Studies on the investment decisions with convertible debt financing

• Project/Area Number: 22710135
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Social systems engineering/Safety system
• Research Institution: Akita Prefectural University
• Principal Investigator: YAGI Kyoko 秋田県立大学, システム科学技術学部, 助教 (80451847)
• Project Period (FY): 2010 – 2012
• Project Status: Completed (Fiscal Year 2012)
• Budget Amount: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000); Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2011: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2010: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
• Keywords: 転換社債 / 資金調達 / 最適投資 / 経営者報酬 / リアルオプション / モデル化 / 最適戦略 / 金融工学 / ストックオプション / 資本構成 / 投資分析

Research Abstract

We examined the optimal strategies about the investment decisions in relation to the issuance of callable convertible debt or sub-ordinated convertible debt by firms. In particular, we investigated whether our results are consistent with empirical evidences and analyzed new theoretical results.

Research Products

• [Journal Article] The Effect of Executive Stock Option Grants on Financing Decisions (2012)
  • Author(s): Kyoko Yagi and Ryuta Takahsima
  • Journal Title: 京都大学数理解析研究所講究録 Volume: 1818 Pages: 68-76
• [Journal Article] The Impact of Convertible Debt Financing on Investment Timing (2012)
  • Author(s): Kyoko Yagi and Ryuta Takashima
  • Journal Title: Economic Modelling Volume: 29 Pages: 2407-2416
  • Peer Reviewed
• [Journal Article] The Effect of Executive Stock Option Grants on Financing Decisions (2012)
  • Author(s): Yagi, K. and Takashima, R.
  • Journal Title: 数理解析研究所講究録 Volume: 1818 Pages: 68-76
• [Journal Article] Convertible Subordinated Debt Financing and Optimal Investment Timing (2011)
  • Author(s): Kyoko Yagi and Ryuta Takashima
  • Journal Title: Proceedings of 2011 Asian Conference of Management Science & Applications Pages: 1507-1514
  • Peer Reviewed
• [Journal Article] he Impact of Callable Convertible Debt Financing on Investment Timing (2011)
  • Author(s): Kyoko Yagi and Ryuta Takahsima
  • Journal Title: 京都大学数理解析研究所講究録 Volume: 1736 Pages: 161-175
• [Journal Article] The Impact of Callable Convertible Debt Financing on Investment Timing (2011)
  • Author(s): Yagi, K., Takashima, R.
  • Journal Title: 数理解析研究所講究録 Volume: 1736 Pages: 161-175
• [Journal Article] Convertible Subordinated Debt Financing and Optimal Investment Timing (2011)
  • Author(s): Yagi, K., Takashima, R.
  • Journal Title: Proceedings of 2011 Asian Conference of Management Science & Applications Pages: 1507-1514
  • Peer Reviewed
• [Journal Article] 転換社債による資金調達と最適投資 (2010)
  • Author(s): 八木恭子・高嶋隆太
  • Journal Title: MTEC ジャーナル Pages: 3-20
  • NAID: 40017666039
• [Journal Article] The Pricing and Optimal Strategies of Callable Warrants (2010)
  • Author(s): Kyoko Yagi and Katsushige Sawaki
  • Journal Title: European Journal of Operational Research Volume: 206 Pages: 123-130
  • Peer Reviewed
• [Journal Article] An Optimal Investment Policy in Equity-Debt Financed Firms with Finite Maturities (2010)
  • Author(s): Kyoko Yagi, Ryuta Takashima and Katsushige Sawaki
  • Journal Title: Lecture Notes in Operations Research Volume: 12 Pages: 288-295
  • Peer Reviewed
• [Journal Article] The Valuation of Callable-Puttable Reverse Convertible Bonds (2010)
  • Author(s): Kyoko Yagi and Katsushige Sawaki
  • Journal Title: Asia-Pacific Journal of Operational Research Volume: 27 Pages: 1-21
  • Peer Reviewed
• [Journal Article] Government Guarantees and Risk Sharing in Public-Private Partnership (2010)
  • Author(s): Ryuta Takashima, Kyoko Yagi and Hiroshi Takamori
  • Journal Title: Review of Financial Economics Volume: 19 Pages: 78-83
  • Peer Reviewed
• [Journal Article] Government Guarantees and Risk Sharing in Public-Private Partnerships (2010)
  • Author(s): Takashima, R., Yagi, K., Takamori, H.
