Interaction between financing and investment decisions under credit risk

• Project/Area Number: 26285071
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Partial Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Tokyo Metropolitan University
• Principal Investigator: Shibata Takashi 首都大学東京, 社会(科)学研究科, 教授 (70372597)
• Co-Investigator(Kenkyū-buntansha): 木島 正明 首都大学東京, 社会(科)学研究科, 教授 (00186222) ; 西原 理 大阪大学, 経済学研究科(研究院), 准教授 (20456940)
• Project Period (FY): 2014-04-01 – 2017-03-31
• Project Status: Completed (Fiscal Year 2016)
• Budget Amount: ¥13,910,000 (Direct Cost: ¥10,700,000、Indirect Cost: ¥3,210,000); Fiscal Year 2016: ¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000); Fiscal Year 2015: ¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000); Fiscal Year 2014: ¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
• 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 / リアルオプション / 情報の非対称性 / 最適資本構成 / オプション理論 / 金融工学

Outline of Final Research Achievements

This research examines how financing constraints and asymmetric information affect the interaction between financing and investment decisions. As the research outcome, 24 papers are published in the international academic journals.

Research Products

• [Int'l Joint Research] 香港大学(香港)
• [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] 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] 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
• [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] Analytical pricing of single barrier options under local volatility models (2017)
  • Author(s): Funahashi, H. and Kijima, M.
  • Journal Title: Quantitative Finance Volume: 16 Issue: 6 Pages: 867-886
  • DOI: 10.1080/14697688.2015.1101483
  • Peer Reviewed
• [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] Asset sale, debt restructuring, and liquidation (2016)
  • Author(s): Nishihara, M. and Shibata, T.
  • Journal Title: Journal of Economic Dynamics and Control Volume: 67 Pages: 73-92
  • DOI: 10.1016/j.jedc.2016.03.011
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Investment timing and quantity strategies under asymmetric information (2016)
  • Author(s): Cui, X. and Shibata, T.
  • Journal Title: Theory of Probability and Its Applications Volume: 印刷中
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Strategic entry in a triopoly market of firms with asymmetric cost structures (2016)
  • Author(s): Shibata, T.
  • Journal Title: European Journal of Operational Research Volume: 249 Issue: 2 Pages: 728-739
  • DOI: 10.1016/j.ejor.2015.08.063
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Effects of reversibility on investment timing and quantity under asymmetric information (2016)
  • Author(s): Cui, X. and Shibata, T.
  • Journal Title: Recent Advances in Financial Engineering 2014 Volume: 2014 Pages: 95-106
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] The effects of reversible investment on capital structure and credit risks (2016)
  • Author(s): Jeon, H. and Nishihara, M.
  • Journal Title: Financial Review Volume: 51 Issue: 2 Pages: 263-293
  • DOI: 10.1111/fire.12100
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] The effects of business cycle and debt maturity on a firm's investment and default decisions (2015)
  • Author(s): Haejun JEON, Michi NISHIHARA
  • Journal Title: International Review of Economics and Finance Volume: ３８ Pages: 326-351
  • DOI: 10.1016/j.iref.2015.02.031
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Investment timing, debt structure, and financing constraints (2015)
  • Author(s): Shibata, T. and Nishihara, M.
  • Journal Title: European Journal of Operational Research Volume: 241 Issue: 2 Pages: 513-526
  • DOI: 10.1016/j.ejor.2014.09.011
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Investment-based financing constraints and debt renegotiation (2015)
  • Author(s): Shibata, T. and Nishihara, M.
  • Journal Title: Journal of Banking and Finance Volume: 51 Pages: 79-92
  • DOI: 10.1016/j.jbankfin.2014.11.005
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Investment timing with fixed and proportional costs of external financing (2015)
  • Author(s): Nishihara, M. and Shibata, T.
  • Journal Title: International Journal of Management Science and Engineering Management Volume: 10 Issue: 1 Pages: 73-87
  • DOI: 10.1080/17509653.2014.937836
  • Peer Reviewed
• [Journal Article] A chaos expansion approach for the pricing of contingent claims (2015)
  • Author(s): Funahashi, H. and Kijima, M.
