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Elucidation of corporate investment, capital structure, and bankruptcy process in dynamic models

Research Project

Project/Area Number 20K01769
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Review Section Basic Section 07060:Money and finance-related
Research InstitutionOsaka University

Principal Investigator

Nishihara Michi  大阪大学, 大学院経済学研究科, 教授 (20456940)

Project Period (FY) 2020-04-01 – 2024-03-31
Project Status Completed (Fiscal Year 2023)
Budget Amount *help
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2022: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2021: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2020: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Keywordsファイナンス / 金融工学 / リアルオプション
Outline of Research at the Start

新規的な動学モデルを開発・分析して,静学モデルでは分からなかった,企業の実物投資・資金調達・倒産の動学プロセスを解明する.複数の研究プロジェクトを同時並行で進めるが,例えば,(I) 利益水準に基づいた借入制約の下での実物投資タイミングや,(II)戦略的な負債増加による連鎖倒産を研究する.(I)では,従来の担保制約でなく利益水準に基づいた借入制約をモデル化し,資金調達・投資行動に与える影響を明らかにする.(II)では,企業倒産が負の外部性をもつモデルを新たに開発し,「負の外部性の下で企業が戦略的に負債を増やして他企業と同時に倒産する」という連鎖倒産発生の新規的なメカニズムを示す.

Outline of Final Research Achievements

Although a lot of papers investigated corporate financial problems regarding investment, financing, and bankruptcy in static models, it has been increasingly important to investigate the problems of timing and dynamics in stochastic and dynamic models. In this research project, I have developed and analyzed novel corporate finance models. By this, I have elucidated many theoretical mechanisms regarding the corporate investment, financing, and bankruptcy processes, which were not shown in static models.
I have presented these new results at many international and domestic conferences and published ten papers in peer-reviewed international journals. These works have been judged to be important results, and hence, I was awarded 13th Research Award in the Operations Research Society of Japan, as well as Editor's Choice in European Journal of Operational Research.

Academic Significance and Societal Importance of the Research Achievements

企業の実物投資・資金調達・倒産の問題について、以前は静学的なモデルで分析されていたが、近年では動学的な確率モデルによる分析が重要になっている。本研究で行った動学的な確率モデルによる理論メカニズムの研究は、近年の経済・金融分野の最先端の研究課題の一つであり、学術的意義が非常に大きい。実際、多くの研究成果が、国際的にレベルの高い著名なジャーナルに掲載され、国内外で学術賞を受賞した。また、現代社会は、急速に変化し、不確実性も増している。このような変化に対応する企業のダイナミックな意思決定を解明することは、社会的意義も大きい。

Report

(5 results)
  • 2023 Annual Research Report   Final Research Report ( PDF )
  • 2022 Research-status Report
  • 2021 Research-status Report
  • 2020 Research-status Report
  • Research Products

    (47 results)

All 2024 2023 2022 2021 2020 Other

All Int'l Joint Research (11 results) Journal Article (10 results) (of which Int'l Joint Research: 2 results,  Peer Reviewed: 10 results,  Open Access: 9 results) Presentation (21 results) (of which Int'l Joint Research: 8 results,  Invited: 2 results) Remarks (3 results) Funded Workshop (2 results)

  • [Int'l Joint Research] 南方科技大学(中国)

    • Related Report
      2023 Annual Research Report
  • [Int'l Joint Research] Emlyon Business School(フランス)

    • Related Report
      2023 Annual Research Report
  • [Int'l Joint Research] Otto-von-Guericke University(ドイツ)

    • Related Report
      2023 Annual Research Report
  • [Int'l Joint Research] 南方科技大学(中国)

    • Related Report
      2022 Research-status Report
  • [Int'l Joint Research] William Paterson University(米国)

    • Related Report
      2022 Research-status Report
  • [Int'l Joint Research] Emlyon Business School(フランス)

    • Related Report
      2022 Research-status Report
  • [Int'l Joint Research] William Paterson University(米国)

    • Related Report
      2021 Research-status Report
  • [Int'l Joint Research] University of Lethbridge(カナダ)

    • Related Report
      2021 Research-status Report
  • [Int'l Joint Research] 南方科技大学(中国)

