1379
  • Peer Reviewed
• [Journal Article] 企業内の利害対立下での最適な投資と資本構成 (2008)
  • Author(s): 芝田隆志, 西原理
  • Journal Title: 京都大学数理解析研究所講究録 1580 Pages: 220-233
• [Journal Article] Debt Financing, and Competition (2008)
  • Author(s): Nishihara, M., Shibata, T., Real Options
  • Journal Title: 京都大学数理解析研究所講究録 1580 Pages: 206-219
• [Journal Article] The impacts of uncertainties in a real options model under incomplete information. (2008)
  • Author(s): Shibata, T.
  • Journal Title: European Journal of Operational Research 187 Pages: 1368-1379
  • Peer Reviewed
• [Journal Article] The agency problem between the owner and the manager in real investment : The bonus-audit relationship (2008)
  • Author(s): Nishihara, M., and Shibata, T.
  • Journal Title: Operations Research Letters 36 Pages: 291-296
  • Peer Reviewed
• [Journal Article] メイン寄せリスクと貸出債権価値の評価 : ゲーム理論的リアルオプションによるアプローチ (2008)
  • Author(s): 芝田隆志・山田哲也
  • Journal Title: 金融研究 27 Pages: 1-46
  • Peer Reviewed
• [Journal Article] The impacts of uncertainties in a real options model under incomplete information (2008)
  • Author(s): Takashi Shibata
  • Journal Title: European Journal of Operational Research 187 Pages: 1368-1379
  • Peer Reviewed
• [Journal Article] The agency problem between the owner and the manager in real investment: The bonus-audit relationship (2008)
  • Author(s): Michi Nishihara and Takashi Shibata
  • Journal Title: Operations Research Letters forthcoming
  • Peer Reviewed
• [Journal Article] Reorganization strategies and securities valuation under asymmetric information.
  • Author(s): Shibata, T., Tian, Y.
  • Journal Title: International Review of Economics and Finance
  • Peer Reviewed
• [Presentation] Investment under Uncertainty with Manager-shareholder Conflict. (2009)
  • Author(s): Shibata, T.
  • Organizer: 7th International Conference of Numerical Analysis and Applied Mathematics
  • Place of Presentation: Rethmyno, Crete island, Greece
• [Presentation] Investment Timing and Capital Structure under Hard and Soft Budget Constraints. (2009)
  • Author(s): Shibata, T.
  • Organizer: 15th International Conference on Computing in Economics and Finance
  • Place of Presentation: Sydney, Australia
• [Presentation] Dynamic Investment and Corporate Structure under Manager-shareholder Conflicts. (2009)
  • Author(s): Shibata, T.
  • Organizer: 13th International Conference on Real Options 2009
  • Place of Presentation: Braga, Portugal and Santiago, Spain
• [Presentation] Dynamic Investment and Corporate Structure under Manager-shareholder Conflicts. (2009)
  • Author(s): Shibata, T.
  • Organizer: Applied Business Research Conference 2009
  • Place of Presentation: Waikiki, U.S.A.
• [Presentation] Dynamic investment and capital structure under manager-shareholder conflict (2009)
  • Author(s): Shibata, T.
  • Organizer: 13th Annual International Real Options Conference
  • Place of Presentation: ポルトガル・ブラガ,スペイン・サンティアゴ
• [Presentation] Investment timing and capital structure under hard and soft budget constraints (2009)
  • Author(s): Shibata, T.
  • Organizer: 15th International Conference on Computing in Economics and Finance
  • Place of Presentation: オーストラリア・シドニー
• [Presentation] Investment under uncertainty with manager-shareholder conflict (2009)
  • Author(s): Shibata, T.
  • Organizer: 7th International Conference of Numerical Analysis and Applied Mathematics
  • Place of Presentation: ギリシャ・レティムノ
• [Presentation] Dynamic Investment and Capital Structure under Agency Conflicts (2009)
  • Author(s): Shibata, T.
  • Organizer: 2009 Applied Business Research Conference
  • Place of Presentation: Waikiki, U.S.A.
• [Presentation] Dynamic Investment and Capital Structure under Agency Conflicts. (2008)
  • Author(s): Shibata, T.