  • Journal Title: Journal of Computational Finance Volume: 18 Pages: 1-31
  • Peer Reviewed
• [Journal Article] Market structure and R&D investment spillovers (2014)
  • Author(s): Shibata, T.
  • Journal Title: Economic Modelling Volume: 43 Pages: 321-329
  • DOI: 10.1016/j.econmod.2014.08.014
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Preemption, leverage, and financial constraints (2014)
  • Author(s): Nishihara, M. and Shibata, T.
  • Journal Title: Review of Financial Economics Volume: 印刷中 Issue: 2 Pages: 75-89
  • DOI: 10.1016/j.rfe.2013.10.001
  • Peer Reviewed
• [Journal Article] Risk evaluation of mortgage-loan portfolios under low interest-rate environment (2014)
  • Author(s): Kijima, M., Suzuki, Y., and Tamba, Y.
  • Journal Title: Journal of Risk Volume: 16 Pages: 3-37
  • Peer Reviewed
• [Journal Article] An extension of the chaos expansion approximation for the pricing of exotic basket options (2014)
  • Author(s): Funahashi, H. and Kijima, M.
  • Journal Title: Applied Mathematical Finance Volume: 21 Issue: 2 Pages: 109-139
  • DOI: 10.1080/1350486x.2013.812855
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Credit-equity modeling under a latent Levy firm process (2014)
  • Author(s): Kijima, M. and Siu, C.C.
  • Journal Title: International Journal of Theoretical and Applied Finance Volume: 17 Issue: 03 Pages: 1-41
  • DOI: 10.1142/s0219024914500216
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Preemptive investment game with alternative projects (2014)
  • Author(s): Nishihara, M.
  • Journal Title: Economic Modelling Volume: 43 Pages: 124-135
  • DOI: 10.1016/j.econmod.2014.07.006
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Macroeconomic conditions and a firm's iｎvestment decisions (2014)
  • Author(s): Jeon, H. and Nishihara, M.
  • Journal Title: Financial Research Letters Volume: 11 Issue: 4 Pages: 398-409
  • DOI: 10.1016/j.frl.2014.08.002
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Securitization under asymmetric information and risk retention requirement (2014)
  • Author(s): Jeon, H. and Nishihara, M.
  • Journal Title: Journal of Finance and Economics Volume: 2 Issue: 2 Pages: 16-53
  • DOI: 10.12735/jfe.v2i2p16
  • Peer Reviewed / Open Access
• [Presentation] Information asymmetry and investment strategies (2017)
  • Author(s): Shibata, T.
  • Organizer: 平成29年 (2017) 日本オペレーションズ・リサーチ学会 春季大会
  • Place of Presentation: 沖縄県市町村自治会館 (沖縄県那覇市)
  • Year and Date: 2017-03-15
• [Presentation] Bankruptcy decision under asymmetric information (2017)
  • Author(s): Nishihara, M.
  • Organizer: 平成29年 (2017) 日本オペレーションズ・リサーチ学会 春季大会
  • Place of Presentation: 沖縄県市町村自治会館 (沖縄県那覇市)
  • Year and Date: 2017-03-15
• [Presentation] Bankruptcy decision under asymmetric information (2017)
  • Author(s): Nishihara, M.
  • Organizer: Winter Workshop on Operations Research, Finance and Mathematics
  • Place of Presentation: Sapporo, Hokkaido
  • Year and Date: 2017-02-20
  • Int'l Joint Research
• [Presentation] Investment, collateral, and financing constraints (2017)
  • Author(s): Shibata, T.
  • Organizer: Research Seminar at LabEx-ReFi
  • Place of Presentation: Paris, France
  • Int'l Joint Research / Invited
• [Presentation] Bankruptcy decision under asymmetric information (2017)
  • Author(s): Nishihara, M.
  • Organizer: Cebu International Conference on Studies in Business, Management, Education and Law
  • Place of Presentation: Cebu, Philippines
  • Int'l Joint Research
• [Presentation] Investment, collateral, and financing constraints (2016)
  • Author(s): Shibata, T.
  • Organizer: 20th EBES Conference
  • Place of Presentation: Vienna, Austria
  • Year and Date: 2016-09-28
  • Int'l Joint Research
• [Presentation] The choice between selling out and going public (2016)
  • Author(s): Nishihara, M.