  • Journal Title: Review of Financial Economics Volume: 19 Pages: 78-83
  • Peer Reviewed
• [Journal Article] 公民連携-PPP-事業のリスク保証とインフラ投資 (2010)
  • Author(s): 高森寛・高嶋隆太・八木恭子
  • Journal Title: オペレーションズ・リサーチ Volume: 55 Pages: 353-358
  • NAID: 110007619631
• [Journal Article] 転換社債による資金調達と最適投資 (2010)
  • Author(s): 八木恭子・高嶋隆太
  • Journal Title: MTECジャーナル Volume: 22 Pages: 3-20
  • NAID: 40017666039
• [Presentation] 不確実性下における商業用店舗不動産の賃貸戦略に関する分析 (2012)
  • Author(s): 岸井貴大・八木恭子・相馬隆雄
  • Organizer: 2012 年度「都市のOR」ワークショップ
  • Place of Presentation: 南山大学
  • Year and Date: 2012-12-16
• [Presentation] The Effects of Executive Stock Option Grants on Financing Decisions (2012)
  • Author(s): 八木恭子
  • Organizer: 横浜国立大学・南山大学共同ファイナンスワークショップ
  • Place of Presentation: 南山大学
  • Year and Date: 2012-11-10
• [Presentation] Competition and the Bad News Principle in a Real Options Framework (2012)
  • Author(s): 西出勝正・八木恭子
  • Organizer: 日本リアルオプション学会 2012 年研究発表大会
  • Place of Presentation: 早稲田大学
  • Year and Date: 2012-11-04
• [Presentation] 経営者へのストックオプション付与と資本構成 (2012)
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 日本リアルオプション学会 2012 年研究発表大会
  • Place of Presentation: 早稲田大学
  • Year and Date: 2012-11-04
• [Presentation] 研究開発事業における税額控除の効果 (2012)
  • Author(s): 能登谷裕樹・八木恭子・相馬隆雄
  • Organizer: 日本リアルオプション学会 2012 年研究発表大会
  • Place of Presentation: 早稲田大学
  • Year and Date: 2012-11-04
• [Presentation] The Effects of Executive Stock Option Grants on Financing Decisions (2012)
  • Author(s): Kyoko Yagi and Ryuta Takashima
  • Organizer: INFORMS Annual Meeting 2012
  • Place of Presentation: Phoenix, USA
  • Year and Date: 2012-10-17
• [Presentation] 経営者へのストックオプション付与と資本構成 (2012)
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 平成 24年度数理解析研究所/科学研究費補助金研究集会「ファイナンスの数理解析とその応用」
  • Place of Presentation: 京都大学
  • Year and Date: 2012-09-19
• [Presentation] The Effects of Executive Stock Option Grants on Financing Decisions (2012)
  • Author(s): Kyoko Yagi and Ryuta Takashima
  • Organizer: 2012 Asian Conference of Management Science & Applications (ACMSA2012)
  • Place of Presentation: Chengdu and Jiuzhaigou, China
  • Year and Date: 2012-09-17
• [Presentation] 経営者へのストックオプション付与と資本構成 (2012)
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 日本オペレーションズ・リサーチ学会 2012 年秋季研究発表会
  • Place of Presentation: ウインクあいち
  • Year and Date: 2012-09-13
• [Presentation] 不確実性下における転換社債での資金調達による投資戦略について (2012)
  • Author(s): 八木恭子
  • Organizer: 横浜国立大学 経済学部 平成 24 年度近経研究会
  • Place of Presentation: 横浜国立大学
  • Year and Date: 2012-07-23
• [Presentation] Competition and the Bad News Principle in a Real Options Framework (2012)
  • Author(s): Katsumasa Nishide and Kyoko Yagi
  • Organizer: 5th European Conference on Operational Research
  • Place of Presentation: Vilnius, Lithuania
  • Year and Date: 2012-07-09
• [Presentation] Convertible Subordinated Debt Financing and Optimal Investment Timing (2011)
  • Author(s): Kyoko Yagi and Ryuta Takashima
  • Organizer: 2011 Asian Conference of Management Science & Applications (ACMSA2011)
  • Place of Presentation: Sanya, Hainan, China
  • Year and Date: 2011-12-22
• [Presentation] Convertible Subordinated Debt Financing and Optimal Investment Timing (2011)
  • Author(s): Yagi, K., Takashima, R.
  • Organizer: ACMSA 2011
  • Place of Presentation: Pearl River Garden Hotel, Sanya, Hainan, China
  • Year and Date: 2011-12-22
• [Presentation] 転換社債発行企業の経営者報酬と資本構成 (2011)
  • Author(s): 八木恭子
  • Organizer: 2011 年度中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題 2011」
  • Place of Presentation: 大阪大学
  • Year and Date: 2011-12-03
• [Presentation] 転換社債発行企業の経営者報酬と資本構成 (2011)
  • Author(s): 八木恭子
  • Organizer: 2011年度中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題2011」
  • Place of Presentation: 大阪大学
  • Year and Date: 2011-12-03
• [Presentation] Convertible Debt Financing and Managerial Compensation (2011)
  • Author(s): Kyoko Yagi and Ryuta Takashima
  • Organizer: INFORMS Annual Meeting 2011
  • Place of Presentation: Charlotte, USA
  • Year and Date: 2011-11-15
• [Presentation] Convertible Debt Financing and Managerial Compensation (2011)
  • Author(s): Yagi, K., Takashima, R.