    • Related Report
      2021 Research-status Report
  • [Int'l Joint Research] King's College London/Lancaster University(英国)

    • Related Report
      2021 Research-status Report
  • [Int'l Joint Research] William Paterson University(米国)

    • Related Report
      2020 Research-status Report
  • [Journal Article] Corporate sustainability, investment, and capital structure2024

    • Author(s)
      Nishihara Michi
    • Journal Title

      Annals of Operations Research

      Volume: -

    • DOI

      10.1007/s10479-023-05699-3

    • Related Report
      2023 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Two-stage investment, loan guarantees and share buybacks2023

    • Author(s)
      Dong Linjia、Nishihara Michi、Yang Zhaojun
    • Journal Title

      Journal of Economic Dynamics and Control

      Volume: 156 Pages: 104741-104741

    • DOI

      10.1016/j.jedc.2023.104741

    • Related Report
      2023 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Corporate investment, financing, and exit model with an earnings-based borrowing constraint2023

    • Author(s)
      Nishihara Michi、Shibata Takashi、Zhang Chuanqian
    • Journal Title

      International Review of Financial Analysis

      Volume: 85 Pages: 102456-102456

    • DOI

      10.1016/j.irfa.2022.102456

    • Related Report
      2022 Research-status Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Optimal financing and investment strategies under asymmetric information on liquidation value2023

    • Author(s)
      Shibata Takashi、Nishihara Michi
    • Journal Title

      Journal of Banking & Finance

      Volume: 146 Pages: 106709-106709

    • DOI

      10.1016/j.jbankfin.2022.106709

    • Related Report
      2022 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] Target-initiated takeover with search frictions2023

    • Author(s)
      Nishihara Michi
    • Journal Title

      European Journal of Operational Research

      Volume: 305 Issue: 3 Pages: 1480-1497

    • DOI

      10.1016/j.ejor.2022.07.010

    • Related Report
      2022 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] Optimal capital structure and simultaneous bankruptcy of firms in corporate networks2021

    • 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

    • Related Report
      2021 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] Financing and investment strategies under creditor-maximized liquidation2021

    • 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

    • Related Report
      2021 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] Preemptive competition between two firms with different discount rates2021

    • Author(s)
      Nishihara, M.
    • Journal Title

      Managerial and Decision Economics

      Volume: 42 Issue: 3 Pages: 675-687

    • DOI

      10.1002/mde.3264

    • Related Report
      2021 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] The effects of asset liquidity on dynamic sell-out and bankruptcy decisions2021

    • 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

    • Related Report
      2020 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] Closed-form solution to a real option problem with regime switching2020

    • Author(s)
      Nishihara Michi
    • Journal Title

      Operations Research Letters

      Volume: 48 Issue: 6 Pages: 703-707

    • DOI

      10.1016/j.orl.2020.08.013

    • Related Report
      2020 Research-status Report
    • Peer Reviewed / Open Access
  • [Presentation] コーポレートファイナンスの数理モデル2024

    • Author(s)
      西原理
    • Organizer
      日本オペレーションズ・リサーチ学会関西支部記念講演会
    • Related Report
      2023 Annual Research Report
    • Invited
  • [Presentation] コーポレートファイナンスの数理モデル2024

    • Author(s)
      西原理
    • Organizer
      日本オペレーションズ・リサーチ学会春季研究発表会特別講演
    • Related Report
      2023 Annual Research Report
    • Invited
  • [Presentation] The effects of a financial covenant on capital structure and firm value2023

    • Author(s)
      Michi Nishihara
    • Organizer
      CFE-CMStatistics
    • Related Report
      2023 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The effects of a financial covenant on capital structure and firm value2023

    • Author(s)
      Michi Nishihara
    • Organizer
      Vietnam Symposium in Banking and Finance
    • Related Report
      2023 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The effects of an earnings-based covenant on capital structure and firm value2023

    • Author(s)
      Michi Nishihara
    • Organizer
      6th International Conference on the Dynamics of Information Systems
    • Related Report
      2023 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The effects of a financial covenant on capital structure and firm value2023