  • Organizer: 20th EBES Conference
  • Place of Presentation: Vienna, Austria
  • Year and Date: 2016-09-28
  • Int'l Joint Research
• [Presentation] Investment, collateral, and financing constraints (2016)
  • Author(s): Shibata, T.
  • Organizer: 平成28年 (2016) 日本オペレーションズ・リサーチ学会 秋季大会
  • Place of Presentation: 山形大学 (山形県山形市)
  • Year and Date: 2016-09-15
• [Presentation] The choice between selling out and going public (2016)
  • Author(s): Nishihara, M.
  • Organizer: 平成28年 (2016) 日本オペレーションズ・リサーチ学会 秋季大会
  • Place of Presentation: 山形大学 (山形県山形市)
  • Year and Date: 2016-09-15
• [Presentation] Investment timing under financing constraints based on collateral (2016)
  • Author(s): Shibata, T.
  • Organizer: INFORMS International Conference 2016
  • Place of Presentation: Waikoloa, USA
  • Year and Date: 2016-06-12
  • Int'l Joint Research
• [Presentation] Default and liquidation timing under asymmetric information (2016)
  • Author(s): Nishihara, M.
  • Organizer: Research Seminar
  • Place of Presentation: Porto, Portgual
  • Year and Date: 2016-02-25
• [Presentation] Default and liquidation timing under asymmetric information (2016)
  • Author(s): Nishihara, M.
  • Organizer: Econworld 2016
  • Place of Presentation: Barcelona, Spain
  • Year and Date: 2016-02-02
  • Int'l Joint Research
• [Presentation] Default and liquidation timing under asymmetric information (2016)
  • Author(s): Nishihara, M.
  • Organizer: Research Seminar
  • Place of Presentation: Magdeburg, Germany
  • Year and Date: 2016-01-20
• [Presentation] Investment timing under financing constraints based on collateral (2016)
  • Author(s): Shibata, T.
  • Organizer: 10th Bachelier Colloquium
  • Place of Presentation: Metabief, France
  • Year and Date: 2016-01-17
  • Int'l Joint Research
• [Presentation] On the Ross Recovery under the Hull--White Model (2016)
  • Author(s): Kijima, M.
  • Organizer: STS2016 Conference
  • Place of Presentation: Seoul, South Korea
  • Int'l Joint Research / Invited
• [Presentation] Default and liquidation timing under asymmetric information (2016)
  • Author(s): Nishihara, M.
  • Organizer: Auckland Finance Meeting
  • Place of Presentation: Auckland, New Zealand
  • Int'l Joint Research
• [Presentation] The choice between default and selling out (2016)
  • Author(s): Nishihara, M.
  • Organizer: 18th Asia Pacific Management Conference
  • Place of Presentation: Sendai, Miyagi
  • Int'l Joint Research
• [Presentation] The choice between selling out and going public (2016)
  • Author(s): Nishihara, M.
  • Organizer: 19th Czech‐Japan Seminar on Data Analysis and Decision Making under Uncertainty
  • Place of Presentation: Matsumoto, Nagano
  • Int'l Joint Research
• [Presentation] Default and liquidation timing under asymmetric information (2016)
  • Author(s): Nishihara, M.
  • Organizer: INFORMS International Conference
  • Place of Presentation: Waikoloa, USA
  • Int'l Joint Research
• [Presentation] Asset sale, debt restructuring, and liquidation (2015)
  • Author(s): Nishihara, M.
  • Organizer: Paris Financial Management Conference
  • Place of Presentation: Paris, France
  • Year and Date: 2015-12-15
  • Int'l Joint Research
• [Presentation] Investment, collateral, and financing constraints (2015)
  • Author(s): Shibata, T.
  • Organizer: 47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
  • Place of Presentation: Honolulu, USA
  • Year and Date: 2015-12-05
  • Int'l Joint Research
• [Presentation] Asset sale, debt restructuring, and liquidation (2015)
  • Author(s): Nishihara, M.
  • Organizer: 17th EBES Conference
  • Place of Presentation: Venice, Italy
  • Year and Date: 2015-10-17
  • Int'l Joint Research
• [Presentation] Investment, collateral, and financing constraints (2015)
  • Author(s): Shibata, T.