  • Organizer: INFORMS Annual Meeting 2011
  • Place of Presentation: Charlotte Convention Center, Charlotte, North Carolina, USA
  • Year and Date: 2011-11-15
• [Presentation] 転換社債での資金調達による投資戦略と最適資本構成 (2011)
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 日本リアルオプション学会 2010 年研究発表大会
  • Place of Presentation: 東京大学
  • Year and Date: 2011-11-13
• [Presentation] 転換社債発行企業の経営者報酬と資本構成 (2011)
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 日本リアルオプション学会 2011 年研究発表大会
  • Place of Presentation: 青山学院大学
  • Year and Date: 2011-11-06
• [Presentation] 転換社債発行企業の経営者報酬と資本構成 (2011)
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 日本ジアルオプション学会2011年研究発表大会
  • Place of Presentation: 青山学院大学
  • Year and Date: 2011-11-06
• [Presentation] 転換社債発行企業の経営者報酬と資本構成 (2011)
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 日本オペレーションズ・リサーチ学会2011年秋季研究発表会
  • Place of Presentation: 甲南大学
  • Year and Date: 2011-09-15
• [Presentation] 転換社債発行企業の経営者報酬と資本構成 (2011)
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 日本オペレーションズ・リサーチ学会 2011 年秋季研究発表会
  • Place of Presentation: 甲南大学
  • Year and Date: 2011-09-05
• [Presentation] Convertible Debt Financing and Managerial Compensation (2011)
  • Author(s): Kyoko Yagi and Ryuta Takashima
  • Organizer: OR 2011
  • Place of Presentation: Zurich, Switzerland
  • Year and Date: 2011-08-31
• [Presentation] Convertible Debt Financing and Managerial Compensation (2011)
  • Author(s): Yagi, K., Takashima, R.
  • Organizer: OR 2011
  • Place of Presentation: University of Zurich, Zurich, Switzerland
  • Year and Date: 2011-08-31
• [Presentation] 不確実性下における転換社債での資金調達による投資戦略について (2011)
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 持続可能なインフラストラクチャーの配置・運用と経済分析研究会
  • Place of Presentation: 琉球大学
  • Year and Date: 2011-07-22
• [Presentation] 償還条項付き転換社債の発行における資本構成と最適投資 (2011)
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 日本オペレーションズ・リサーチ学会 2011 年春季研究発表会
  • Place of Presentation: 電気通信大学
  • Year and Date: 2011-03-17
• [Presentation] 不確実性下における転換社債での資金調達による投資戦略について (2011)
  • Author(s): 八木恭子
  • Organizer: 福島大学 共生システム理工学類 産業システム工学専攻 研究交流会
  • Place of Presentation: 福島ビューホテル
  • Year and Date: 2011-03-05
• [Presentation] 不確実性下における転換社債での資金調達による投資戦略について (2011)
  • Author(s): 八木恭子
  • Organizer: 福島大学共生システム理工学類産業システム工学専攻第7回研究交流会
  • Place of Presentation: 福島ビューホテル
  • Year and Date: 2011-03-05
• [Presentation] The Impact of Callable Convertible Debt Financing on Investment Timing (2011)
  • Author(s): 八木恭子
  • Organizer: 日本オペレーションズ・リサーチ学会研究部会「ファイナンス理論の展開」第7回研究会
  • Place of Presentation: 秋葉原ダイビル
  • Year and Date: 2011-02-16
• [Presentation] The Impact of Callable Convertible Debt Financing on Investment Timing (2010)
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 平成 22 年度数理解析研究所/科学研究費補助金研究集会「ファイナンスの数理解析とその応用」
  • Place of Presentation: 京都大学
  • Year and Date: 2010-11-26
• [Presentation] The Impact of Callable Convertible Debt Financing on Investment Timing (2010)
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 平成22年度数理解析研究所/科学研究費補助金研究集会「ファイナンスの数理解析とその応用」
  • Place of Presentation: 京都大学
  • Year and Date: 2010-11-26
• [Presentation] 転換社債での資金調達による投資戦略と最適資本構成 (2010)
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 日本リアルオプション学会2010年研究発表大会
  • Place of Presentation: 東京大学
  • Year and Date: 2010-11-13
• [Presentation] Optimal Investment Strategies: Straight vs. Convertible Debt Financing (2010)
  • Author(s): Kyoko Yagi and Ryuta Takashima
  • Organizer: NFORMS Annual Meeting 2010
  • Place of Presentation: Austin, USA
  • Year and Date: 2010-11-09
• [Presentation] Optimal Investment Strategies : Straight vs.Convertible Debt Financing (2010)
  • Author(s): Yagi, K., Takashima, R.