  • Organizer: Quantitative Methods in Finance Conference 2007
  • Place of Presentation: Sydney, Australia
• [Presentation] Agency Problem with Auditing in a Real Options Model. (2008)
  • Author(s): Shibata, T.
  • Organizer: Bachelier Finance Society Fifth World Congress
  • Place of Presentation: London, U.K.
• [Presentation] Agency Problem with Auditing in a Real Options Model. (2008)
  • Author(s): Shibata, T.
  • Organizer: 2008 International Workshop on Applied Probability
  • Place of Presentation: Compiegne, France
• [Presentation] Dynamic Investment and Capital Structure under Agency Conflicts. (2008)
  • Author(s): Shibata, T.
  • Organizer: 14th International Conference on Computing in Economics and Finance
  • Place of Presentation: Paris, France
• [Presentation] Dynamic Investment and Capital Structure under Agency Conflicts (2008)
  • Author(s): Shibata, T.
  • Organizer: International Conference on Computing in Economics and Finance
  • Place of Presentation: Paris, France
• [Presentation] Agency Problem with Auditing in a Real Options Model (2008)
  • Author(s): Shibata, T.
  • Organizer: 2008 International Workshop on Applied Probability
  • Place of Presentation: Compiegne, France
• [Presentation] Agency Problem with Auditing in a Real Options Model (2008)
  • Author(s): Shibata, T.
  • Organizer: Bachelier Finance Society Fifth World Congress
  • Place of Presentation: London, U. K.
• [Presentation] Dynamic Investment and Capital Structure under Agency Conflicts (2008)
  • Author(s): Shibata, T.
  • Organizer: Quantitative Methods in Finance Confer ence 2008
  • Place of Presentation: Sydney, Australia
• [Presentation] Agency Problem with Auditing in a Real Options Model. (2007)
  • Author(s): Shibata, T.
  • Organizer: Quantitative Methods in Finance Conference 2007
  • Place of Presentation: Sydney, Australia
• [Presentation] On the bonus-auditing Relationship in a Real Options Model under Asymmetric Information. (2007)
  • Author(s): Shibata, T.
  • Organizer: European Conference on Operational Research
  • Place of Presentation: Prague, Czech
• [Presentation] On the bonus-auditing Relationship in a Real Options Model under Asymmetric Information. (2007)
  • Author(s): 芝田隆志
  • Organizer: 平成19年(2007)日本経済学会春 季大会
  • Place of Presentation: 大阪学院大学
• [Presentation] On the bonus-auditing Relationship in a Real Options Model under Asymmetric Information (2007)
  • Author(s): 芝田隆志
  • Organizer: 日本経済学会2007春季大会
  • Place of Presentation: 大阪学院大学
• [Presentation] On the bonus-auditing Relationship in a Real Options Model under Asymmetric Information (2007)
  • Author(s): 芝田隆志
  • Organizer: European Conference on Operational Research
  • Place of Presentation: チェコ・プラハ
• [Presentation] Agency Problem with Auditing in a Real Options Model (2007)
  • Author(s): 芝田隆志
  • Organizer: Quantitative Methods in Finance Conference 2007
  • Place of Presentation: オーストラリア・シドニー
• [Book] Real Options in a Duopoly Market with General Volatility Structure, Recent Advances in Financial Engineering (2009)
  • Author(s): Kijima, M., Shibata, T.
  • Publisher: World Scientific
• [Book] Strategic Investment with Debt Financing, Recent Advances in Financial Engineering (2009)
  • Author(s): Nishihara, M, Shibata, T.
  • Publisher: World Scientific
• [Book] Real options in a duopoly market with general volatility structure, in Recent Advances in Financial Engineering (2009)
  • Author(s): Kijima, M., Shibata, T.
  • Total Pages: 20
  • Publisher: World Scientific
• [Book] Investment game with debt financing, in Recent Advances in Financial Engineering (2009)
  • Author(s): Nishihara, M., Shibata, T.
  • Total Pages: 29
  • Publisher: World Scientific
• [Book] リアルオプションと投資戦略 (2008)
  • Author(s): 木島正明, 中岡英隆, 芝田隆志
  • Total Pages: 179
  • Publisher: 朝倉書店
• [Book] リアルオプションと投資戦略 (2008)
  • Author(s): 木島正明・中岡英隆・芝田隆志
  • Total Pages: 179
  • Publisher: 朝倉書店