  • Organizer: 平成27年 (2015) 日本オペレーションズ・リサーチ学会 秋季大会
  • Place of Presentation: 九州工業大学
  • Year and Date: 2015-09-10
• [Presentation] Asset sale, debt restructuring, and liquidation (2015)
  • Author(s): Nishihara, M.
  • Organizer: International Conference on Operations Research
  • Place of Presentation: Vienna, Austria
  • Year and Date: 2015-09-03
  • Int'l Joint Research
• [Presentation] Investment, collateral, and financing constraints (2015)
  • Author(s): Shibata, T.
  • Organizer: Advanced Methods in Mathematical Finance Conference
  • Place of Presentation: Angers, France
  • Year and Date: 2015-09-01
  • Int'l Joint Research
• [Presentation] An Analytical Approximation for Pricing VWAP Options (2015)
  • Author(s): Kijima, M.
  • Organizer: Advanced Methods in Mathematical Finance Conference
  • Place of Presentation: Angers, France
  • Year and Date: 2015-09-01
  • Int'l Joint Research
• [Presentation] Optimal decisions of debt renegotiation, asset sale, and liquidation (2015)
  • Author(s): Nishihara, M.
  • Organizer: 27th European Conference on Operational Research
  • Place of Presentation: Glasgow, UK
  • Year and Date: 2015-07-14
  • Int'l Joint Research
• [Presentation] Investment, collateral, and financing constraints (2015)
  • Author(s): Shibata, T.
  • Organizer: 26th European Conference on Operational Research
  • Place of Presentation: Glasgow, UK
  • Year and Date: 2015-07-12
  • Int'l Joint Research
• [Presentation] Valuation of sequential R&D investment (2015)
  • Author(s): Nishihara, M.
  • Organizer: 16th ASMDA 2015 International Conference
  • Place of Presentation: Piraeus, Greece
  • Year and Date: 2015-07-03
  • Int'l Joint Research
• [Presentation] Investment, collateral, and financing constraints (2015)
  • Author(s): Shibata, T.
  • Organizer: 21th International Conference on Computing in Economics and Finance
  • Place of Presentation: Taipei, Taiwan
  • Year and Date: 2015-06-20
  • Int'l Joint Research
• [Presentation] Analytical Pricing of Barrier Options under Local Volatility Models (2015)
  • Author(s): Kijima, M
  • Organizer: 21th International Conference on Computing in Economics
  • Place of Presentation: Taipei, Taiwan
  • Year and Date: 2015-06-20
  • Int'l Joint Research
• [Presentation] Asset sale, debt restructuring, and liquidation (2015)
  • Author(s): Nishihara, M.
  • Organizer: The Oligo Workshop
  • Place of Presentation: Madrid, Spain
  • Year and Date: 2015-06-03
  • Int'l Joint Research
• [Presentation] Firm’s optimal decisions of debt renegotiation, asset sale, and liquidation (2015)
  • Author(s): Nishihara, M.
  • Organizer: 13th Viennese Workshop on Optimal Control and Dynamic Games
  • Place of Presentation: Vienna, Austria
  • Year and Date: 2015-05-16
  • Int'l Joint Research
• [Presentation] Investment-based financing constraints and debt renegotiation (2015)
  • Author(s): Shibata, T.
  • Organizer: Winter Workshop on Operational Research, Finance and Mathematics 2015
  • Place of Presentation: Yubari, Hokkaido
  • Year and Date: 2015-02-18
• [Presentation] Noncooperative and cooperative R&D and market structure (2015)
  • Author(s): Shibata, T.
  • Organizer: 日本オペレーションズ・リサーチ学会 確率モデルシンポジウム
  • Place of Presentation: 東北大学，宮城
  • Year and Date: 2015-01-23
• [Presentation] Analytical pricing of barrier options and its applications (2014)
  • Author(s): Kijima, M.
  • Organizer: Quantitative Methods in Finance 2014
  • Place of Presentation: Sydney, Australia
  • Year and Date: 2014-12-20
  • Invited
• [Presentation] Investment timing and financing strategies under collateral constraint (2014)
  • Author(s): Shibata, T.