  • Organizer: INFORMS Annual Meeting 2010
  • Place of Presentation: Hilton Austin, Austin, Texas, USA
  • Year and Date: 2010-11-09
• [Presentation] An Optimal Investment Policy in Equity-Debt Financed Firms with Finite Maturities (2010)
  • Author(s): Kyoko Yagi, Ryuta Takashima and Katsushige Sawaki
  • Organizer: International Symposium on Operations Research & Its Applications 2010
  • Place of Presentation: Chengdu, China
  • Year and Date: 2010-08-20
• [Presentation] An Optimal Investment Policy in Equity-Debt Financed Firms with Finite Maturities (2010)
  • Author(s): Yagi, K., Takashima, R., Katsushige Sawaki
  • Organizer: International Symposium on Operations Research & Its Applications 2010
  • Place of Presentation: Tibet Hotel Chengdu, Chengdu, China
  • Year and Date: 2010-08-20
• [Presentation] Convertible Subordinated Debt Financing and Optimal Investment Timing (2010)
  • Author(s): Kyoko Yagi and Ryuta Takashima
  • Organizer: BACHELIER FINANCE SOCIETY 2010
  • Place of Presentation: Toronto, Canada
  • Year and Date: 2010-06-26
• [Presentation] Convertible Subordinated Debt Financing and Optimal Investment Timing (2010)
  • Author(s): Yagi, K., Takashima, R.
  • Organizer: 6th World Congress of the Bachelier Finance Society
  • Place of Presentation: Hilton Toronto, Canada
  • Year and Date: 2010-06-26
• [Presentation] Convertible Subordinated Debt Financing and Optimal Investment Timing (2010)
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 日本ファイナンス学会第18回大会
  • Place of Presentation: 上智大学
  • Year and Date: 2010-05-23
• [Presentation] Competition and the Bad News Principle in a Real Options Framework
  • Author(s): Nishide, K. and Yagi, K.
  • Organizer: The 25th European Conference on Operational Research
  • Place of Presentation: Radisson Blu Hotel Lietuva, Vilnius, Lithuania
• [Presentation] The Effects of Executive Stock Option Grants on Financing Decisions
  • Author(s): Yagi, K. and Takashima, R.
  • Organizer: 2012 Asian Conference of Management Science & Applications
  • Place of Presentation: Sichuan Garden Hotel, Chengdu, China
• [Presentation] 経営者へのストックオプション付与と資本構成
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 日本オペレーションズ・リサーチ学会2012年秋季研究発表会
  • Place of Presentation: ウインクあいち
• [Presentation] 経営者へのストックオプション付与と資本構成
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 平成24年度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」
  • Place of Presentation: 京都大学
• [Presentation] The Effects of Executive Stock Option Grants on Financing Decisions
  • Author(s): Yagi, K. and Takashima, R.
  • Organizer: INFORMS Annual Meeting 2012
  • Place of Presentation: Phoenix Convention Center, Phoenix, USA
• [Presentation] 研究開発事業における税額控除の効果
  • Author(s): 能登谷裕樹・八木恭子・相馬隆雄
  • Organizer: 日本リアルオプション学会2012年研究発表大会
  • Place of Presentation: 早稲田大学
• [Presentation] 経営者へのストックオプション付与と資本構成
  • Author(s): 八木恭子・高嶋隆太
  • Organizer: 日本リアルオプション学会2012年研究発表大会
  • Place of Presentation: 早稲田大学
• [Presentation] Competition and the Bad News Principle in a Real Options Framework
  • Author(s): 西出勝正・八木恭子
  • Organizer: 日本リアルオプション学会2012年研究発表大会
  • Place of Presentation: 早稲田大学
  • Invited
• [Book] Real Options Analysis (2011)
  • Author(s): Legrand, J.B. and Verheyen, L.T. (eds.)
  • Publisher: Nova Science Publishers
• [Book] 経営システム工学とその周辺 (2011)
  • Author(s): 秋田県立大学経営システム工学科編
  • Publisher: 横浜図書
• [Book] Real Options Analysis (Ch.3 Flexibility in Sequential Investment and Catastrophic Risk) (2011)
  • Author(s): Takashima, R., Yagi, K.
  • Publisher: Nova Science Publishers