    • Author(s)
      西原理
    • Organizer
      日本ファイナンス学会第5回秋季研究大会
    • Related Report
      2023 Annual Research Report
  • [Presentation] The effects of an earnings-based covenant on capital structure and firm value2023

    • Author(s)
      西原理
    • Organizer
      日本オペレーションズ・リサーチ学会秋季研究発表会
    • Related Report
      2023 Annual Research Report
  • [Presentation] The effects of an earnings-based covenant on capital structure and firm value2023

    • 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」
    • Related Report
      2023 Annual Research Report
  • [Presentation] Corporate sustainability, investment, and capital structure2022

    • Author(s)
      西原理
    • Organizer
      日本オペレーションズ・リサーチ学会2022年秋季研究発表会
    • Related Report
      2022 Research-status Report
  • [Presentation] Optimal capital structure of a firm that receives earnings with a lower reflecting barrier2022

    • 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」
    • Related Report
      2022 Research-status Report
  • [Presentation] Corporate investment, financing, and exit decisions with an earnings-based borrowing constraint2022

    • Author(s)
      Michi Nishihara
    • Organizer
      Paris Financial Management Conference
    • Related Report
      2022 Research-status Report
    • Int'l Joint Research
  • [Presentation] Optimal capital structure for earnings with a lower reflecting barrier2022

    • Author(s)
      Michi Nishihara
    • Organizer
      Real Options Workshop
    • Related Report
      2022 Research-status Report
    • Int'l Joint Research
  • [Presentation] The interactions among corporate sustainability, investment, and capital structure2022

    • Author(s)
      Michi Nishihara
    • Organizer
      13th Triennial International Conference of the Association of Asia Pacific Operational Research Societies
    • Related Report
      2022 Research-status Report
    • Int'l Joint Research
  • [Presentation] The choice between sustainable and unsustainable investment projects2022

    • Author(s)
      Michi Nishihara
    • Organizer
      32nd European Conference on Operational Research
    • Related Report
      2022 Research-status Report
    • Int'l Joint Research
  • [Presentation] Corporate investment, financing, and exit model with an earnings-based borrowing constraint2022

    • Author(s)
      Michi Nishihara
    • Organizer
      European Financial Management Association Annual Conference
    • Related Report
      2022 Research-status Report
    • Int'l Joint Research
  • [Presentation] Corporate investment, financing, and exit decisions with an earnings-based borrowing constraint2021

    • 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
    • Related Report
      2021 Research-status Report
  • [Presentation] Project sustainability from a real options perspective2021

    • 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」
    • Related Report
      2021 Research-status Report
  • [Presentation] Investment under an earnings-based borrowing constraint2021

    • Author(s)
      Michi NISHIHARA
    • Organizer
      Real Options Workshop
    • Related Report
      2020 Research-status Report
  • [Presentation] How does a startup respond to acquirers? A real options analysis2021

    • Author(s)
      西原理
    • Organizer
      日本オペレーションズ・リサーチ学会2021年春季研究発表会
    • Related Report
      2020 Research-status Report
  • [Presentation] Investment under an earnings-based borrowing constraint2020

    • 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」
    • Related Report
      2020 Research-status Report
  • [Presentation] Capital structure and contagious bankruptcy2020

    • Author(s)
      西原理
    • Organizer
      日本ファイナンス学会第28回大会
    • Related Report
      2020 Research-status Report
  • [Remarks] 西原理のホームページ

    • URL

      https://www2.econ.osaka-u.ac.jp/~nishihara/nishihara-study.html

    • Related Report
      2023 Annual Research Report
  • [Remarks] 西原理のホームページ

    • URL

      http://www2.econ.osaka-u.ac.jp/~nishihara/nishihara-study.html

    • Related Report
      2022 Research-status Report
  • [Remarks] 西原理のホームページ

    • URL

      http://www2.econ.osaka-u.ac.jp/~nishihara/index.html

    • Related Report
      2021 Research-status Report 2020 Research-status Report
  • [Funded Workshop] Real Options Workshop2022

    • Related Report
      2022 Research-status Report
  • [Funded Workshop] Real Options Seminar2021

    • Related Report
      2021 Research-status Report

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Published: 2020-04-28   Modified: 2025-01-30  

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