  • Organizer: Quantitative Methods in Finance 2014
  • Place of Presentation: Sydney, Australia
  • Year and Date: 2014-12-17
• [Presentation] Valuation of sequential R&D investment (2014)
  • Author(s): Nishihara, M.
  • Organizer: Euro Working Group for Commodities and Financial Modelling 54th Meeting
  • Place of Presentation: Milan, Italy
  • Year and Date: 2014-12-06
• [Presentation] Valuation of sequential R&D investment under technological, market, and rival preemption uncertainty (2014)
  • Author(s): Nishihara, M.
  • Organizer: Paris Financial Management Conference
  • Place of Presentation: Paris, France
  • Year and Date: 2014-12-06
• [Presentation] Firm's optimal decisions of downsizing, debt restructuring, and default (2014)
  • Author(s): Nishihara, M.
  • Organizer: 14th EBES Conference
  • Place of Presentation: Barcelona, Spain
  • Year and Date: 2014-10-24
• [Presentation] On the risk evaluation method based on the market model (2014)
  • Author(s): Kijima, M.
  • Organizer: Dynamic Models in Economics and Finance
  • Place of Presentation: Urbino, Italy
  • Year and Date: 2014-09-18
• [Presentation] Investment strategies between three asymmetric firms (2014)
  • Author(s): Shibata, T.
  • Organizer: 日本オペレーションズ・リサーチ学会 秋期大会
  • Place of Presentation: 北海道科学大学，北海道
  • Year and Date: 2014-08-29
• [Presentation] Real option valuation of sequential R&D investment (2014)
  • Author(s): Nishihara, M.
  • Organizer: The 20th Conference of the International Federation of Operational Research Societies
  • Place of Presentation: Barcelona, Spain
  • Year and Date: 2014-07-17
• [Presentation] Investment timing and financing strategies under collateral constraint (2014)
  • Author(s): Shibata, T.
  • Organizer: Fourth IMS-FPS (Institute of Mathematical Statistics - Finance, Probability and Statistics) Workshop 2014
  • Place of Presentation: Sydney, Australia
  • Year and Date: 2014-07-05
• [Presentation] A unified approach for the pricing of generalized Asian option (2014)
  • Author(s): Kijima, M.
  • Organizer: Fourth IMS-FPP (Institute of Mathematical Statistics - Finance, Probability and Statistics) Workshop 2014
  • Place of Presentation: Sydney, Australia
  • Year and Date: 2014-07-05
• [Presentation] Investment, collateral, and financing constraints (2014)
  • Author(s): Shibata, T.
  • Organizer: Stochastic Calculus, Martingales and Financial Modeling
  • Place of Presentation: Saint Petersburg, Russia
  • Year and Date: 2014-07-01
• [Presentation] A unified approach for the pricing of generalized Asian option (2014)
  • Author(s): Kijima, M.
  • Organizer: Stochastic Calculus, Martingales and Financial Modeling
  • Place of Presentation: Saint Petersburg, Russia
  • Year and Date: 2014-06-30
• [Presentation] Investment timing and financing strategies under collateral constraint (2014)
  • Author(s): Shibata, T.
  • Organizer: Bachelier Finance Society 8th World Congress
  • Place of Presentation: Brussels, Belgium
  • Year and Date: 2014-06-08
• [Book] Recent Advances in Financial Engineering 2014 (2016)
  • Author(s): Kijima, M., Muromachi, Y. and Shibata, T.
  • Total Pages: 226
  • Publisher: World Scientific Publishing Co.
• [Book] Recent Advances in Financing Engineering 2012 (2014)
  • Author(s): Takahashi, A., Muromachi, Y., and Shibata, T.
  • Publisher: World Scientific Co.
• [Remarks] TMU Workshop 2016
  • URL: http://www.comp.tmu.ac.jp/finance/Groupweb/workshop/2016/
• [Remarks] TMU Finance Workshop 2014
  • URL: http://www.comp.tmu.ac.jp/finance/Groupweb/workshop/2014/index.html
• [Funded Workshop] TMU Workshop on Financial Mathematics and Statistics 2016 (2016)
  • Place of Presentation: 首都大学東京 秋葉原サテライトキャンパス
  • Year and Date: 2016-11-29